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Sunday, August 10, 2014


Meaning of word 'krem' from UrbanDictionary (link) :
A crazy ass motherfucker, who can not calm down, doesn't give a shit what he says, and acts extremely black for the white tone of his skin.
No its not that.
I got a couple of interesting ideas from Perry Kaufman (link), about rotating through a list of ETF's. This way of thinking is actually quite natural for me, as I compiled a list of all kinds of etf's over past few years. Actually 55 US long-only, non-leveraged equity etfs, covering soup to nuts of investable stock universe. There are, of course, several ways to use it. Version 1 takes on most volatile and highest performing etf's, with goal to trade them opportunistically for a meaningful swing. In honor of industrious Mr. Kaufman (who wrote 1200 page book, covering every investment topic known to men), I call this thing KREM - Kaufman Rotational ETF Method.

Finviz link
8/2015. add FFTY, HACK, ITB.
10/2015. add MarketVectors retail RTH. Also RTH is bigger than XRT (equal? weight retail from SPDR)
12/2015. add FDN - internet with FANG at 35%

10 most volatile, highest performing funds selected, after removing duplicates and applying a filter. Then 2 additional etf's added to improve diversification. This becomes KREM Index, equally weighted and rebalanced monthly. I will update it between 5th and 10th.

KREM August 2014 Index:
Best performer - XME
System12 Qualified  - GDX, XME, SOCL, XOP, XPH, XLU

They may not look too hot right now, but only 10 etf's are up for a month, so ... One thing I can say about this index components for sure is: They Move! All my efforts need to be confined to this list for the month until rebalanced. The only snag is portfolio impact - I really don't want to heavily overweight anything. Considering that I already have corresponding industry components as open positions, I removed XOP, XPH, GDX and replaced them with SLX, KOL, SEA at my sole discretion.

KREM BCM Action List (KAL):

Understanding, I rather trade correlated stocks in groups vs etf's/funds, still KREM considerably narrows down my instrument selection. This strategy needs to be applied to System9, but i still have some kinks to be worked out.

There is also another possibility, I haven't tested yet.
9 main spiders - is essentially the whole market.
First of all I am curious to see how they respond to CSI, as I think its the best way to construct average market CSI score - an ultimate tool I've been dreaming of... lol. Of course, there is no 'holy grail', its just an illusion (hopefully not delusion), but I would like to add some kind of broad market indicator to compliment MADI. There is nothing out there to help me answer the most important questions: WHAT to buy, WHEN to do it, HOW to bet, WHY to sell. I have to keep figuring this out myself.
Secondly, considering that 9 main sectors are lower-volatility than most on my list, I wonder what will happen to portfolio of corresponding Fidelity mutual funds? I can allocate to best performing, overweight according to CSI, time entry by MADI, re-balance monthly for free. I think S12 exit rules are the best for this, as they allow to stay in the longest and re-enter quickly, but it remains to be seen


KREM 2014:
8/2015. add FFTY, HACK.

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