Value Line 100 Timeliness ETF Message Board

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Strategies & Market Trends : Value Line 100 Timeliness ETF

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From: OldAIMGuy

9/20/2012 1:00:39 PM

1 Recommendation of 18

Value Line's "Momentum" index - the 100 most "timely" stocks in their universe has been stuck for some time. To be fair, the entire stock market has been stuck for some time. Here's the last 3+ years of my own management of the index ETF based on their 100 most timely stocks to own:

(the two charts don't quite line up as one is 3 years and the other is 3.25 years)

Looking at the Williams %R and 26 week Moving Average lines we see that the Lichello AIM trading model has done a reasonable job of capturing upside gains and rebuilding portfolio inventories during soft spots in the stock market. Cash reserve buildup during rising markets helps to cushion the next downward portion of the market cycle. Average of downside capture has been 82.9% while upside capture has managed 87.0%. (three downside and four upside periods averaged)

Overall, the account has managed to outperform simple Buy/Hold of FVL by about 7.8% over the time shown. Compounding the variance between up and down capture in each cycle (and in future cycles) will improve the overall gain over Buy/Hold.

                        Down Capture           
    Date         Percent       Percent   Capture
    Start   To   FVL Price     Change   Holding Value   Change   Ratio
    4/26/2010   8/16/2010   13.11   10.49   -19.98%   28546   23928   -16.18%   0.809
    5/2/2011   10/3/2011   15.03   9.92   -34.00%   32978   23656   -28.27%   0.831
    3/26/2012   6/4/2012   14.08   12.12   -13.92%   31913   28152   -11.79%   0.847
                    
                  Ave   82.92%

                        Up Capture           
    Date         Percent       Percent   Capture
    Start   To   FVL Price     Change   Holding Value   Change   Ratio
    3/9/2009   4/6/2010   13.77   21.3   54.68%   18821   28546   51.67%   0.945
    8/16/2010   5/2/2011   10.49   15.03   43.28%   23928   32798   37.07%   0.857
    10/3/2011   3/26/2012   9.92   14.08   41.94%   23656   31913   34.90%   0.832
    6/4/2012   9/17/2012   12.12   13.6   12.21%   28152   31067   10.35%   0.848
                  Ave   87.04%

Note that the FVL prices in the first series in Downside Capture are adjusted for the change from PYH to FVL in July of 2010. Prices at several points were the trade price I received during the period.

The first Upside capture period had the least cash, so the capture ratio is the most generous there. Also, I've not accounted for interest or dividends on the "Holding Value" at the various times. If they were included, it would improve the capture ratios in favor of AIM.

Best regards,

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