Market insights and analysis

How dynamic, risk-managed investment solutions are performing in the current market environment

3rd Quarter | 2021

Market insights and analysis

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Updates on how dynamic, risk-managed investment solutions are performing in the current market environment.

U.S. equity markets posted losses in two of the three indexes last week. The NASDAQ Composite gained 1.11%, the S&P 500 lost 0.63%, and the Dow Jones Industrial Average lost 1.75%. Three of the 11 sectors were up last week; Information Technology, which posted the largest gain, was up 2.13%. Three of the eight Quantified Funds were up last week: The Quantified Tactical Fixed Income Fund (QFITX) was up 1.08%, the Quantified STF Fund (QSTFX) was up 0.31%, the Quantified Common Ground Fund (QCGDX) gained 0.31%, the Quantified Managed Income Fund (QBDSX) remained neutral, the Quantified Pattern Recognition Fund (QSPMX) was down 0.48%, the Quantified Alternative Investment Fund (QALTX) was down 0.89%, the Quantified Market Leaders Fund (QMLFX) was down 1.45%, and the Quantified Evolution Plus Fund (QEVOX) lost 6.67%.

The Market Environment Indicator (MEI) remained bullish last week. Equity asset-class allocations in the Quantified Market Leaders Fund changed to the following: Emerging Markets (23.40%), Small-Cap Growth (15.60%), Mid-Cap Growth (7.80%), and Large-Cap Growth (7.20%). Total sector ETF weightings changed to 39.00%, holding equal exposures in Basic Materials and Electronics. The individual ETF positions with the leading portfolio weightings were the iShares-MSCI Emerging Markets Index ETF (EEM, 23.40%), the Materials Select SPDR ETF (XLB, 19.50%), and the iShares Semiconductor ETF (SOXX, 19.50%). Total cash changed to 7.00%.

Within the Quantified Alternative Investment Fund (QALTX), the Long/Short Market Neutral Alternative subportfolio made no major changes last week. There were a few changes among the largest positions: Allocation to the Bridgeway Managed Volatility Fund (BRBPX, 3.93%) increased, while allocation to the BNY Mellon-Dynamic Total Return Fund (AVGRX, 3.03%) decreased. Last week, the funds were up 0.25% and down 0.30%, respectively.

The cash level within the Alternative Fund increased to 27.82% last week. The daily trading of S&P 500 Index futures with 10% fund capital allocation remained neutral for the week. The 7.50% capital allocation of the volatility-based systematic trading of NASDAQ 100 Index futures started the week at 1.00% net long, increased to 2.00% net long on Monday, increased to 4.00% net long on Wednesday’s close, and finished the week at 5.00% net long on Friday’s close.

The Self-adjusting Trend Following strategy started the week with 120% exposure in the NASDAQ 100 Index (NDX), increased to 160% exposure on Tuesday’s close, and decreased to 100% exposure on Wednesday’s close. The Quantified STF Fund (QSTFX) gained 0.31% for the week, compared to a gain of 1.96% on the NASDAQ 100 Index (NDX) and a gain of 1.95% for the Rydex Series NASDAQ 100 Fund (RYHOX), a current potential holding of the STF strategy.

The Quantified Managed Income Fund’s (QBDSX) two leading broad-bond index ETF holdings are the iShares Barclays 1-3 Year Treasury Bond (SHY, 33.01%) and the iShares Barclays 20+ Year Treasury Bond (TLT, 16.80%). Last week, the funds were up 0.01% and 0.95%, respectively. Cash changed to 15.00%.

The 10-year U.S. Treasury yield closed the week up 0.65%. The 12% active portfolio exposure to 30-year U.S. Treasury bond futures in the Fund started and finished the week at 5.00% net long. The S&P E-mini Futures were 6.50% net short throughout last week.

The Quantified Pattern Recognition Fund (QSPMX) started the week with 160% exposure to the market, increased to 200% exposure on Monday’s close, decreased to 4% exposure on Tuesday’s close, decreased to 0% exposure on Wednesday’s close, and remained there through Friday’s close.

The Quantified Tactical Fixed Income Fund (QFITX) started and finished the week with an allocation of 92% in RYHBX and 8% in MPIXX.

The allocation of the Quantified Evolution Plus Fund (QEVOX) remained at the following: 67% in gold, 13% in the S&P, 12% in the NASDAQ, 6% in emerging markets, and 2% in cash.

The cash exposure in the Quantified Common Ground Fund (QCGDX) remained at 2.50%. The Fund’s largest allocations were to West Pharmaceutical Services Inc. (WST, 8.39%) and NVIDIA Corp. (NVDA, 7.41%). Last week, the stocks were down 2.96% and up 5.62%, respectively.



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