As our background is purely non-mathematical, that separates us from a typical quant algo shop. Systems we create and trade are results mostly of trading experience, not study of mathematics. Our basic thesis is that every market has its own rhythm and it is our quest to decode it to the best of our ability.
In his Covestor model, Long Short SP 500, Sasa uses a statistical analysis of decades’ worth of market data and trades only SPY and related instruments. The model currently has no holdings. In his monthly investment report for January, Sasa had this to say about his current lack of holdings:
In a classical holiday fashion, my model did not issue any buy or sell signals in December. Although on average I expect to have about 40 trades per year, this December was unusually quiet. I’ve remained flat throughout the month, and did not participate in the December rally. The good news is that at least the model was not short.
The model did have a few buys and sells of SPDR S&P 500 ETF (SPY) in early January. SPY attempts to deliver results similar to the performance of the S&P 500 Index. According to Yahoo Finance, on January 18th the top three holdings in the ETF were Exxon Mobil (NYSE: XOM), Apple (NASDAQ: AAPL) and Microsoft (NASDAQ: MSFT).