Readers interested in a detailed analysis of the Gauss Portfolio will find it at this link. The following is an update and a discussion of how I am using the ITA Risk Reduction model with Gauss. The first thing I did this morning was to check the price of each ETF. So as to maintain the percentage performance of the ITA Index benchmark, I hold a few shares of each asset class. When I ran the check, only DBC was priced below its 195-Day EMA so I placed a limit order to sell all but five shares of DBC. Again, I need to keep a few shares so as to maintain the ITA Index IRR value.
November 12, 2012 by