While some of our models use data that is available only after the close (EOD/end-of-day), we can make decent intraday estimates. Using estimates for the CCM BMSI, 80-20, and Market Risk Model, we anticipate our end-of-day recommended allocation to risk will drop to somewhere in the neighborhood of 62%, which is still above our current exposure.
We would be more apt to take an incremental step away from risk if the following levels are taken out on a closing basis:
- Semiconductors $SOX: 396.60
- Financials XLF: 14.92
- S&P 500 Index: 1,357
- S&P Futures: 1,357