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Difference between revision 9 and current revision
No diff available.http://www.macroaxis.com/invest/marketCorrelation/SPY--SPDRs
http://seekingalpha.com/article/343931-5-etfs-to-consider-for-protection-against-inflation
http://seekingalpha.com/article/473601-adding-relative-strength-to-your-bond-etf-portfolio
correlations:
etfscreen.com/corrsym.php?s=SHM
etfdb.com/etfdb-category/inflation-protected-bonds/
http://seekingalpha.com/article/187568-duration-and-tips-the-looming-scandal
AGLS
todo: consider buying wdti and more commodities if the market rebounds
compare wdti to RYMFX after the commodities market gets better
gold seems to be tracking commodities down recently
a mistake of mine: to hold junk bonds when i thought the market would fall
a good analysis of the situation right now in the markets:
http://crackerjackfinance.com/2012/05/deja-deja-vu-%E2%80%93-a-third-summer-of-european-crisis/
basically my previous analysis, namely that U.S. stocks are too high relative to the sluggish growth in Europe, missed out on this important new risk factor -- namely, that Greece may exit the EU -- not that that would shake the markets IN ITSELF, but it would shake the markets because this means that questions would be raised about the rest of the EU, and in particular it might cause a run on the banks as people worry about the Euro losing value. In fact, the banks in Belgium, France, and Italy are having problems too. http://www.reuters.com/article/2012/05/17/us-banks-deposits-idUSBRE84G0MG20120517
The EU has no lender of last resort so we have a problem.
My analysis, which seems to be identical to everyone else's is that the politicals leaders in the EU are by now familiar enough with the situation to take action, so most likely any crises will be contained. But there is substantial tail risk.
The Greek election is on June 17th. Expect volatility to rise until then.
I expect stocks to continue to fall, but i'm not very sure. maybe it's a good time to buy.
http://quantifiableedges.blogspot.com/2012/05/strong-move-to-new-high-in-vix.html
VQT
acwv http://news.morningstar.com/articlenet/article.aspx?id=555214
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http://www.businessinsider.com/japan-is-never-going-to-default-2012-5
publically traded hedge funds:
The Man Group’s problems are a cautionary tale for others in the industry, and other hedge funds have also suffered after going public, including Och-Ziff Capital Management and the Fortress Investment Group. Och-Ziff is currently trading at less than a third of its initial public offering price. Fortress, which was trading in early 2007 at about $31 a share, closed Tuesday at $3.73.
By contrast, Winton Capital Management, another computer-driven trading shop, has flourished. Founded by one of the original scientists behind AHL, David Harding, Winton’s assets have swelled to nearly $30 billion. The firm charges management fees of 1 percent and performance fees of closer to 20 percent.
EMG.L Man Group Plc Unsp A (MNGPY.PK MNGPF.PK lon.emg
" With $59 billion of assets, Man Group is now facing the uncomfortable fact that it could be kicked out of the FTSE 100 index in June, which would lead index funds to dump the stock. The traders at AHL who pursue a managed futures strategy will have to turn performance around quick. They are already 14% below their high water mark. "
Oaktree Capital
http://en.wikipedia.org/wiki/Hedge_fund#Listed_funds
http://www.reuters.com/finance/stocks/overview?symbol=EMG.L
http://uk.reuters.com/article/2012/04/19/uk-mangroup-hedgefund-idUKBRE83I14M20120419
knight capital kcg runs trading algorithms: http://seekingalpha.com/currents/post/455711
scary picture: 
http://www.cnbc.com/id/47515182
OECD growth should be 1.7% barring euro catastrophe
US growth 2.5% but i think this doesn't mean the stocks would want to grow that much, b/c the reason ppl like large cap US stocks is partially that they're international.
So let's say that US stocks "want to" grow 2% this year, plus a little more out of irrational exhuberance (let's say 2% exhuberance).
however this must be balanced against a potentially large decline if this event takes place: http://www.intrade.com/v4/markets/contract/?contractId=713737 . Currently intrade rates that at about 40%
so if X is the magnitude of the decline, the arithmatic expected value of US stock growth is 4% * .6 - X*.4
the breakeven point is then X = 6%. Which doesn't seem impossible if someone leaves the EU.
therefore, it's not unreasonable to bid U.S. stocks at 0% growth over this year, although most likely the EU will be fine and stocks will rise.
the markets recently:
Middle of 2010: Markets: Ok here we are recovering Central banks: here's some MONEY! Markets: yay!
Second half of 2011: US market: yay! US market to Europe: hey why u lagging? Italy: i still have some debts here y'know Markets: i'm scared! Central banks: O Rly? here's some more MONEY! Markets: yay!
beginning of 2012: US market: i'm bored AAPL: Hey guys! US market: Yay!
EU market: Guys? Where'd everybody go?
April 2012: US market: Wow companies make lots of $$$! Imagine how much they'll be making next year! Team America! Yeah! India: I'm tired Spain: I don't feel so great.
Beginning of May 2012: EU market: Guys? I'm getting scared US market: Letsee it's May what's on my calendar for may -- oh everyone sells in May (goes down a little) Alex Tsirpas: Hi guys! Markets: meh.
Spain: ouch. Some ppl: hey US market, why did you, like, go way up if you were scared of Europe? Nothing's changed since last year. Alex Tsirpas: Btw we're like, seriously, NOT leaving the Euro. Markets: (applying postmodern deconstruction; "Derive another reading of the text, one in which it is interpreted as referring to itself. In particular, find a way to read it as a statement which contradicts or undermines either the original reading or the ordering of the hierarchical opposition (which amounts to the same thing).") AAA!
May 21: G-8 meeting: message to world: "We definitely, certainly hope that everything works out ok" Traders, to US market: y'know, you can't just fall forever. US market: oh ok fine, i'll go up today
May 22: Asian market: oh the US went up, they must know something, because that's where all the money is, so i'll go up too EU market: oh the US market went up, they must know something, because that's where all the money is, so i'll go up too US market: oh the EU market went up, they must know something, because that's where the crisis is. i'll go up. Papademos: Hypothetically, if you thought about us leaving the Euro, you see that it would be a terrible idea and we shouldn't do it, and therefore we won't. US market: WHAT THEY THOUGHT THE FORBIDDEN THOUGHT that does it i'm not going up
May 23: Asian market: what, i heard someone in Greece talked about leaving the EU! (goes down) EU market: hot damn, we forgot to go down for the last few days! (goes down extra, making up for lost time) US market: oh no the EU market went down, they must know something, because that's where the crisis is! (goes down)
www.tradestreaming.com/2012/05/23/why-im-a-converted-believer-in-investing-in-p2p-loans/
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http://greenbackd.com/2012/05/23/dividend-yield-doesnt-work-what-does-three-key-conclusions/
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http://www.mebanefaber.com/2012/05/24/global-shiller-capes/
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"You scored 84.27 out of 100"
http://www.mebanefaber.com/2012/05/23/trading-system-backtesters-and-updates/
http://blogs.ft.com/beyond-brics/2012/05/24/em-investing-check-out-the-grid/
Another superb ETP site, ETFreplay.com, recently launched a Volatility Target Backtest tool. What this tool is designed to do is to demonstrate what historical returns would have looked like if one had taken a high volatility ETP such as a leveraged ETP, a VIX-based ETP, etc. and combined with a dynamic cash allocation and historical volatility data to limit exposure to a target volatility ceiling.
An example may make this easier to visualize. Let’s assume that you are bullish on the Russell 2000 index of small capitalization stocks and want to get some long exposure to these stocks with the +2x leveraged ETP, ProShares? Ultra Russell2000 (UWM). Last August, however, the 10-day historical volatility in UWM spiked over 160 and right now it is at 41 – and you decide those levels of volatility are unacceptable, particularly with all the uncertainty in Greece and across the euro zone.
The solution? How about a portfolio that dynamically allocates between UWM and cash, (here using the iShares Barclays 1-3 Year Treasury Bond, SHY), based on 10-day historical volatility data and targets a forward volatility level of 20%.
The graphic below shows the ETFreplay backtest results of such a portfolio, using a monthly rebalancing period and starting in January 2007, when UWM was launched.
http://www.crossingwallstreet.com/archives/2012/05/so-wheres-the-value-premium.html
http://seekingalpha.com/author/imfdirect/articles
http://blogs.worldbank.org/prospects/
i was missing this energy story:
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EIRL
http://seekingalpha.com/article/619351-bonds-do-not-make-stocks-cheap?source=yahoo
this paper suggests that companies that make political donations tend to give lower returns to shareholders:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=972670
load-to-deposit ratios for a number of banks (ldr):
sukuk: http://news.xinhuanet.com/english/business/2012-05/27/c_131612993.htm
http://rfs.oxfordjournals.org/content/22/5/1915.abstract http://seekingalpha.com/article/332262-the-limits-of-quant-models-for-tactical-asset-allocation?source=yahoo
" Robert Martorana picture More articles by Robert Martorana »
When The TIPS Bubble Bursts: A Cautionary Tale From Argentina Mon, Mar 5
Time To Add VIX? A Negative Roll Yield Makes It An Expensive Form Of Insurance Tue, Feb 28
Book Review: Frontiers Of Modern Asset Allocation, Part II Wed, Feb 8 inShare
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PompanoFrog Comments (451)
A "quant" model that trend follows is a "momentum" model. They may use the "quant" name, but they are not. Most hedge funds use true quant models. These use fundamental factors such as money supply, interest rates, valuation factors, etc plus some technical factors.The real benefit of a quant model is not only understanding the ongoing economic relationships, but in being able to invest with some degree of confidence during periods of chaos.
My own research suggests that all of the double digit performance of equities is during periods of chaos in the real economy. During the periods of calm there are little long term profits.
1 Feb, 06:11 PMReply! Report AbuseLike0
Frank123456 Comments (22)
<<I welcome comments from readers to point out the mistakes and limitations of my thinking.>>It sounds like you are glossing over the fact that you can blend human decision-making with quantitative analysis. Indeed, all quantitative work is programmed by humans and assumptions on economic and financial relationships can be viewed to be stable or changing. If its changing -- then the assumption based on historical data is probably false --- and you could consider fading it. If you believe the relationship is stable, then perhaps it's a go-with variable. Or perhaps its just deemed to be a random walk and you can't use it. In any case, you consider it and make a decision on it.
In your moms portfolio, it sounds like you are biased towards dividend stocks and corporate bonds in your allocation. So there is a built-in assumption that you think those will perform reasonably well on a risk-adjusted basis. A quant could take that same idea and choose to tilt 20% towards dividend stocks or corporate bonds based on X, Y or Z. Or could choose to just leave as is.
There is no right answer -- every allocation has assumptions baked into it, whether conscious of these assumptions or not. Saying quants are X and you disagree with X is to attack a straw man.
http://bit.ly/zrR413
1 Feb, 06:47 PMReply! Report AbuseLike0
Robert Martorana Comments (516)
Frank,
I can see how you would think I'm setting up a straw man to win the argument. In a sense, I am debating with a hypothetical quant who is slavishly following a mathematical system.I did this because I did not want to publicly attack a fellow contributor on Seeking Alpha. I have someone in mind, but I don't think it's constructive to call him out. Instead, I will invite him to a debate offline.
For now, I stand by my core thesis: "Using a pure quant system for tactical asset allocation is irresponsible, no matter how popular it becomes."
I appreciate your comments--hope I addressed your point.
Rob
1 Feb, 07:28 PMReply! Report AbuseLike1
candy-ra Comments (32)
The behavioral research suggests the exact opposite. Of course, it's hard to debate humans in general vs models in general. But most people have behavioral biases (hold losses too long, sell winners too soon, overallocate to areas they believe they know better than anyone else etc.) that cause their investment performance to lag. I do believe simple models (the ivy/cambria/jeremy-seigel one - roughly asset-class timing based on a 10-mo/200-day moving average) help humans correct for these biases and reduce risk (improve risk-adjusted return). Yes, that is a momentum model... it helps you remember to sell your losers and move on, which most people don't do. In the end, you need balance. If your black box is telling you something that your brain tells you is stupid, you probably shouldn't do it. But you should think and consider what it's saying - maybe it's your behavioral blinders that are letting you down.
2 Feb, 01:41 PMReply! Report AbuseLike0
Robert Martorana Comments (516)
Pompano:
Thanks. In retrospect, I should have just said a momentum model, though it's not always the same thing.
As you noted, a true quant model allows for fundamental inputs, and for human judgement. Unfortunately, I have seen some quants that slavishly follow whatever the black box tells them. I'm even thinking of challenging one to a debate.
But I digress. As you noted, the profits are in the chaos. I actually did OK during 2008-2009, since there were ample warning signs. I got back in too early, but not much. How about you?
Rob
1 Feb, 06:47 PMReply! Report AbuseLike1
SeekingTruth Comments (832)
In my early 30's,. I devised a layman's file that I called my FIESTA file.
It served me fairly well when I tended it.
My job, family, hobbies, golf, moving around, designing and building houses, etc. did blunt its effectiveness however.FIESTA was an acronym for:
F = Fundamentals
I = Interest rates (all of them), and Insiders.
E = Economy (as much as I could absorb)
S = Sentiment & Seasonalities
T = Technical's (mostly for tie breakers, timing and close calls), also Taxation. Also Treasuries, including Zero coupon bonds.
A = Administrative (Congress, new laws, etc.), and "most trusted" Advisors"
GTAA is Melane Faber's thing! why doesn't it work?
this article basically argues "because trend following is stupid": http://seekingalpha.com/article/332262-the-limits-of-quant-models-for-tactical-asset-allocation?source=yahoo
it makes a lot of good points
http://seekingalpha.com/article/349061-book-review-frontiers-of-modern-asset-allocation-part-i
note: ppl say that mean/variance portfolio optimization would be a good idea in theory, except: (a) due to the nature of exponential growth, small estimation errors in the mean expected return and variance of expected return of various asset classes lead to large mistakes in the outcome (b) since real-world data is scarce, we end up using datasets that probably overweight the last decade or two (since that's all the data we've got). Which means the model will tell us to overweight assets classes which have done well recently, which is the opposite of what we should be doing
http://rfs.oxfordjournals.org/content/22/5/1915.abstract suggests that we'd need 3000 months (250 years) of data before the error bars on this sort of estimation would get reasonably low !
recc'd by Robert Martorana as examples of 'good', human-run trend following: http://portfolios.morningstar.com/fund/holdings?t=WASCX®ion=USA&culture=en-us http://quote.morningstar.com/fund/f.aspx?t=paaix although he may not like human-run trend following in general
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" The Real Markowitz Portfolio: How did Harry Markowitz manage his own money? Did he use a complex algorithm to determine his asset allocation? On page 306 we find that Markowitz told Jason Zweig the answer in 1988: Markowitz had a 50/50 mix of stocks and bonds. Somehow I find it heartening to know that Harry Markowitz used heuristics for his own portfolio. " -- http://seekingalpha.com/article/349081-book-review-frontiers-of-modern-asset-allocation-part-ii
" Reported Volatility Is Too Low: Kaplan showed how the reported volatility is too low for small-cap stocks, real estate, and hedge funds. He offers detailed analysis of each, and proves his case. "
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black turkeys: big downturns happen often but we like to pretend they don't http://www.slideshare.net/morningstarfr/beyond-the-bell-curve
dunno if this is what they mean to recommend but the last slide says:
stocks 66% long term bonds 12% IT bonds 22% cash 0%
http://www.slideshare.net/morningstarfr/beyond-the-bell-curve
in the short term, market returns explain 80% of performance. In the longer term, (static) asset allocation explains 20% and active management explains 20%.
" "What the Active Share research has revealed is that managers relying on market timing are less likely, on average, to add value than managers who engage in stock picking," Prahl said. For those opting for passive portfolios, "stock picking is a lot to give up. That's what the Active Share literature shows," he added. " -- https://www.lordabbett.com/advisor/commentary/investmentperspectives/asset-allocation-setting-record-straight/
http://www.morningstar.co.uk/uk/655/articles/97062/Investing-in-Europe-with-More-Style.aspx
need to look at quadrants large-cap/small-cap, value/growth; two of these quadrants may be favored at a particular time
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has a piechart of total estimated market capitalization of various asset classes:
Asset Allocation in the 21st Century corporate.morningstar.com/.../Ph.D.%20Paul%20Kaplan,..
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over most periods of 60 years and longer, stocks perform better than bonds
but over the past 30 years, bonds have performed better! so stocks can do worse for an extended period of time!
--- http://seekingalpha.com/article/621501-balancing-risk-reits-that-outperform-in-good-times-and-bad
SWPSX uses Schwab equity ratings (but is too high on IT for my liking)
http://seekingalpha.com/article/593741-rising-rates-etf-portfolio
http://aswathdamodaran.blogspot.com/2012/05/how-much-is-growth-worth.html
" But the move into giant funds could result in lower returns. Studying performance for the 15 years ending in 2010, PerTrac? found that young funds delivered the best results. For the period, funds that were less than two years old returned 16.2 percent annually, while funds that were two to four years old returned 12.2 percent, and those with track records of more than four years returned 10.9 percent. The young funds delivered extra returns while recording lower risk as measured by standard deviation. In addition, small funds with less than $100 million in assets outperformed larger funds by a wide margin. "
http://seekingalpha.com/article/626611-global-macro-the-u-s-equity-rundown?source=yahoo
country rotation accu
. The new ETFs, including the Horizons Universa Canadian Black Swan ETF (HUT) and Horizons Universa U.S. Black Swan ETF (HUS) will combine traditional exposure to stock indexes with an actively-managed options strategy.
from lowest risk to highest: COBO QLTA LQD HYG QLTC
http://etfdb.com/2012/which-sector-etfs-are-cheap/
etf news: http://etfdb.com/features/
sustainable investing AdvisorShares? Launches Global Echo ETF (GIVE)
DFJ (japan small cap)
btal (low beta)
position sizing for trading:
i think the thing to do is to make positions just the size so that you care.
if the position is big enough that you care too much, you lose the ability to think rationally about it. this is obvious but i'll give my anecdotal evidence anyhow. right now i have a position that is too big on. it's more than 2% of my money. it's not so much that i'd be in financial trouble if i lost all of it, but it's enough that i'd be happy if it went the right way and unhappy if it went the wrong way. i find that i have trouble sleeping as late as i usually do because i want to get up and check the market. i am constantly questioning if i should close the position. i find myself thinking about this even though i've already worked out my strategy for deciding when to close it and even after i've determined that none of the new information of the day should make me take any action. i find myself wanting to lookup more data on financial blogs to get some clue about what i should do, even though i already know the answer and it's unlikely i will learn anything that will make me change my mind. because of this, i feel like i should reduce the position size, but when i think about this i get clouded by emotion and so i don't want to make any decisions in this state, and so i decide to just follow through on the strategy i thought of before. this is a silly position to be in. i still have the possibility to make money off of the thinking i did when designing the strategy, but i am impaired in my ability to incorporate new information and change my mind -- and competing against other market participants who are not impaired in this way.
the more surprising anecdote, at least for me, is that if the position is too small, you aren't motivated to really think about it. i used to buy very small numbers of shares of stock. sometimes i made money, sometimes i lost it, but the amounts were trivial compared to the amount of money i spent on groceries each week. later, when i started taking larger positions, i found myself actually thinking through what might happen, and learning about all sorts of things i didn't know about before, such as bid-ask spreads.
i don't quite understand this but i think it's important: http://www.pimco.com/EN/Insights/Pages/Wall-Street-Food-Chain.aspx
an argument for decoupling:
http://wallstreetexaminer.com/2012/05/30/safe-haven-could-u-s-markets-rally-in-a-global-decoupling/
http://www.irishtimes.com/newspaper/finance/2012/0601/1224317056033.html
the social utility of finance:
An example in which you can see all of these is: funding tech startups.
http://www.forbes.com/sites/tomaspray/2012/05/23/global-etfs-warned-of-us-weakness/?partner=yahootix
the current U.S. national debt per taxpayer is about $138558 ( http://www.usdebtclock.org/ ). maybe a good rule of thumb would be for each taxpayer to keep at least that much in relatively liquid assets?
note that total debt per FAMILY is higher (693561)
http://seekingalpha.com/article/632591-aim-for-the-middle?source=yahoo
VQT vs splv vs vspy: http://vixandmore.blogspot.com/2012/01/comparing-splv-and-vqt.html
http://vixandmore.blogspot.com/2012/01/three-new-risk-control-etfs-from.html VSPY? VSPR? VLAT? not recommended (b/c actually you should be OVERWEIGHT during exceptionally high volatility, see below)
INSD, KNOW
" One of the interesting aspects of the approach taken by VSPY, VSPR and VLAT is that these products will tend to have minimum exposure when the VIX is at its highest – and as anyone who has ever looked a chart of the VIX and SPX/SPY knows, this is typically when stocks bottom and begin a sharp bullish move.
With impeccable timing, EconomPic? Data just happened to publish a study yesterday, VIX as a Predictor of Equity Returns, which concluded that for the most part, SPY daily returns were much higher with an elevated VIX than with a historically low VIX. "
http://sixfigureinvesting.com/2012/05/why-18-5-is-the-right-pe-ratio-for-the-sp-500/ argues that you can invest in the S&P 500 whenever this number is less than 18.5 (or rather, he says that you should NOT invest when it is higher)
http://stocktwits.com/symbol/VQT
http://marketsci.wordpress.com/2012/05/31/taa-model-for-june-2012/
when it is high, sell puts instead of buying stocks: when volatility is ridiculously low, buy calls instead of stocks;
http://econompicdata.blogspot.com/2012/05/put-selling-as-replacement-for-stocks.html
" Q: Is there a strategy or style which is most effective at generating return?
[Jack Schwager] The diversity of strategies people use is truly remarkable, I saw people using completely different strategies to the degree that if I had set out to invent 15 different strategies for a fictional work…. I couldn’t have made the strategies more different to the ones I saw in real life! This illustrates a point I have made in all my works insofar as there really is no ‘holy grail‘ or single style that is most effective. Those people looking for a single unified strategy are not asking the right question.
...
It’s important to also look at the importance of doing nothing. The inspiration for this comes from something Debussy once said, “…music is the space between the notes.”
This is a great analogy as the key to successful trading really is the space between trades! It’s not just a matter of making the right trades… but also not doing anything when things aren’t right. I use one specific example in my book which I think highlights this really well, and that is a fellow called Kevin Daley (manager of the Five Corners Fund). Kevin has a hedge fund, but not in the conventional sense… It’s an account he runs from his home. If anyone wants to invest that’s fine, but fundamentally it’s a one man operation that he has never really looked to expand. He’s essentially different from many other traders by being someone who is very close to only trading long equity positions. He does go short on occasion, but these positions are contained to well under 10%. What I found particularly interesting about his track record is that over 12 years, he has a cumulative return in excess of 800%. The really interesting point is that over the same period the S&P had a return of 0%! How did he make over 800% as a near long-only when the index is flat? There are two elements… Firstly, he is a very good stock picker. The more important reason is that during the big bear markets like 2000-2 and 2008… while he may be down, he’s only down single digits. When opportunities are not good, he simply does not invest! or does so very lightly. Instead of losing money, he treads water. "
" Q: What are the distinctions between trades that are “Winning or Losing” vs. “Good or Bad?”
[Jack Schwager] If you asked most people to categorize good trades and bad trades, you would find the answers to be quite simple… If it makes money it’s a good trade, and if it loses money, it’s a bad trade. That’s not true at all… "
" Q: Do successful traders share any behavioral or personality characteristics?
[Jack Schwager] I can assure you that the personalities of traders are extraordinarily diverse. You meet people who are painfully shy, overly extroverted, egocentric, academic, athletic and more. If you put the most successful traders up together, you wouldn’t find any common personality denominators.
There are however, some successful traits. People who are successful traders will have the ability to quickly admit that they’re wrong. Regardless of their personality, they will have flexibility. The worst traders in the world are those who are politically committed one way or another and don’t listen to anything else. This is really critical to trading success and a trait which has been shared by virtually every trader I’ve met.
Discipline is also important. People who are successful will do things because they have to be done. If they go on vacation, they will probably check-in… getting up in the middle of the night often. They will do things which may be uncomfortable and contrary to living a ‘happy‘ or ‘good‘ life. "
" Q: Have success methodologies changed much in the last 25 years?
[Jack Schwager] I once asked Ed Seykota if markets were different ‘back then‘ looking at the world 20 years ago. He told me markets are the same now as they were, they’re always changing. Markets are always different and part of the process is adapting and maintaining traits that allow you to win in any environment.
The past 25 years have seen an increase in the diversity of strategies. Going back to the beginning of this period, a lot of complex strategies we use now simply didn’t exist. There wasn’t credit arbitrage, structured products and more. Alongside this, computers have become more important meaning that simple algorithmic strategies such as trend-following don’t work as well now. As the market moved from having very few managers of scale to having a lot of single managers running $10-20 billion, you saw an environment that changed from having a few big fish and a lot of small ones to having a huge amount of big fish in the pond. "
advocates owning Swedish krona: http://www.ft.com/intl/cms/s/0/45b0ca1a-a42a-11e1-84b1-00144feabdc0.html#axzz1xS9ANe4S
advocates owning canadian, norwegian, swedish, and singaporean currency, as well as swiss, dollar, and japanese
Currencies from fiscally healthier nations (Canada, Norway, Sweden, Singapore) Traditional safe havens: CHF, USD, JPY. Note: If the EZ continues to deteriorate the odds rise that safety demand for the CHF overwhelms the SNB, it abandons or lowers its peg to the EUR ,and the CHF soars. Also, despite their deep fundamental weaknesses, the USD and JPY continue to perform well in times of fear.
alternatives:
http://seekingalpha.com/article/641041-getting-whipsawed-only-in-hindsight?source=yahoo
faber on what happens when things are below 200 MA: http://www.mebanefaber.com/2009/04/03/where-the-black-swans-lie/
europe ETFs:
http://seekingalpha.com/article/651301-top-10-european-regional-etfs
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indicators that Chris Ciovacco looks at: S&P 500 Dow Copper VIX commodities treasuries (both US and foreign) semiconductors global stocks nasdaq european banks foreign stocks S&P 500 equal weight
The “Predicted Surprise” – for earnings – the percentage difference between StarMine’s? SmartEstimate?, which puts more weight on recent forecasts and top-ranked analysts, and the mean estimate of all analysts
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http://www.optionpit.com/blog/vxapl-aapl-iv-index-near-jan-lows
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dividend screens:
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http://www.ritholtz.com/blog/2012/01/revisiting-quant-approach-to-tactical-asset-allocation/
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Scott Teresi Says: January 15th, 2012 at 5:17 pm
I think GTAA is underperforming because the market is rising while bouncing around the 200-day SMA (similar to 10-month SMA). GTAA went risk-averse just after SPY plunged 15-20% in August. Then as SPY recovered, GTAA was still in risk-averse assets and has fallen behind. If the market plunges again soon, GTAA will look very smart. Otherwise, its market call based on the moving averages had a cost in lost opportunity.
With not much data on GTAA over very many market conditions, it’s hard to see if this will be typical of the algorithm or just the occasional price of using a risk-managed asset allocation fund.
Maybe so many advisors are now using trading strategies similar to GTAA that the fund will become a contrarian indicator. (Hope not, since I have some money on it, believing in the strength of Mebane Faber’s long-term tests in his 2007 paper!) "
http://online.barrons.com/article/SB50001424053111904582604576432140042746566.html
http://www.thedigeratilife.com/blog/momentum-investing-chasing-performance-following-trends/
http://www.advisorperspectives.com/dshort/updates/Monthly-Moving-Averages.php
http://www.bogleheads.org/forum/viewtopic.php?f=1&t=92413
prosper
lending club
--- GURU ALFA (long-short although the chart doesn't show this!)
oh here's why "Dynamic Hedging. to manage systemic market risk, the index utilizes AlphaClone's dynamic hedge mechanism which can vary the index between being long only and 50% long/50% short a broad US market index depending on certain market price targets. The mechanism seeks for the index be long only during protracted market run ups and well hedged during multi-month bear markets."
http://www.forbes.com/sites/abrambrown/2012/06/10/a-new-etf-built-on-stocks-from-top-hedge-funds/
mb should construct a hedged version of these..
FNSAX
" Todd Sullivan (Value Plays): Rail traffic/Temp employment. If you had cut off all communication with the outside world & only looked at those two indicators over the last 4 years, you would have known both the timing of the economic recovery and you would have known a “double dip” was simply not going to happen. Yet, every day we sees more second and third tier metrics being used because they back to bias of the person using them….. It is simply, rails & temp employment ….if you want to get fancy, add car sales housing starts. "
http://dynamichedge.com/2011/11/18/how-to-identify-program-trading/
http://falkenblog.blogspot.com/2010/07/batesian-mimicry-explanation-of.html
ed thorp (not to be confused with Mackenzie Thorpe) on his trend following strategy: http://abnormalreturns.com/ed-thorp-on-trend-following-an-excerpt-from-hedge-fund-market-wizards/
http://www.reuters.com/article/2012/06/15/japan-economy-boj-idUSL3E8HF0J420120615
" Income-seeking investors should certainly look at British companies. That's because British shares generally pay higher dividends, mostly because our government doesn't tax dividends twice. A fair number of British companies are already listed on the New York Stock Exchange, so you don't need to worry about foreign-exchange costs, and these companies pay their dividends to American shareholders in dollars. "
" Cheaper shares If you take two companies that are identical in every respect, except that one is based in America while the other is located in Britain, then the British company's shares would probably trade at a lower price-to-earnings ratio.
One reason for the discrepancy is that it's easier to do business in America, mostly because British society is still influenced by the lingering remains of a mixture of socialism and the medieval feudal system that America rejected in the Constitution. So some Britons still consider trade and commerce to be "vulgar" and beneath them, longing for the days depicted in television's Downton Abbey, while others (far fewer than there used to be) still believe that every problem can be solved by more government.
But in several industries, Britain leads the world, and when you buy shares in some "British" companies, what you're really obtaining is an investment in a global company that just happens to be listed on the London Stock Exchange. We're the nation that invented international capitalism, along with the Dutch, and we're still pretty good at it! "
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http://money.cnn.com/2011/02/10/markets/dollar/index.htm
http://en.wikipedia.org/wiki/Special_drawing_rights
dollar euro yen pound2011–2015[47][note 2] 0.6600 (41.9%) 0.4230 (37.4%) 12.1000 (9.4%) 0.1110 (11.3%)
$NYA200R
Greek VC fund:
http://theopenfund.com/Investors/Apply
the minimum investment is too high for me (30,000 Euros) but i think this could be an excellent investment. I'd invest in it if i had more money.
TaxiBeat? sounds particularly interesting
ideas for safeguarding your money in the event of major trouble:
http://www.businessinsider.com/it-starts-the-governments-plan-to-steal-your-money-2012-6
zerohedge guest post has some simple steps too: "
Maintain significant bank and brokerage accounts outside your home country. Consider setting up an offshore asset protection trust. These things aren't as easy to do as they used to be. But they'll likely be much less easy in the future.
Make sure you have a significant portion of your wealth in precious metals and a significant part of that offshore.
Buy some nice foreign real estate, ideally in a place where you wouldn't mind spending some time.
Work on getting official residency in another country, as well as a second citizenship/passport. There's every advantage to doing so, and no disadvantages. That's true of all these things." -- http://www.zerohedge.com/news/guest-post-how-save-your-money-and-your-life
quantitative metrics to evaluate strategies:
http://onlinelibrary.wiley.com/doi/10.1002/9781118267684.app4/pdf
High-Performance Managed Futures: The New Way to Diversify Your PortfolioPublished? Online: 2010 by Mark H. Melin Appendix D: Identifying True Risk and Utilizing the Best Managed Futures Performance Measure
i like this guy's weekly summaries. mb someday i should invest in his Strategic Growth HSGFX or Strategic International HSIEX fund
http://www.hussmanfunds.com/theFunds.html
i think this is right on target, i was going to write about some of these mystelf:
" Four Real-World Investing Rules That Should Be Taught in Schools By Michael Comeau Jun 20, 2012 12:00 pm When investing in the real world, textbooks and theory aren't much help.
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