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Carlton Chin, CFA

 
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  • QE3: Market Reaction, Pre-Action And Outlook - Gold, Commodities And U.S. Dollar [View article]
    Thanks for your comment. LOL: I know what you mean about everyone having an opinion (and making heads spin!).

    While inflation may not rise rapidly in the near-term (still have economic drag), printing money will eventually create inflation. And -- at least for now -- that is what the gold market is reflecting. Stay-tuned...
    Sep 24, 2012. 12:49 PM | Likes Like |Link to Comment
  • A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
    On Rebalancing:

    It's funny that you posted your comment when you did. (I recently did some research on rebalancing.) There's a tradeoff between staying true to the desired asset allocation -- versus: execution costs (commission and slippage), and normal market action (fluctuations, trends).

    Rebalancing too frequently can create extra costs. On the other hand, rebalancing infrequently allows the asset mix to drift -- and can increase risk (nominal risk and risk relative to the desired mix). Based on other publications -- as well as Monte Carlo simulations I performed -- the data DOES show that rebalancing too frequently can give up some gains in exchange for potential expected asset mix drift. This is evidence of how markets can trend -- and yield excess performance for holding assets that are trending... (But some of these topics might be the topic of other research/articles)... The "sweet spot" for rebalancing seems to be 6-14 months, depending on the assets/investment vehicles -- and investment goals.

    Interestingly, some products (like commodity indices) are designed to rebalance annually rather than monthly (or even daily)...
    May 5, 2012. 09:11 AM | Likes Like |Link to Comment
  • Commodities: Gold At A Crossroads [View article]
    Thanks for reading -- and the comments! :) Here's to a happy, healthy & bright New Year in 2012!
    Dec 21, 2011. 07:30 PM | Likes Like |Link to Comment
  • A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
    I admire and respect Roger Nusbaum for what he adds to our industry and community -- and was happy to see him comment on my article:

    wallstreetpit.com/7892...

    Thanks again to everyone -- for ALL of the comments -- and interest in this subject.

    I am interested in ETFs and low-cost funds that offer exposure to alternative investments and other low-correlated strategies; please add your favorites via comments here -- or via pm/email.
    Jul 7, 2011. 08:52 AM | Likes Like |Link to Comment
  • A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
    MANY thanks for your comments and interest. Some quick thoughts:
    - I like the Vanguard funds due to fees, etc.
    - Some people might prefer to use one family of funds to reduce paperwork. This is why we listed some of the associated Vanguard funds.
    - I DO like the SPY -- as well as the ideas mentioned about Rydex's equal-weight ETFs.
    - This allocation tries to make use of both diversification benefits as well as the output of intermediate to long-term trading models. (I am mentoring a university's financial markets class -- and will publish results of regularly -- so the model's results are more "forward-looking" than "based on backtesting").
    - Rebalancing -- this is meant to be an intermediate to long-term allocation, with rebalancing perhaps quarterly to annually.

    VERY insightful comments by all!! Thank you for reading!
    Jul 6, 2011. 07:49 AM | Likes Like |Link to Comment
  • A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
    Thanks for your comments. I do, actually, come from a pension fund/institutional investing background -- and believe alternatives are a great way to add diversification.
    Jul 5, 2011. 08:09 AM | Likes Like |Link to Comment
  • Modeling March Madness as a Marketplace [View instapost]
    Some interesting info on the output of the March Madness pool. Modeling the games as a financial marketplace resulted in interesting -- and potentially useful -- probabilities.

    whowillwinthebiggame.b...
    Mar 17, 2011. 11:35 AM | Likes Like |Link to Comment
  • Commodities: Prices and Volatility Increase [View article]
    Charts updated (so left-hand side axis labels are not clipped off).

    Thanks to the team at SeekingAlpha.com!
    Nov 17, 2010. 10:27 AM | Likes Like |Link to Comment
  • Commodities: Prices and Volatility Increase [View article]
    The charts were clipped on the left-hand side; but the maximum for the first chart is 6.0% (Liquid Commodities Index hit a high of almost +6% during November before commodities sold off).

    In the second chart (Managed Futures program), the maximum is 12%.
    Nov 14, 2010. 09:24 AM | Likes Like |Link to Comment
  • Championship Traits that Win World Series [View instapost]
    If you are following the World Series, here is an additional article based on a combination of quant research on concepts of sports psychology by Carlton Chin, of Adamah Capital, and Jay Granat, of StayIntheZone.com (for our book, "Who Will Win the Big Game?").
    ___

    SF fans may prefer the NY Times article -- since the article (which focuses on the numbers) leans to the Giants...
    bats.blogs.nytimes.com.../

    Texas fans may prefer this article, by my co-author, who goes for the softer "psychological" factors.
    www.northjersey.com/co...

    For purposes of the book's blog "prediction record," the "official" selection for the World Series will remain the Giants (the original pre-World Series-published article in the NY Times) -- based on our "quant facts."

    Happy Halloween!
    Oct 31, 2010. 08:49 AM | Likes Like |Link to Comment
  • Portfolio Optimization With Rising Correlations and an Evolving World [View article]
    Hi Herb,

    Very sophisticated questions.

    More realistic estimate of probabilities: I like semi-deviation as an easy-to-explain measure (volatility and risk to the downside). Additional measures that help describe return distributions -- would involve calculating additional "moments" such as skewness and kurtosis (the fat-tailed distributions that many investment strategists strive for = minimize losses, fattening profits).

    Semi-correlation is somewhat similar to correlation, except it studies periods where certain assets decline. This can give a "true" measure of diversification during financial crises.

    There is also a branch of statistics that studies the probability of big dislocations such as crashes in markets (Extreme Value Theory) - which is very interesting...

    We can communicate via email / PM as well.

    Thanks,
    Carlton
    Jul 20, 2010. 07:14 PM | Likes Like |Link to Comment
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