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...
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)...
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.
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!
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.
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%.
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...
QE3: Market Reaction, Pre-Action And Outlook - Gold, Commodities And U.S. Dollar [View article]
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...
A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
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)...
Commodities: Gold At A Crossroads [View article]
A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View 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.
A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
- 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!
A Well-Balanced Portfolio Including Alternative Investment ETF Allocation [View article]
Commodities: Prices and Volatility Increase [View article]
Thanks to the team at SeekingAlpha.com!
Commodities: Prices and Volatility Increase [View article]
In the second chart (Managed Futures program), the maximum is 12%.
Portfolio Optimization With Rising Correlations and an Evolving World [View article]
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