Seeking Alpha

Henry Ma, CFA

 
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  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    Good article. I have used a similar but more sophisticated approach to a dynamic asset allocation strategy. The results and monthly updates of the strategy can be found at my blog: http://bit.ly/AF97hv if you are intereted.
    May 26 12:32 AM | Likes Like |Link to Comment
  • All-Season Investment Strategy II: Using Cross-Asset Momentum As A Downside Protection Mechanism [View article]
    The blog currently publishes and updates four portfolios (aggressive, moderate, conservative and defensive) every month based on the methodology. I will start publish the update the TWO asset portfolio recommendations on March 1. Sorry for the confusion.
    Feb 26 04:27 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy I: Using Economic And Technical Indicators To Protect Your Portfolio In Bear Markets [View article]
    It is one-year growth rate.
    Feb 13 12:06 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    1. I used a simple life cycle investment formula: 100- age as the percentage of risk assets. For example, the aggressive portfolio have 20% in bond and 80% in risk assets, which is designed for people in their 20s and 30s. When the indicators suggest overweights to particular asset, I add 5% to the asset in the aggressive portfolio. In the end I make adjustment so the total weight is equal to 100.
    2. I rebalance every month.
    3. I do have commodity, gold, real estate, MLP as additional asset classes. If everything goes down, the strategy may not perform well. That happened in 1994 for the moderate portfolio, the only negative year for the portfolio though it was a small loss.
    Feb 11 08:14 AM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    For full disclosure, some of the indices don't even have data back to the 70s. I did use some proxies or leave them as it. That means in the early years, the strategy does not cover the whole set of ETF/indices.
    Feb 10 01:40 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    agree.
    Feb 10 11:21 AM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    The composite indicator is considered proprietary.
    Feb 10 11:21 AM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    I used total return.
    Feb 9 04:53 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    I used data of the underlying indexes to get a longer history.
    Feb 9 08:22 AM | 1 Like Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    Thank you for your comment. I will consider adding SHV. With regard to VQT, I will not add VQT because it is an active strategy not an asset class.
    Feb 8 05:00 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy III: A Low Risk Solution [View article]
    I ranked the 14 etfs for each time periods and then add the ranks to get a combined rank. The momentum is defined by the combined rank.
    Feb 8 04:57 PM | 1 Like Like |Link to Comment
  • All-Season Investment Strategy I: Using Economic And Technical Indicators To Protect Your Portfolio In Bear Markets [View article]
    Thank you for your feedback. My quick answers:
    (1) It is OK to have stock market as part of LEI. That does not change the story;
    (2) I am not using LEI to forecast stock market returns next month, Instead I use it to identify economic and market downturns. LEI did pretty good there as shown in the article.
    Feb 7 06:52 AM | 1 Like Like |Link to Comment
  • All-Season Investment Strategy II: Using Cross-Asset Momentum As A Downside Protection Mechanism [View article]
    Momentum strategy or trend-following strategy has been used by commodity trading advisors (CTA) for many decades. Mebane Faber might be the first one to use it in the context of asset allocation.
    What I am proposing is to combine momentum with another risk on/off indicator (please see Part I of the strategy) to get a better results, which will be published in Part 3 of the strategy. You can visit my blog http://bit.ly/AF97hv for more information.
    Jan 30 07:30 PM | Likes Like |Link to Comment
  • All-Season Investment Strategy I: Using Economic And Technical Indicators To Protect Your Portfolio In Bear Markets [View article]
    Good question. Leading Economic indicator is published weekly by Economic Cycle Research Institute. I used the data lagged by a week to avoid the look-ahead bias. Hope that answers your question,
    Jan 24 10:46 PM | Likes Like |Link to Comment
  • Multi-Asset Investment Strategy In September 2011: Reducing Equity Exposures [View article]
    I was traveling. I will recommend the same allocation for October. Sorry.
    Oct 12 01:59 PM | Likes Like |Link to Comment
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