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Jeff D. Hamann

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  • A Simple 5 ETF, 10% Return Portfolio That Minimizes the Mean Absolute Deviation [View article]
    Indeed it *is* an idea that needs constant revision - just like most things in life. Our commodity allocation changed from IAU to SLV sometime last fall (October I think) and it went wild. Don't get me wrong, I'm surprised SLV has remained in the portfolio as long as it has. Considering the crash-like nature of SLV this week, a revision to any "strategy" should include some sort of asset-level protection as well... don't you think?

    We're finding that rebalancing should be *considered* quarterly to revisit old assumptions, ingest new information, and allow for previous changes to become visible. It seems rational that any portfolio (retirement or otherwise) should be examined early and often and not allocated and neglected.
    May 5 11:01 AM | Likes Like |Link to Comment
  • A Simple 5 ETF, 10% Return Portfolio That Minimizes the Mean Absolute Deviation [View article]
    I think it's a great start. It covers a good set of various asset classes, but I would be nervous about having fixed weights (allocations) without rebalancing to account to different economic conditions.

    Also, considering the portfolios I've been posting are 252 trading day look backs and SLV has been exhibiting a very bubble-like behavior, having both IAU and SLV might be over-allocated to commods.

    What about GSG or DBC?

    May 5 10:56 AM | Likes Like |Link to Comment
  • Dwight D. Eisenhower Farewell Address, January 17, 1961  [View instapost]
    A great read. Thank you.
    Apr 1 11:51 AM | Likes Like |Link to Comment
  • IBM: Looking Ahead to 2015 [View article]
    I wouldn't hold onto anything that holds onto you and stocks don't love you back. Corporations, no matter how they make you feel, will dump you the first chance they get to improve their bottom lines. I suggest your friend do the same. All financial assets should be critically and continuously analyzed with set of rules that get you to your financial goals and objectives. Looking forward to your analysis!
    Feb 10 10:48 AM | Likes Like |Link to Comment
  • IBM: A Case Study on Replacing Stock With Call Options [View article]
    Great article!
    Feb 9 09:39 AM | 1 Like Like |Link to Comment
  • Mean Absolute Deviation (MAD) Portfolio: January ETF Picks [View article]
    True. Thanks for following.
    Feb 8 05:23 PM | Likes Like |Link to Comment
  • Mean Absolute Deviation (MAD) Portfolio: January ETF Picks [View article]
    The objective is to have a repository of historical results that goes beyond anecdotal rules (e.g. have your age in bonds, buy-low-sell-high, etc.) I'm making the assumption for now, that: 1) the investor will not be able to pull out of the market at that critical time and the only hope is to have your "bets" placed smartly; 2) the method does not require "exotic" instruments (i.e. options); 3) most self-directed managers won't have all tools at their disposal, only those that can be quickly accessed with little or no education; and 4) our definition of optimal includes our constraints, which are not unrealistic for more managers - we don't want 60% SDS, 40% SPY for example - most people wouldn't pass the "can I sleep at night?" test.
    Feb 8 05:22 PM | Likes Like |Link to Comment
  • Mean Absolute Deviation (MAD) Portfolio: January ETF Picks [View article]
    While it is true MDY outperforms JKG, it was not included in the universe of possible assets for these examples.
    Feb 8 05:15 PM | Likes Like |Link to Comment
  • Mean Absolute Deviation (MAD) Portfolio: January ETF Picks [View article]
    The data are the adjusted daily closing prices, which include splits and dividends. The returns are the computed daily and I computed the mean from those values, then annualized assuming 252 trading days per year. The same process was applied to compute the standard deviation. It's a simplistic methodology designed to serve as a starting place for a framework for examining portfolio allocation questions.
    Feb 8 05:13 PM | Likes Like |Link to Comment
  • Treasury Yield Snapshot [View article]
    Love the charts!
    Feb 5 04:08 PM | Likes Like |Link to Comment
  • 15 Reasons to Own Silver Going Forward [View article]
    I couldn't agree more. Silver has been in my minimum absolute deviation portfolios for months as a result of the recent performance, and I suspect it will continue to be included for some time. Could you please post some links to your opinions so your readers can verify your facts? Thanks for a great post.
    Jan 27 10:55 AM | 2 Likes Like |Link to Comment
  • 5 Takeaways From My January ETF Portfolio [View article]
    It depends on your portfolio's objectives. If it's part of a well balanced portfolio (does your investment represent more than about 10% of your total investable portfolio?), then hang on to it for now as it will smooth the bumpy ride that comes with the next correction. If you're over exposed, that is to say, you have too much SDS in your portfolio, and you feel it sucking your capital away, then I would wait until the next correction and rebalance to achieve our investment policy (max return, target return-min volatility, etc.). If you're underexposed, then you might think about including a short position like SH or DOG, not as a speculation on price movement, but as an asset that absorbs the bad odors of a down market.

    There's more to it than just the purchase price. What's the time horizon for the investment? Is this a trade for short term or long term gains? Are there other assets in your investable portfolio that have performed well? Is this asset in a taxable or tax advantaged account? One option might have been to sell it at a loss at the ned of last year then repurchase a similar, but less volatile asset in the new year. Also, what are your technical indicators (fast/slow stochastic measures, MACD) telling you about your loss limits?
    Jan 13 12:29 PM | Likes Like |Link to Comment
  • 5 Takeaways From My January ETF Portfolio [View article]
    I'm always trying out new metaphors about asset classes, econometric concepts, and individual ETFs. I'm still working on responses to the "Why would you purchase, and possibly hold, 'losers' like shorts and double shorts?"

    Respectfully,
    Jeff.
    Jan 7 09:49 AM | Likes Like |Link to Comment
  • 5 Takeaways From My January ETF Portfolio [View article]
    Did it reduce the volatility overall? I'm thinking that it might be more advantageous to include one of the newer volatility ETFs (i.e. VIXM and VIXY), but I haven't performed any calculations for including volatility indexes as an asset class. My can portfolio includes several negatively correlated and leveraged assets, but I think many self-directed investors would rather steer clear of portfolios with "exotic" assets.
    Jan 6 01:11 PM | Likes Like |Link to Comment
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