Is A Low-Volatility Portfolio The Key To Investment Return? [View article]
Oh, I see how you are computing this. Some mutual fund advisors do this...
I wouldn't take a simple annual average like that - using CAGR would be more meaningful. If shares went from 100 down to 1 and back up to 110 - your calculations would show a negative number even though I am up 10%.
I'd like to see the data but I took the above report as that the total return over specified periods of time or the mean tendency of the share prices had a slower growth rate.
Is A Low-Volatility Portfolio The Key To Investment Return? [View article]
I am curious as to why this is so. I hope Shannon drills deeper into the individual securities instead of simply saying 'well, this is what happened in the past and we can assume it will work going forward'. I am a big fan of backtesting using strategy but I'm failing to see the 'why this works'. Is lower volatility due to lower risk in the securities? If so - define lower risk other than beta. What metrics made these better companies? Or is it that the types of investors drawn to these types of firms have guts of steel in all markets? If the latter is true and everyone, including emotional investors, now flock to these low volatility stocks and products - they won't stay low volatility for long. Then the next study will say - 'yes, it was low risk but when it dropped 90% it suddenly became high volatility so you shouldn't have been invested in it."
I'm not knocking the article or the research done - I actually run a model based on the principles - yet I have this uneasy feeling that we are looking at the product of some actions that have not yet been determined. The 'why' is everything, and simply that it has happened for the last 40 years is something.
What Are Analyst-Based Market Timing Signals Saying? [View article]
Its a confirmation signal. If the main indicator is down, I wait for share prices to breach the 100 day weighted moving average.
On the flip side (for most of the strategies that is), I need only have share prices rise above the 100 day wma or the earnings trend pick up - but not both.
Picking Defensive Stocks Is Poor Thinking [View article]
Interesting read - although I do disagree. The assumption here is that defensive stocks have far less upside, hence, they are not worth the risk of owning. That is a valuation judgement on share prices. Defensive is about how defensive earnings and revenue are against economic cycles but says little or nothing about sentiment towards share price.
Are dividend yields really higher risk? I'm not sure. A mature company fewer growth opportunities for cash will give dividends - which in turn keep P/E levels down. This is so since dividends lower share price but have not first order effect on earnings. Lower P/E means better valuation for your dividends, which keeps yields higher.
I hear your points but respectfully I view it differently. Don't blindly buy a defensive stock just because it is defensive in its earnings - but it becuase it has deep value and gives a healthy income stream...and the defensive earnings will protect your valuation or simply give you a higher yield at a lower risk (because your earnings are somewhat protected).
'Dogs Of The Dividend Champions' Strategy [View article]
Thanks. I'll be reporting more on a larger universe of stocks soon. The contender universe takes the cake with an 11 year backtest (using the above strategy) of over 23% CAGR and 32% maximum drawdown from peak to trough in 2008/09 crash. This might mean that many of the Challenger stocks are worth considering over the next 11 years as they will turn into Contenders by then. Definitely more testing and theorizing to come.
6 Aggressive Growth Picks Worth Buying Now [View article]
Hi Gary. I hope you realize that with the listed turnover of over 300% per year these momentum picks are not for buying and holding.
The models are holding up nicely and one of the CAN SLIM models is up 22%, the fiscal momentum is up 12.6%, another high-growth is up 23.74%, and the sub $15 model is up only 8.35% after suffering a draw-down of over 15%. You can request recommended historical trades to be posted for any of these models listed above.
On these small breakout momentum stocks you need just as aggressive sell-side rules as you do for your entries.
'Dogs Of The Dividend Champions' Strategy [View article]
Survivorship bias factors into the stock universe but not as much with the actual trading strategy. The point of this was by how much excess gain can strategy yield over and above holding alone. Strategy minus Davids list is the point of this article. Future backtesting will bear this out. It is an 11 year study from 2001
'Dogs Of The Dividend Champions' Strategy [View article]
There are a dozen different ways to run this. The method above is using an arbitrary 3 month rebalance point. I will write a future article on the impact of rebalancing according to weights, looking at the holdings monthly and using different rules to sell than to buy..... more to come.
'Dogs Of The Dividend Champions' Strategy [View article]
Rebalanced only once a year... 14.05% CAGR Rebalanced only every 6 months... 17.78% CAGR
Remember that rebalancing every 3 months usually means replacing 4 or the 15 stocks at that time. I am using the dividend growth as a universe with valuation as my strategy. D&G is good but I don't see where valuation comes in - which is the slant I am trying to add in.
40 Dividend Champions Vs. The S&P 500: 30-Year Backtest [View article]
With a big disclaimer as to all the above concerns on survivorship bias - I ran some strategies across the 104 stock universe to see if I could squeeze more alpha using a few valuation-harvesting techniques.
I would be interested to know what percentage of people using triple-leveraged are day-traders, how many are using them for short-term hedges as most their capital is already invested and they cannot afford to come up with that kind of cash for a non-leveraged hedge, and how many investors are buying these ETFs long-term thinking they can actually triple the market movements as opposed to buy and hold.
Equity leverage almost always comes at some price whether it be options premiums, interest fees or negative compounding.
My point is not - to use leverage or not to use leverage, neither is it to have two simultaneous positions.
My point is if you are going to use leverage anyways in the form of a hedge, short the inverse ETF that you were planning to go long with.
I use market timing and apply a hedge in certain strategies during especially troublesome markets. In almost every situation, shorting a leveraged ETF is more profitable than going long in the inverse leveraged ETF. In the downturn last year (Market timing filter was short from August 1 to Nov 1) you could have made over 20% shorting UPRO while losing 10% going long SPXU - yet they are supposed to be roughly equal. Volatile bottoms often mean whip-saw action which is fantastic for draining leveraged funds.
Know your markets and the reasons for using triple-leveraged ETFs - they serve a valuable purpose but you need to know the application.
Just to take a contrary position... instead of buying a triple leveraged short ETF - why not short a triple-leveraged long ETF? The negative compounding effect goes directly into your pocket.
Is A Low-Volatility Portfolio The Key To Investment Return? [View article]
I wouldn't take a simple annual average like that - using CAGR would be more meaningful. If shares went from 100 down to 1 and back up to 110 - your calculations would show a negative number even though I am up 10%.
I'd like to see the data but I took the above report as that the total return over specified periods of time or the mean tendency of the share prices had a slower growth rate.
Is A Low-Volatility Portfolio The Key To Investment Return? [View article]
I'm not knocking the article or the research done - I actually run a model based on the principles - yet I have this uneasy feeling that we are looking at the product of some actions that have not yet been determined. The 'why' is everything, and simply that it has happened for the last 40 years is something.
What Are Analyst-Based Market Timing Signals Saying? [View article]
On the flip side (for most of the strategies that is), I need only have share prices rise above the 100 day wma or the earnings trend pick up - but not both.
Picking Defensive Stocks Is Poor Thinking [View article]
Are dividend yields really higher risk? I'm not sure. A mature company fewer growth opportunities for cash will give dividends - which in turn keep P/E levels down. This is so since dividends lower share price but have not first order effect on earnings. Lower P/E means better valuation for your dividends, which keeps yields higher.
I hear your points but respectfully I view it differently. Don't blindly buy a defensive stock just because it is defensive in its earnings - but it becuase it has deep value and gives a healthy income stream...and the defensive earnings will protect your valuation or simply give you a higher yield at a lower risk (because your earnings are somewhat protected).
'Dogs Of The Dividend Champions' Strategy [View article]
6 Aggressive Growth Picks Worth Buying Now [View article]
The models are holding up nicely and one of the CAN SLIM models is up 22%, the fiscal momentum is up 12.6%, another high-growth is up 23.74%, and the sub $15 model is up only 8.35% after suffering a draw-down of over 15%. You can request recommended historical trades to be posted for any of these models listed above.
On these small breakout momentum stocks you need just as aggressive sell-side rules as you do for your entries.
'Dogs Of The Dividend Champions' Strategy [View article]
'Dogs Of The Dividend Champions' Strategy [View article]
'Dogs Of The Dividend Champions' Strategy [View article]
'Dogs Of The Dividend Champions' Strategy [View article]
Rebalanced only every 6 months... 17.78% CAGR
Remember that rebalancing every 3 months usually means replacing 4 or the 15 stocks at that time. I am using the dividend growth as a universe with valuation as my strategy. D&G is good but I don't see where valuation comes in - which is the slant I am trying to add in.
40 Dividend Champions Vs. The S&P 500: 30-Year Backtest [View article]
http://seekingalpha.co...
Take A Pass On Leveraged ETFs [View article]
Take A Pass On Leveraged ETFs [View article]
Equity leverage almost always comes at some price whether it be options premiums, interest fees or negative compounding.
Take A Pass On Leveraged ETFs [View article]
My point is if you are going to use leverage anyways in the form of a hedge, short the inverse ETF that you were planning to go long with.
I use market timing and apply a hedge in certain strategies during especially troublesome markets. In almost every situation, shorting a leveraged ETF is more profitable than going long in the inverse leveraged ETF. In the downturn last year (Market timing filter was short from August 1 to Nov 1) you could have made over 20% shorting UPRO while losing 10% going long SPXU - yet they are supposed to be roughly equal. Volatile bottoms often mean whip-saw action which is fantastic for draining leveraged funds.
Know your markets and the reasons for using triple-leveraged ETFs - they serve a valuable purpose but you need to know the application.
Take A Pass On Leveraged ETFs [View article]