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Lowell Herr

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  • 2 Popular Minimum-Volatility ETF Strategies [View article]
    Since USMV was launched in 10/24/2011, where does the data come from going back to June of 2008?

    Lowell
    Dec 9 05:18 PM | Likes Like |Link to Comment
  • QPP Analysis Of Portfolioist Portfolio [View article]
    The correlation matrix was added as requested.
    Nov 30 04:53 PM | Likes Like |Link to Comment
  • Are Stocks And Bonds Dead? [View article]
    One needs to understand how a program works and then add your own features if the program permits adding improvements. Follow this up by appropriately benchmarking the portfolio to see if one is adding alpha.

    Lack of speed of change is not a criticism of quality software. The change of data and how it is handled is important.

    Lowell
    Nov 30 09:53 AM | Likes Like |Link to Comment
  • Are Stocks And Bonds Dead? [View article]
    Matching the S&P 500 sector percentages is different from building a sector oriented portfolio that will maximize the efficient frontier.

    In William Bernstein's first book, "The Intelligent Asset Allocator," he discusses the efficient frontier and available software. I did not find the software all that useful as the portfolios that came out of the calculations were not what any sane investor would put together. Bernstein warns about these rogue portfolios. Collars or constraints need to be placed on the asset classes to produce useful portfolios. I now use a superior program for this purpose.

    Lowell
    Nov 30 09:06 AM | Likes Like |Link to Comment
  • QPP Analysis Of Portfolioist Portfolio [View article]
    Explanation: Seeking Alpha editors pulled the above analysis off my blog (http://bit.ly/rfwO89) and in that process forgot to collect the correlation matrix. That missing data table is important to understanding the explanation of the last two paragraphs.

    Lowell
    Nov 30 07:53 AM | Likes Like |Link to Comment
  • Are Stocks And Bonds Dead? [View article]
    Where do you go for data and what program (software) are you using to calculate what percentage to enter for each sector so as to maximize the efficient frontier?

    Lowell
    Nov 29 06:52 PM | Likes Like |Link to Comment
  • Are Stocks And Bonds Dead? [View article]
    Eric,

    I believe Gross did error in a call. When it comes to predicting the stock market, never call the time and amount in the same sentence. (g)

    Lowell
    Nov 29 02:48 PM | 1 Like Like |Link to Comment
  • Are Stocks And Bonds Dead? [View article]
    Would you be able to provide the source for the "19 times" estimate?

    I found the following sources that looked closer to 6.5 times as much.

    Data for 1980: http://bit.ly/Y4CiED

    Data for 2013: http://bit.ly/SsXLki

    It looks like we moved from a little over a trillion up to about 6.4 trillion in total spending while the population grew 37%. We have an older and more expensive population.

    Here is a link to an interesting graph showing spending as a percent of GNP. Check the US Spending Since 1900 graph.

    http://bit.ly/Y4CgN4

    Lowell

    Lowell
    Nov 28 08:10 AM | 1 Like Like |Link to Comment
  • Bullish Percent Indicators: Major Indexes And Sectors [View article]
    I use the percentage scaling option rather than the traditional option. That may account for some differences.

    Lowell
    Nov 25 07:29 PM | 1 Like Like |Link to Comment
  • Swensen Portfolio Supercharged With 2 Piotroski Stocks [View article]
    The five year performance numbers are found within the QPP analysis. Also the risk involved.

    Lowell
    Nov 19 03:59 PM | Likes Like |Link to Comment
  • Swensen Portfolio Supercharged With 2 Piotroski Stocks [View article]
    Varan,

    While the above portfolio does not exactly match any of the active or real portfolios I track, here is a link to performance data for the eleven portfolios I do track. Unfortunately I only have accurate data going back about twelve years for the oldest portfolio. Some of these portfolios date back to the late 1950's but I no longer have complete records. Even if I did, I would not have the patience to enter the data into the TLH Spreadsheet.

    http://bit.ly/XW5vQV

    As far as historical data for the above portfolio, you can look at the Historical Data (Yellow background) and see the performance of the investments (last five years) and compare that performance with the S&P 500. The standard deviation data is also available.

    Lowell
    Nov 19 12:06 PM | 1 Like Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    Marty,

    No, and it would not make sense as the BPI graphs are a measure of stocks within an index that are moving in a particular direction. It is possible to check individual stocks or ETFs to see if they are showing X's or O's in the right-hand column. That information is useful and I use it when I need buy and sell confirmation.

    Lowell
    Nov 18 03:25 PM | Likes Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    Here is some information on Point and Figure graphing.

    http://bit.ly/SWfQG7

    Here is the link to the BPI for the NYSE.

    http://bit.ly/IDmLy4

    I do not use the Traditional scaling, but rather prefer to use the Percentage calculation. If you are really interested in the subject, the best book is "The Definitive Guide to Point and Figure" by Jeremy du Plessis. It is a very expensive book, so be sure you want to know this much about the subject.

    Lowell
    Nov 18 09:03 AM | Likes Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    You will find it in StockCharts.

    Lowell
    Nov 18 08:55 AM | Likes Like |Link to Comment
  • Bullish Percent Index And Sector Indicators Dip Further South [View article]
    Bottoms are difficult to pick. Should several of the major indexes dip below the 30% line, it will be time to move all available cash into the market. However, the market could turn around and we never see the 30% level for many months.

    Lowell
    Nov 17 08:42 AM | 2 Likes Like |Link to Comment
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