Rotation and Timing Models Combined [View article]
Sorry guys, Seeking Alpha pulls content from my blog, so it is often out of context. I believe the above goes to cash when below a long term moving average.
Lots in the academic literature on round numbers. One example:
"Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):
"This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."
15 Value Hedge Funds - Portfolio Update [View article]
valueinvestor123 & Jake2 - please visit my blog and read a few posts before making such statements.
Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.
User 164258 - you are correct and the glitch is fixed on my blog. . .
Tactical Asset Allocation Based on the Yield Curve [View article]
www.mebanefaber.com/20.../
How to Avoid the Next Galleon Group (or Madoff) [View article]
www.mebanefaber.com/20.../
What a Difference a Year Makes! Endowment, Buy and Hold, and Tactical Returns [View article]
Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.
2009 Investment Returns: Timing Model vs. Endowment Model [View article]
PS, thanks for the read!
Simple Momentum Rotation Results [View article]
Rotation and Timing Models Combined [View article]
Stocks vs. Bonds: Return Statistics [View article]
Regardless, the 60/40 had a 60% drawdown in the 1930's. . .
Timing the Nasdaq Composite [View article]
www.mebanefaber.com/20.../
A Simple Post on Gold [View article]
"Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.” - Osler, The Journal of Finance 58(2003):
"This paper shows that requested execution rates for stop-loss and take-profit orders cluster at round numbers, consistent with existing evidence on limit orders in stock markets. Its also shows that the pattern of clustering differs across order types and could produce the price behaviors predicted by technical analysis. Executed take-profit orders cluster more strongly at round numbers than do stop loss orders. Since take-profit orders should tend to reverse price trends, exchange rates should tend to reverse course at round numbers when they hit take-profit dominated order flow. Executed stop-loss buy orders cluster most strongly just above round numbers, and executed stop-loss sell orders cluster most strongly just below round numbers. Since stop-loss orders should tend to propagate trends, exchange rate trends should be relatively rapid after the rate crosses a round number and hits stop-loss dominated order flow."
Timing Model Equity Curves [View article]
papers.ssrn.com/sol3/p...
The Capitalism Distribution: Fat Tails in Motion [View article]
100% Cash and Out of Sample Returns [View article]
papers.ssrn.com/sol3/p...
15 Value Hedge Funds - Portfolio Update [View article]
Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.
User 164258 - you are correct and the glitch is fixed on my blog. . .
Tracking Mean Reversion After Bad Months [View article]
Tracking Mean Reversion After Bad Months [View article]
I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.