Contributor since: 2006
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sorry, SA kind of does what it wants with posts. you can find the original on my blog here:
Both a strategic (buy and hold) and tactical (using the timing model) allocation justifies up to a 20% allocation to gold.
Thanks for the read! And PS, SA only pulls some of my posts, you can find them all on my blog World Beta.
i'll try and post something to my blog in the next week on gold.
PS, thanks for the read!
Sorry boost, Seeking Alpha pulls content from my blog, so it is often out of context. But, not really sure how this is selling anything?
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.
The comments reference Feb '09, while the table only includes through 2008. Sorry for the confusion. (It also assumes monthly rebal).
Regardless, the 60/40 had a 60% drawdown in the 1930's. . .
Yes, Seeking Alpha edited my post (annoying) and somehow interpreted vol(atility) as vol(ume). Original is here:
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."
SA pulls my content, which is often out of context. The white paper is here:
Ben, you can ask the author directly in the comments section of my blog World Beta. . .
Read the link to the paper from the Journal of Wealth Management before you make an uninformed post.
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. . .
Thanks Smart ETF - your comments are some of the few that are worthwhile and intelligent.
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.
The problem with Seeking Alpha pulling content from a blog is that is is often taken out of context from what long time readers are aware of. To alleviate all of the confusion regarding my post, here is some history.
Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".
Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.
The authors of the above paper examined the payout yield and net payout yield, whose formula is:
Payout Yield = $ spent on dividends + $ spent on share repurchases
(Net payout is simply subtracting the $ raised through new share issues to the above formula)
The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.
About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.
My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens.
Seeking Alpha chopped up my post - you can view the full post on my blog which is more fluent.
Astute observation PAD. It sure seems like the value hedge funds are finding more "value" in growth stocks right now. . .I examined that property last May here:
The original post on my blog is more descriptive. SA picks and chooses what to post, which is a bit annoying.
It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.
Now the bet is half of that at +700. :)
Thanks for all the comments. SA only posts some of my articles here, but there has been enough interest that I will post a monthly update on my blog World Beta (there is one today). For more info on the specifics of the timing model, please reference my paper "A Quantitative Approach to Tactical Asset Allocation."
I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.
If you have a broker that trades foreign like IB or ETrade.
Here it is since 1983, but only with the 5 asset classes mentioned:
Sorry, I am aware of the exact allocation, but to compare apples to apples (some of the time series dont go back to 1972), I had to lump some together. . .
Yah, I agree with your distinctions - I should have been more specific.
AI should take those historical yields back to the 1970s, data is available for all of the indices with the exception of emerging markets. . .
Hmmm, so start each year with the Top3 asset classes but use the moving average during the year. . .interesting. . .will look into that.
Yep, re-weighted every Q. . .We tested the Top 10 holdings - results were near identical but with less vol which is a bit counter intuitive. . .
Tough to get data pre-2000 for lots of the funds. . .lemme know if you can find it!
I have an article on this very subject :)
Stay tuned - I'll publish it around the end of January. . .
I picked the top 15 funds I considered to be the "best". You can find the full list here:
I included:
Berkshire (obviously not a hedge fund)
Blue Ridge
Lone Pine