Building A 20-ETF Portfolio Using Optimization And Momentum [View article]
I'd be more interested to see how it performed from late 2007 through the market trough in early 2009. We're back to the top of this trading range we've been in for 13 years - right now investors should be thinking risk management, not so much on returns.
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
Parsimony - As a long-time tactical asset allocator, I cringe whenever I view comments such as "buy and hold is the only acceptable strategy" or "you can't time the market." I've witnessed firsthand the destruction wrought by advisors who have spewed this strategic asset allocation MPT "voodoo" and then have had their client's portfolios blown up with losses that can take years (sometimes decades) to recover. Looking at the market as a voting machine is the first step in uncovering market changes, which often turn into sustainable market trends. This is where the value lies in using one of the few non-correlating asset classes (no risk cash/money market assets). Our firm has been leading the charge to quantify the advantages (many) and disadvantages (few and tolerable) of the kind of flexible allocation strategy you advocate: http://bit.ly/Kezsqc (you can view our security library with growth of $100k stats AND risk metrics). Keep on writing the truth (without additional massive fiscal stimulus, prices for many of the "at-risk" asset classes you listed above are way too high (the weighing machine tells us so).
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
Do you not see a discrepancy in your logic in the face of reality? MPT's expected return for Large Cap Growth is north of 13% per year, yet the cumulative return for QQQ since January 1, 2000 has been more in excess of -3% per year. MPT has a problem that you can drive a truck through: in the absence of an expanding economy (driven by stimulus and government spending, not demand) these expected returns simply don't materialize. In other words, expected returns are driven by a self-reinforcing, historical inflation-driven market environment that led Sharpe and Markowitz to falsely believe that markets would always rise. Take bonds: Ibbottsen's expected return for intermediate term government bonds is in excess of 5%, yet the most that bond investors will be able to reap from interest rates alone for the next ten years is today's rate: 1.65%. Can you see that by being ignorant of today's environment (for equities or real estate or fixed income or emerging markets or commodities) you ignore the very good possibility that the future will unfold very differently than it has in the past. Why do you think it is that we keep stimulating? Because if we don't all of you buy and hold fanatics will get crushed because you're just not prepared for a contracting market.
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
I find it interesting that with buy & hold strategies, the overall performance of the markets is (by definition) everything. Market goes up, you get it all. Market goes down, you get it all. So it's no wonder there has been so much stimulus over the past several years ; perhaps a recognition that without a huge effort to prop up the markets most investors - especially 401(k) participants and college endowments and state-sponsored pension funds - would see their portfolios collapse. For all the talk about flexible strategies being inferior to buy & hold, most don't expose investors to that kind of catastrophic risk and uncertainty.
Flexible strategies (like trend-following) also have the benefit of being able to participate nicely in rising market environments too. They're not for defensive and risk management purposes.
The Market Can't Predict The Future [View article]
Interesting, though, that just last week Buffett (who incidentally is of exactly the same school as Graham and Munger) PREDICTED that stocks will be significantly higher over the lifetime of the individual who was interviewing him. If the Fed continues to engineer inflation as it has since the early 1930s, everything will be higher and woe to those who fall behind. It's a great scheme. But is the engineered "growth" making us happier, or more stable, or more sustainable? Of that I have no prediction, only an opinion: "Not in the least."
Commodity Crash 2013: Insights On Commodities From Hell [View article]
auctionauthority.com: Just to clarify, both GLD and SLV are currently supportive but are deteriorating, and I would expect a change in posture if the current correction runs much further...
Commodity Crash 2013: Insights On Commodities From Hell [View article]
I'm certainly not one to judge whether anyone is wise or not. But good information can make anyone make better decisions, which I guess is the true definition of wisdom. Take a look at EVERY at-risk asset or asset class and they've all demonstrated extreme momentum over the past decade or so. To me it makes a whole lot of sense to be aware of where capital is going (or leaving) and there's no better way to do that than by trend analysis. Price declines are a symptom of capital exiting and price advances are a symptom of capital flowing in. Be on the right side of most of those events and you'll dramatically increase your odds of being successful. Anyway, check out http://bit.ly/17omOu4 for the tool we use to accomplish this. Both SLV and IAU are in our research library. Subscribe to track current recommendations, but I'll tell you that right now they're both still demonstrating rising trends.
Commodity Crash 2013: Insights On Commodities From Hell [View article]
A 2-5 year timeline sounds ideal, but the data shows that to not be at all reasonable - I wish that there existed that much predictability in the markets. Our trend analysis has indicated that the typical longest simple moving average that an investor might want to consider is somewhere in the neighborhood of 90 days or so. This hit me like a ton of bricks! How do we know this to be true? clearTREND has cumulatively measured trends for approximately 1200 securities in our research library a total of more than 900 billion times over the past 15 months in our optimization algorithm. Anything with a 2-5 year investment horizon actually is incredibly inefficient due to the likelihood of eventual (and inevitable) draw-downs during that period.
Commodity Crash 2013: Insights On Commodities From Hell [View article]
Yeah - since the success of investors in GLD or SLV or any ETF tied to commodities is directly linked to the performance of the ETF itself, regardless of whether it reflects the reality of the underlying asset or not. UNG is a great example - the1-year decline in nat gas itself has been meaningful but magnified significantly in UNG. I tell my investment advisory clients that they own the stock of a company, not the company itself because there can occasionally be a disconnect.
As far as not selling one ounce of gold, that's entirely up to you. But I'll say that I hate being on the wrong side of any sustained market move. Not fun.
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
How about agreeing not to try to outsmart the voting machine (short-term moves) but being keenly aware of the weighing machine (sustained trends)? Taleb wrote at great lengths about really smart traders being blown up by being on the wrong side of the market for too long. But the idea of feeling bad about missing the top 3 days in any year can't be taken seriously! That was a mutual fund marketing idea that went out in 2002. Portfolios get blown up by participating excessively in the sustained market declines of 2000, 2001, 2002, 2007, 2008, early 2009, etc. etc. etc. By the way, all of these down trends ended due to massive fiscal stimulus. No stimulus, no turnaround.
Building A 20-ETF Portfolio Using Optimization And Momentum [View article]
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
Commodities From Heaven, Commodities From Hell: Finding Value In 2013 [View article]
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]
Flexible strategies (like trend-following) also have the benefit of being able to participate nicely in rising market environments too. They're not for defensive and risk management purposes.
The Market Can't Predict The Future [View article]
Commodity Crash 2013: Insights On Commodities From Hell [View article]
Commodity Crash 2013: Insights On Commodities From Hell [View article]
Commodity Crash 2013: Insights On Commodities From Hell [View article]
Commodity Crash 2013: Insights On Commodities From Hell [View article]
As far as not selling one ounce of gold, that's entirely up to you. But I'll say that I hate being on the wrong side of any sustained market move. Not fun.
The 'Sell In May' Strategy Worked For More Than Just Stocks [View article]