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  • Market Hits New Warning Signal Today [View article]
    As we move further from the market peak (both in level and timespan), I would be curious if others think that we have passed a cyclical peak or if this is a more normal correction in what remains a secular bull market.
    Aug 25, 2015. 08:26 PM | Likes Like |Link to Comment
  • Buffett's Alpha Revisited [View article]
    3WallPaul - I agree with Briar and Augustus - I can not suggest that anybody pay 8.5% to lever - I am not forecasting higher returns than 8.5% annualized for the remainder of the business cycle given how far multiples have already expanded - IB is 1ml+1.5%, or 1.63% for even small account balances. Money saved is money earned.
    Aug 11, 2015. 08:10 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Silent trader - you are looking at the outpeformance of the market into the tech bubble. Leveraging low volatility is the winning trade in this quarter-century dataset. That is the point of this series. Let's discuss if you are reaching a different conclusion.
    Aug 8, 2015. 06:40 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    ZMKG01 - I am using the S&P 500 Low Volatility TR Index (SP5LVIT on Bloomberg) and SP5HBIT for High Beta. I need to do some work on the index underpinning MTUM. When I looked at it previously, I could not determine how the index construction was conducted. If you have info, please pass along.
    Aug 7, 2015. 05:57 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    They reconstructed the index using the stated methodology back to 1990. I am sure that this was complicated, but as the index provider for the S&P 500 they readily had the historical constituents and price volatility needed to construct the index constitution quarterly.
    Aug 7, 2015. 05:55 PM | 1 Like Like |Link to Comment
  • The Low Volatility Anomaly: Small Caps [View article]
    http://seekingalpha.co...
    Aug 7, 2015. 05:52 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Gastro4 - to see the long-term returns of SPHB and SPLV, look at the graph above. I would not buy-and-hold SPHB as it has underperformed the market on average with higher risk. This analysis does not take into account short-term capital gains. These types of switching strategies are best done in tax deferred accounts.
    Aug 6, 2015. 07:23 PM | Likes Like |Link to Comment
  • The Low Volatility Anomaly: Small Caps [View article]
    That probably depends on your personal preferences. I can see an investor allocating some of their small cap dollars and some of their low vol dollars to small cap low vol. Small caps outperformed small cap low vol by 10% (25% vs. 15%) in 2009. They are different risk factors. Small cap low vol has dominated small caps over the long-term study, but not in every market environment. Both probably have their place dependent on portfolio construction.
    Aug 6, 2015. 07:20 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Lifetime results are pretty similar between 1mo and 3mo - see the last version of the monthly momentum articles...

    http://seekingalpha.co...
    Aug 5, 2015. 06:47 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    I have not looked at the research. Please link and I will take a look.
    Aug 5, 2015. 06:45 PM | Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Yes, I actually did some work on this in mid-2013. From my drafts folder...

    "At the suggestion of readers of these past articles, this article again implements a wrinkle to the high beta and low volatility switching strategy. In this monthly switching strategy, a third leg to the trade was added: long Treasuries (TLT). If long Treasuries outperform low volatility equities in the trailing one month, then long Treasuries are owned for the next one month. If long Treasuries underperform low volatility equities, then the strategy owns either high beta equities or low volatility equities based on which of these two classes had outperformed. If high beta stocks and long Treasuries both outperform low volatility stocks, then this version of the strategy owns long Treasuries. As one might expect, high beta stocks and long Treasuries are negatively correlated (r=-0.21) and having both of these classes outperform low volatility equities in the same month happened on only roughly one-sixth of monthly observations. In this three legged trade, long Treasuries are owned 45% of the time, high beta stocks 31%, and low volatility equities 24%."

    Unfortunately, I do not have the data handy at the time, but remember this strategy adding increased downside protection and lower variability to the switching strategy. I will dig this up over the next couple of weeks and update the data.
    Aug 5, 2015. 06:45 PM | 2 Likes Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Below is a comparison of SPLV and USMV

    http://seekingalpha.co...

    I do not profess to understand the momentum factor tilt underpinning MTUM? Can anybody help us out?
    Aug 5, 2015. 06:40 PM | 1 Like Like |Link to Comment
  • Low Volatility And Momentum: Doubling The Market Return [View article]
    Vincent - the holding and lookback period is taken from the academic research referenced and is commonly 1-6 months. Too short and it becomes noise with high trading costs. Too long and the momentum effect dissipates and is then swamped by the longer-term value effect.
    Aug 5, 2015. 06:38 PM | Likes Like |Link to Comment
  • Strong Returns In Up Markets; Protection In Down Markets [View article]
    Thanks Gastro4
    Aug 5, 2015. 06:36 PM | Likes Like |Link to Comment
  • 5 Ways To Beat The Market: Part 5 Revisited [View article]
    S&P 500 Pure Value Total Return Index
    Aug 5, 2015. 06:35 PM | Likes Like |Link to Comment
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