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- Tracking Mean Reversion After Bad Months [view article]
- Energy Use Per GDP Unit by Country [view article]
- Key ETFs Most Overbought and Oversold [view article]
- Calendar Year Country Fund Returns: 1997-2007+ [view article]
- Single Country Europe ETFs and Closed-End Funds [view article]
- Exchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
- Investing in Non-U.S. Stock Markets [view article]
- Country vs. Sector Diversification with ETFs [view article]
- Smart Swissie and Samurai Currency ETF Play [view article]
- Monthly ETF Update by Asset Class [view article]
- 30 ETFs With the Highest Short Interest Ratios [view article]
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- Tracking Mean Reversion After Bad Months
- Key ETFs Most Overbought and Oversold
- Emerging & Developed Markets Country Weights
- Energy Use Per GDP Unit by Country
- International ETF Update: Netherlands, Germany, Italy
- Single Country Europe ETFs and Closed-End Funds
- Calendar Year Country Fund Returns: 1997-2007+
- Investing in Non-U.S. Stock Markets
- Country vs. Sector Diversification with ETFs
- Do Global Exchanges Follow Country ETFs?
- Full List of Articles »
Tracking Mean Reversion After Bad Months [view article]
It would be interesting to combine a mean reversion approach based on valuations by coupling it with asset classes that have historically shown strong positive or negative correlation. I've been trying to come up with an adequate algorithm but it's quite tricky and can leave you exposed to higher risk. There is a website (www.assetcorrelation.c...) that publishes up to date correlation matrices each day for the past few months that I've been tracking and things have been quite out of whack recently. ReplyTracking Mean Reversion After Bad Months [view article]
worldbeta.blogspot.com... ReplyTracking Mean Reversion After Bad Months [view article]
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.
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Tracking Mean Reversion After Bad Months [view article]
Our research concludes that you are on the right track but your focus is too linear. Mean reversion over the long-term is an academic boon for getting a Nobel Laureate designation but it does not translate into a workable application in the real world. For example, MVO demonstrates domestic equities have returned 10% over 80 years. Therefore, you should get a 10% return on average. In the real world, the domestic equity market is down over the past 1, 3, and 10 years; yes 10 years. Granted it worked in the 80’s & 90’s, but not the 60’s & 70’s, and definitely not this era. It’s like a broken clock that is right twice a day; it is devoid of market cycles.Short-term MVO is very interesting and much more meaningful. The question is, and will always be, what time frame is best for analyzing the time series of data (aka, time parameter estimation). I think you are off track when you try to curve fit your data by selecting a particular number of months. Markets don’t move in a linear pattern like monthly. You will have much greater success by rebalancing when markets move by a defined level of volatility or price (or both). Take volatility as an example, last February the market hit an extreme level of volatility (and price drop); buying at the level would have been very profitable. It is these extreme moves (up & down) that create the fat-tails of distributions and are reflected in the extreme technical patterns like Relative Strength. A more scientific approach is to go with a Noble winning approach from 2002 (in effect tossing the MPT model from 1959) and incorporate Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) which examines the clustering of data; basically, a scientific approach to short-term mean-variance. The analogy is MVO works like the Farmer’s Almanac for predicting weather; whereas GARCH acts like the Doppler Radar. Alternatively, you can use price and volatility movement to create a poor man’s GARCH model to track short term mean-variance. Cheers -
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Tracking Mean Reversion After Bad Months [view article]
Interesting. Have you tried the inverse? In other words, take the best performing asset classes for a given month, waited a month and gone long? What tools did you use to test this theory? ReplyEnergy Use Per GDP Unit by Country [view article]
Interesting analysis, and worthy of further investigation. Perhaps too simplistic to try and boil it down to ETF/CEF investing strategies. ReplyKey ETFs Most Overbought and Oversold [view article]
source? ReplyKey ETFs Most Overbought and Oversold [view article]
I appreciate you putting all this info in 1 easy to read format ReplyKey ETFs Most Overbought and Oversold [view article]
Agreed papagiki...overbought conditions can remain in place for quite a while, and oversold doesn't mean it's time to buy.The writers are factual and non-committal, merely pointing to conditions that possibly warrant stop loss protection, or positions to montior for entry points. Reply
Key ETFs Most Overbought and Oversold [view article]
So, what's your point? Buy more, sell, or what. We value you opinion so don't just present data. We can do that on Yahoo! Replyocks
Calendar Year Country Fund Returns: 1997-2007+ [view article]
The Swiss ETF - EWL seems to always an average performer.Others like EWG,EWD are probably better bets. ReplyJackson
Single Country Europe ETFs and Closed-End Funds [view article]
Update: we just added to this list the new Northern Trust NETS ETFs covering The Netherlands and Belgium. ReplyExchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
can you please update this list? thanks. ReplyInvesting in Non-U.S. Stock Markets [view article]
"theidiotperspect... (your handle, not my opinion)You are right. Those are emerging market ETFs for India. I just listed one for each country generally, but those are options available to investors. Reply
spective
Investing in Non-U.S. Stock Markets [view article]
India now have 3 ETF not in your list. EPI, PIN and i think another one almost out!Reply