Vanguard Emerging Markets Stock VIPERs (VWO)
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- Key Asset Class Returns of the Week [view article]
- Opportunity in Emerging Markets Amidst This Panic [view article]
- Third Quarter Global Equity Market Performance [view article]
- Ukraine: Overlooked, Yet a Promising Emerging Market [view article]
- Tracking 9 ETF Portfolios [view article]
- PowerShares' Latest Concept: ETFs of ETFs [view article]
- Yawning from the Market Sidelines, ETFs in Hand [view article]
- Global Equity Market Declines [view article]
- Simple Asset Allocation Yardstick [view article]
- 700 ETFs and Counting: A Bird's-eye View [view article]
- A 360 View of Returns (July 2008) [view article]
- El-Erian's Recommended Allocation vs. Harvard, Yale [view article]
loading ...Recent VWO Articles
- Key Asset Class Returns of the Week
- Opportunity in Emerging Markets Amidst This Panic
- Currency ETFs Shine Through Bleak Market
- Third Quarter Global Equity Market Performance
- Tracking 9 ETF Portfolios
- Yawning from the Market Sidelines, ETFs in Hand
- Global Equity Market Declines
- Long-Term Buying Opportunity in Emerging Markets
- Emerging Markets Stumble Badly
- The 15 Basis Point Portfolio and Bobodex 10 Collide
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A Lazy ETF Portfolio Underweighting the U.S. [view article]
What about using something like DBV for your cash? I would use PSP & PFP for Private Equity or individual stocks. A small amount in PCY for EM Int'l Bonds. I really like El-Erian after reading his book and I'm curious to see how this portfolio holds up. ReplyA Lazy ETF Portfolio Underweighting the U.S. [view article]
You can do a lot worse than following a brilliant mind like el-Erian's. I decided to make a similar examination, comparing also the Harvard 07 and Yale Models. Although your case el-Erian investment-substitutes may be correct, I used:El-E 08 Symbol
15.0% VTI
15.0% VEU
12.0% VWO
9.0% BWX
5.0% BND
5.0% TIP
11.0% VNQ
11.0% DBC
7.0% PSP
10.0% CASH
100.0%
I was happy to see that my own portfolio strategy & investment selections vastly outperformed this ETF Model, but I wouldnt presume that the El-Erian's managers deliver the same performance.
Good luck with this!
Reply
A Lazy ETF Portfolio Underweighting the U.S. [view article]
Good start and good choice. I will be following the progress. ReplyEmerging Market ETFs: Is There a 'Best' Choice? [view article]
Hi Jason,Yes, there's a few better choices in my opinion. Visit my site for a full discussion of those choices. Reply
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A Simple Momentum System for Beating the Market [view article]
Agree with the statemen investing is part art and part science. 3 members of my free website are u this year with over 95% success rates on more than 250 investments cumulative. Making the trend your friend is certainly a key concept as the author states. Key is knowing the right stocks at the right prices ReplyA Simple Momentum System for Beating the Market [view article]
Besides the 8-9% that stock markets make, one can only win what others loose. So who are the loosers when everybody outperformes by 10%?This is what EMH supporters tell hard cases.
Matt:
"Naturally all analysis is post"
You can develop a strategy with old data, say 1900 to 1980, and then validate the strategy with the data from 1980 until today. There are still some difficulties with that but you test the model on data which you didn't use to build the model, thats essential.
I can't believe I answered that seriously.
If you guys like, we can do an experiment, just say: "I'd like to".
cheers
rudi Reply
A Simple Momentum System for Beating the Market [view article]
Clearly Graham and Ken Fisher have been some of the most successful investors and both somehow managed to find time to write books while Fisher also has many peer reviewed papers published.The buy and hold arguement holds because eventually most stocks rise, and if you wait long enough your selections will as well. Combining sector rotation with long term objectives has been a hallmark of success for many long term holders thought of as buy and hold, the rotation is just slower for some people (Buffett) than others (Fisher). And some are much faster (Town).
It is not possible to copy Buffett's returns without copying his methodology, and that includes being an active manager, whether a a board member at Washington Post and Coke, or through selecting and retaining the management of the wholy owned companies.
Naturally all analysis is post, as are all back-testing analysis. You obviously can't analyze what hasn't happened, so that arguement seem disingenuous.
The risk is chasing old returns, so balancing over trading with getting in after the momentum has changed requires more thought. A less risky model may be to take benchmark risk against a market cap based world index like MSCI World by varying up or down the allocation of the sectors.
One thing missing is industry rotation in the article. Those that rotated out of retail, homebuilders, discretionary and autos last summer are and will likely continue to do well.
Matt Reply
A Simple Momentum System for Beating the Market [view article]
as far as i can tell there is sector and asset class rotation ata speed and with a power like never before. Imho this is precisely the to be expected effect of myriads of dumb quant funds chasing more or less the same momentum strategies. Since they follow price, not value they tend to actually hunt their own echos if they exercise a sufficiently large influence over the market. it seems to me, that this stage has arrived. so they rotate out of oil and oil stocks and out of solar into biotech and financials - producing a rapid price deline of the former and a rapid price jump for the latter. If both trends have gone far enough they will move on to the next sectors and assets. In the process, a growing market weight of that will tend to ever more shorten these cycles until they occur on weekly rather than multi-month cycles. Finally the speed at which the portfolios can be turned over will act as a natural border. When all is said and done though, longterm stock prices will rise nor faster or slower than without these momentum folks. But there will be a heck of volatility around the mean.What's my take? I gladly look out for value opportunities created by the brainless stampede of the momentum herd. They can chase the pennies (dwindling excess returns versus broad indexes of 2-3 percent per annum) while i will look to make the bucks (5-10%) outperformance on average. Reply
A Simple Momentum System for Beating the Market [view article]
Ikkyu:Ok I read the paper a second time:
If you assume a daily standard deviation of say 1%, then you get an approximate standard deviation (ignoring fat tails, using a hundret years, etc.) of sqrt(1*250*100) = 158%. If you would like to do a simple test you would compare the difference of both charts (Exhibit 2 and 3) to twice that standarddeviation. The cumulated returns of the traded series shoud be 300% larger than the buy and hold strategy to be 95% sure, not to have an incidental phenomenon.
To get the mentioned "scientific proof", a lot more would be neccesary. One thing that did never happen is a test of the hypothesis on true validation data. i.e. you apply an (appropriate) econometric test to data, that you never used for your analysis and which you don't use a second time!
"you guys act like Mr. Faber is some kinda snake-oil salesman!! "
Exactly. Because he does marketing for his book and he is unscientific.
I bet he would never put all his money in that strategy and lever. Neither would he (and wouldn't be able to) administer larger sums of money with that strategy.
I am very willing to discuss this further, if it helps to clarify!
Reply
A Simple Momentum System for Beating the Market [view article]
Price is a reflection of value. The value of an asset is equal to the total of all future earnings, such as dividends, which will be obtained from it, discounted for the interest that will be lost from having to wait to get these earnings. That said, Mr. Faber, kindly run this computation in Mathematica.ListLinePlot[Accumulat...
Prove to me that what we see in the markets is not, in fact, the above in disguise. Until then, I couldn't care less about your rotation/momentum system (or your book, for that matter).
Reply
A Simple Momentum System for Beating the Market [view article]
Excellent article. Thanks very much. ReplyA Simple Momentum System for Beating the Market [view article]
Puddi said: "Most such systems will make some money some of the time. If any system exists that makes good money all of the time, its inventor isn’t going to be writing a book about it."No trading system purports to make money all of the time. In fact, you can have less than 50% winning trades and can still make money. I suggest you read up on some basic trading theory.
Rudi said: "You didn't reveal any scientific proof because you can't."
Ah, dude first chill and then look at his peer-reviewed published academic paper! This is one of the most documented, pervasive effects in finance and you guys act like Mr. Faber is some kinda snake-oil salesman!!
Mebane, maybe these comments are an indicator as to why the momentum effect keeps on working....
Cheers from Osaka,
john Reply
A Simple Momentum System for Beating the Market [view article]
There can be long periods when markets are not trending and price keeps crossing above and below the 10-month (or whatever) moving average one is using to buy or sell. For example, if I were using PCRIX as my commodity investment there were two buy-sell round trips in 2005 and four round trips in 2006 which ground out loss after loss. I wouldn't have been able to stay with it over that 2 year period - would you? ReplyA Simple Momentum System for Beating the Market [view article]
Investment and trading is part art and part science. Momentum system as broadly defined here is definitely a mainstream strategy which many have benefited from, just as many have benefited from the Warren Buffet buy and hold strategy. Each strategy has strong points and drawbacks, but momentum strategy calls for control of risk [stop loss] and locking in profits [sell stop]; these are important features which many find appealing and practical. ReplyA Simple Momentum System for Beating the Market [view article]
Those are all ex-post analysis, aren't they? Comparing winners to loosers afterwards for sure shows an outperformance ;)You didn't reveal any scientific proof because you can't.
cheers
rudi Reply