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Elran

Elran
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  • 2 Tactical Municipal Bond Strategies For Non-Qualified Retirement Portfolios [View article]
    I have tested this strategy (SDMAS) from 1986 using PRFHX (instead of HYMB).
    The strategy return is ~6.5% with 14.5% drawdown !
    Jul 16 08:12 AM | Likes Like |Link to Comment
  • 2 Tactical Municipal Bond Strategies For Non-Qualified Retirement Portfolios [View article]
    Liked your simple SDMAS strategy - thanks!
    Jul 16 07:27 AM | Likes Like |Link to Comment
  • The DIA-IEF Double Switch: One Of The Safest And Laziest Strategies [View article]
    I think it would be interesting to take the strategy you suggested and backtest it 50 years back this can be regarded as out of sample test which is very crucial when developing a strategy.
    May 29 05:29 AM | Likes Like |Link to Comment
  • Hedged Convexity Capture Part II [View article]
    The Strategy will work as long as the stock market has negative correlation to the treasuries, when this correlation is broken like happened many times before the strategy gets very dangerous since you are holding 3X leveraged funds.
    For example if the sp500 goes down 17% and the long term treasuries goes down 17% as well your portfolio will suffer (-10*3-10*3=) -60% decline .
    May 28 09:51 AM | 1 Like Like |Link to Comment
  • Tactical Asset Allocation Strategy For More Aggressive Investors [View article]
    The software is very flexible and it can be configured to include total return as well .
    The soft comes with out DATA but it has a downloader tool the can get data from yahoo and Google for free even 20 years back .
    I personally use it in my investment strategies.
    May 11 06:14 PM | Likes Like |Link to Comment
  • Tactical Asset Allocation Strategy For More Aggressive Investors [View article]
    If you want more accurate backtesting you can use AmiBroker software which enable to add commissions, slippage and much more.
    May 11 05:27 PM | Likes Like |Link to Comment
  • The Efficient Market Hypothesis, Fact Or Fiction? Part 4 [View article]
    Momentum exists on many time frames not only short ones so you do not always need high computational horse power , even 12 month momentum is enough in many cases.
    May 1 04:58 AM | Likes Like |Link to Comment
  • The Efficient Market Hypothesis, Fact Or Fiction? Part 4 [View article]
    Thanks for your comprehensive reply !
    May 1 04:50 AM | Likes Like |Link to Comment
  • Market Fundamentals, Macro Checkup And Technical – End Of 2013 [View instapost]
    Thanks For you feedback!
    May 1 04:42 AM | Likes Like |Link to Comment
  • The Efficient Market Hypothesis, Fact Or Fiction? Part 4 [View article]
    Hi Larry , Thank for you earlier reply !

    How would you explain this paper :
    http://bit.ly/169pIbk

    There is a long out performance record based on market timing and momentum.
    Apr 29 08:50 AM | Likes Like |Link to Comment
  • Rarer Than Rare [View article]
    Past performance is NO guarantee of future results, in that you are right there is absolutely no guarantee but if a fund manger builds an investment strategy on a systematic approach which is based on market inefficiencies he can have a POSITIVE STATISTICAL LIKELIHOOD of outperforming the benchmark, for example i developed a quantitative tactical asset allocation strategies that shows good out performance back-tested 20 years and 8 month out of sample: http://bit.ly/1kab0Sn
    You can also look at a paper written by Maban Faber which use even longer back - testing : http://bit.ly/169pIbk
    Apr 29 08:46 AM | Likes Like |Link to Comment
  • The Efficient Market Hypothesis, Fact Or Fiction? Part 4 [View article]
    I Disagree with Kahneman saying : "This is one of the great mysteries of finance: Why do people believe they can do the impossible? And why do other people believe them?"

    Just look at Warren Buffett and the superinvestors of Graham and Doddsville, I belive that with the right systematic approach there are small percentage of investors that can beat the market also in the long run.
    Apr 27 09:07 AM | Likes Like |Link to Comment
  • After A 177% Gain, What Should Investors Emphasize Now? [View article]
    From my experience using only cycle stages can give you only the general environment which drives sector performance but it lacks the flexibility , and since every cycle is unique we will find it hard to make profit based only on a cycle model , i would add also specific sector price action or at list other driver which is closely correlated to price action , like earning revisions.
    Jan 30 09:22 AM | 1 Like Like |Link to Comment
  • How To Develop A Sector Rotation Strategy [View instapost]
    Hi pat,
    Using inverse funds looks like a logical thing to try but it actually reduces results and increase position turnover.
    Dec 31 04:54 AM | Likes Like |Link to Comment
  • An Annually Updated And A Permanent Portfolio Of Dividend Growth Stocks [View instapost]
    "The basket of stocks from which the selections were made at the end of each year for the following year consists of the 2013 dividend champions"

    There is a problem with this strategy since you used forward looking strategy (looking into the future) , in the years before 2013 you could not have known who will be the dividend champion in 2013.
    Dec 24 09:03 AM | Likes Like |Link to Comment
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