While inflation may not rise rapidly in the near-term (still have economic drag), printing money will eventually create inflation. And -- at least for now -- that is what the gold market is reflecting. Stay-tuned...]]>

While inflation may not rise rapidly in the near-term (still have economic drag), printing money will eventually create inflation. And -- at least for now -- that is what the gold market is reflecting. Stay-tuned...]]>

It's funny that you posted your comment when you did. (I recently did some research on rebalancing.) There's a tradeoff between staying true to the desired asset allocation -- versus: execution costs (commission and slippage), and normal market action (fluctuations, trends).

Rebalancing too frequently can create extra costs. On the other hand, rebalancing infrequently allows the asset mix to drift -- and can increase risk (nominal risk and risk relative to the desired mix). Based on other publications -- as well as Monte Carlo simulations I performed -- the data DOES show that rebalancing too frequently can give up some gains in exchange for potential expected asset mix drift. This is evidence of how markets can trend -- and yield excess performance for holding assets that are trending... (But some of these topics might be the topic of other research/articles)... The "sweet spot" for rebalancing seems to be 6-14 months, depending on the assets/investment vehicles -- and investment goals.

Interestingly, some products (like commodity indices) are designed to rebalance annually rather than monthly (or even daily)... ]]>

It's funny that you posted your comment when you did. (I recently did some research on rebalancing.) There's a tradeoff between staying true to the desired asset allocation -- versus: execution costs (commission and slippage), and normal market action (fluctuations, trends).

Rebalancing too frequently can create extra costs. On the other hand, rebalancing infrequently allows the asset mix to drift -- and can increase risk (nominal risk and risk relative to the desired mix). Based on other publications -- as well as Monte Carlo simulations I performed -- the data DOES show that rebalancing too frequently can give up some gains in exchange for potential expected asset mix drift. This is evidence of how markets can trend -- and yield excess performance for holding assets that are trending... (But some of these topics might be the topic of other research/articles)... The "sweet spot" for rebalancing seems to be 6-14 months, depending on the assets/investment vehicles -- and investment goals.

Interestingly, some products (like commodity indices) are designed to rebalance annually rather than monthly (or even daily)... ]]>

wallstreetpit.com/7892...

Thanks again to everyone -- for ALL of the comments -- and interest in this subject.

I am interested in ETFs and low-cost funds that offer exposure to alternative investments and other low-correlated strategies; please add your favorites via comments here -- or via pm/email. ]]>

wallstreetpit.com/7892...

Thanks again to everyone -- for ALL of the comments -- and interest in this subject.

I am interested in ETFs and low-cost funds that offer exposure to alternative investments and other low-correlated strategies; please add your favorites via comments here -- or via pm/email. ]]>

- Some people might prefer to use one family of funds to reduce paperwork. This is why we listed some of the associated Vanguard funds.

- I DO like the SPY -- as well as the ideas mentioned about Rydex's equal-weight ETFs.

- This allocation tries to make use of both diversification benefits as well as the output of intermediate to long-term trading models. (I am mentoring a university's financial markets class -- and will publish results of regularly -- so the model's results are more "forward-looking" than "based on backtesting").

- Rebalancing -- this is meant to be an intermediate to long-term allocation, with rebalancing perhaps quarterly to annually.

VERY insightful comments by all!! Thank you for reading!]]>

- Some people might prefer to use one family of funds to reduce paperwork. This is why we listed some of the associated Vanguard funds.

- I DO like the SPY -- as well as the ideas mentioned about Rydex's equal-weight ETFs.

- This allocation tries to make use of both diversification benefits as well as the output of intermediate to long-term trading models. (I am mentoring a university's financial markets class -- and will publish results of regularly -- so the model's results are more "forward-looking" than "based on backtesting").

- Rebalancing -- this is meant to be an intermediate to long-term allocation, with rebalancing perhaps quarterly to annually.

VERY insightful comments by all!! Thank you for reading!]]>

whowillwinthebiggame.b...]]>

whowillwinthebiggame.b...]]>

Thanks to the team at SeekingAlpha.com!]]>

Thanks to the team at SeekingAlpha.com!]]>

In the second chart (Managed Futures program), the maximum is 12%. ]]>

In the second chart (Managed Futures program), the maximum is 12%. ]]>

SF fans may prefer the NY Times article -- since the article (which focuses on the numbers) leans to the Giants...

bats.blogs.nytimes.com.../

Texas fans may prefer this article, by my co-author, who goes for the softer "psychological" factors.

www.northjersey.com/co...

For purposes of the book's blog "prediction record," the "official" selection for the World Series will remain the Giants (the original pre-World Series-published article in the NY Times) -- based on our "quant facts."

Happy Halloween!]]>

SF fans may prefer the NY Times article -- since the article (which focuses on the numbers) leans to the Giants...

bats.blogs.nytimes.com.../

Texas fans may prefer this article, by my co-author, who goes for the softer "psychological" factors.

www.northjersey.com/co...

For purposes of the book's blog "prediction record," the "official" selection for the World Series will remain the Giants (the original pre-World Series-published article in the NY Times) -- based on our "quant facts."

Happy Halloween!]]>

Very sophisticated questions.

More realistic estimate of probabilities: I like semi-deviation as an easy-to-explain measure (volatility and risk to the downside). Additional measures that help describe return distributions -- would involve calculating additional "moments" such as skewness and kurtosis (the fat-tailed distributions that many investment strategists strive for = minimize losses, fattening profits).

Semi-correlation is somewhat similar to correlation, except it studies periods where certain assets decline. This can give a "true" measure of diversification during financial crises.

There is also a branch of statistics that studies the probability of big dislocations such as crashes in markets (Extreme Value Theory) - which is very interesting...

We can communicate via email / PM as well.

Thanks,

Carlton]]>

Very sophisticated questions.

More realistic estimate of probabilities: I like semi-deviation as an easy-to-explain measure (volatility and risk to the downside). Additional measures that help describe return distributions -- would involve calculating additional "moments" such as skewness and kurtosis (the fat-tailed distributions that many investment strategists strive for = minimize losses, fattening profits).

Semi-correlation is somewhat similar to correlation, except it studies periods where certain assets decline. This can give a "true" measure of diversification during financial crises.

There is also a branch of statistics that studies the probability of big dislocations such as crashes in markets (Extreme Value Theory) - which is very interesting...

We can communicate via email / PM as well.

Thanks,

Carlton]]>