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Anthony FJ Garner

Anthony FJ Garner
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  • Allocating Within The All-Weather 4 ETF Portfolio [View article]
    I do wonder whether an investor needs to broaden out beyond his home country with his investments. Will the US continue to be the power house it has been? I hope so but would not wish to bet too heavily on it. Japan seemed the great white hope back in the 1980s but over investment in Japan (in accordance with the then market cap) would have proved a costly mistake with hindsight. Ah, isn't hindsight a fine tool? But I do think that while your basic all weather concept is a good one my own preference would be to expand it globally. I will probably be updating my own thoughts on the matter on my own website, since I have published little on ETFs since my 2008 book on simple all weather systems using global index tracking ETFs.
    Mar 12 06:07 AM | Likes Like |Link to Comment
  • Do These Country ETFs Provide Better Value Than U.S. Stock ETFs? [View article]
    I confess a great weakness for backtesting historical data too and my own preferred strategy would be to invest in a wide range of index trackers across the globe. I would NOT invest on a market cap basis: would you have wanted half your portfolio in Japan in the mid 1980s? Would you want half your portfolio in the US today? My answer is no in both cases. I would prefer a more equal weighted approach. I would also prefer to apply a simply momentum system to the investments than operating a buy and hold approach. Although, as I have pointed out repeatedly, buy and hold of an index IS systematic investing. I made Trading Blox code to backtest a number of ETF momentum systems available for free download following a book I published on the subject. Anyone is welcome to contact me if the would like me to email them the code.
    Mar 12 06:00 AM | Likes Like |Link to Comment
  • Now Is The Best Time To Invest In Commodities Since March 2009 [View article]
    Buy and hold on commodity investments has historically not been much of a winner, partly because of contango. I wrote a book on ETF trading systems back in 2008 and at that time, the CAGR for holding gold since 1982 via the futures markets was around 1.92% Holding physical gold would probably not have been much better after storage and insurance costs. Holding wheat through the futures markets would have given a negative CAGR for the period. And of course you can't really hold the physical product for 30 years. In commodity indices, a large part of the growth over the years has come from interest income on money not needed for margin rather than price appreciation in the underlying instruments. You have to trade and use a small degree of leverage if you want to achieve a reasonable return in commodities and this is best done through the futures markets not ETFs. Trading volume in commodity ETFs in all but the major commodities is too thin and the costs too high. Anyone interested in my research will find it at my website.
    Mar 12 05:43 AM | 2 Likes Like |Link to Comment
  • Do Fundamental Index ETFs Have A Place In Our Portfolios? [View article]
    I really do wonder whether managed ETFs are not best eschewed in favour of index trackers. Is there any persistence in performance in managed funds? Not according to the research I have read over the decades. My own approach, which I set out in my book, is to own a wide range of index tracking ETFs spread out over different countries and stock markets so as to ride the hoped for continuance of world economic growth. If you don't like the buy and hold approach (which is actually a form of long term trend following - see my reasoning http://bit.ly/10zw4tu) then you could always apply a simple systematic approach.
    Mar 12 05:33 AM | Likes Like |Link to Comment
  • Dual ETF Momentum Update [View article]
    I covered much the same topics in a book I wrote back in 2008 and placed the code to they systems I wrote on the Trading Blox website. Anyone wanting the copy code is welcome to contact me. It is an interesting topic. Other websites I would recommend on the topic are the No Load Fund X newsletter at https://fundx.com
    and Malcom Williams COP Strategy at http://www.copstrat.com
    Anyone interested in my code can contact me through my website.
    Mar 12 05:29 AM | Likes Like |Link to Comment
  • The Art Of Trading Volatility [View article]
    I think the trouble is that nothing remains constant in markets and that is why any sort of back testing (particularly related to buying and selling the VIX at a give level) is unlikely to hold for the future. I have been constantly reminded of changing markets the past few years as I watch more and more CTAs reach new maximum draw down levels. I am a systematic investor, a long term trend follower but I would not like to link my trades to absolute levels in an index since those levels can and will change over time. Nonetheless, an interesting article. Backwardation severly distorts investor perception of commodity investment; investors tend to look at cash prices, which is of course a nonsense.
    http://tradersplace.net
    Mar 8 10:19 AM | 2 Likes Like |Link to Comment
  • Momentum Trading An ETF Portfolio Via A Programmatic Allocation Model [View article]
    Trend following works (or has done in the past) but it takes some years before you realize both how simple and how complex it is. Even random entries can work: http://bit.ly/WE1Tys
    Mar 5 03:41 AM | Likes Like |Link to Comment
  • Trouble For 'Bridgewater Risk Parity' Model [View article]
    Here is an idea for you: random entries in a wide range of futures would have matched the performance of most global macro CTAs http://bit.ly/WE1Tys
    Mar 4 01:55 PM | 1 Like Like |Link to Comment
  • Is There Such A Thing As A Holy Grail Portfolio? [View article]
    No, there is not. Joe public would be as well to invest buy and hold in a wide variety across countries and currencies in index tracking ETFs. Stock picking funds have a terrible track record. Global systematic asset allocation is a possibility, especially in the futures markets but even there random entries are probably a good match for most CTAS http://bit.ly/WE1Tys
    Mar 4 01:53 PM | 1 Like Like |Link to Comment
  • Equity Momentum - March 2013 [View article]
    Momentum style investing works but has become increasingly difficult over the past 40 years as market noise has increased. http://bit.ly/WH5UIb
    Mar 4 01:50 PM | Likes Like |Link to Comment
  • Momentum Trading An ETF Portfolio Via A Programmatic Allocation Model [View article]
    Back testing is a very dangerous tool for the unwary. It is all we have but it is not very reliable and has little predictive ability. http://bit.ly/163J12R
    Mar 4 01:49 PM | Likes Like |Link to Comment
  • Equity/Fixed Income Momentum - March 2013 [View article]
    Back testing is a dangerous game for the unwary: http://bit.ly/163J12R
    Mar 4 01:40 PM | Likes Like |Link to Comment
  • Daily State Of The Markets: What Do The Cycles Say For March? [View article]
    Is there more luck than skill in most hedge fund manager performance? Probably. Random entry systems  can match the world of Global Systematic Macro hedge funds: http://bit.ly/WE1Tys
    Mar 4 01:23 PM | Likes Like |Link to Comment
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