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Tag Archives: investing
It must be that time of the year again. Retirement hysteria time. Usually in the new year I start seeing a slew of articles on how your retirement is at risk, how you cannot possibly retire now, and the theme for the last few years – how high stock market valuations and low interest rates will guarantee that either you are going to work forever or you are going to retire with a much lower living standard. This time the offending piece was in Kiplinger’s of all places, which was brought to my attention by one my weekly econ reads, … Continue reading
A quick post on a new page I have added to the blog. In the top menu you will see a page called ‘Top 6 Economic Indicators“. On this page you will find FRED graphs of 6 economic indicators, updated automatically when new data is available. I’ll tell you a bit more about these indicators below and why they were chosen. First, there are a lot of economic indicators these days. There are individual indicators (we track 66 of them), like the unemployment rate, for very measuring very specific aspects of the economy, and composite indicators (made up of many individual … Continue reading
This is the first post on economic indicators. In this post we’ll share our top reads on the state of the US economy. Notice I say we, instead of I. In this new endeavor on tracking the economy I now have a partner. He happens to be my cousin and he is also an electrical engineer and even more of a geek than I am. I’ll talk about him more in the future. Before we dive into our top reads let me describe what we’re trying to do. What we’re trying to do is use economic indicators, individual and/or composite … Continue reading
Following up on my last post, I’d like to take a deeper dive into the performance of TAA strategies. In particular, I’ll take a look at the differences between the top performing TAA strategies and the bottom performing ones. There are some important points that come out of this analysis which I think are quite useful when deciding which TAA strategies are right for you. As in my last post… The data I’m using is from Allocate Smartly. I’ve taken return data for all the TAA strategies they track, 60/40, and the All Weather Portfolio (a globally diversified portfolio). Data is … Continue reading
In this post I’m going to take a look at performance as a whole of a group of TAA strategies and how that performance has varied over time. I’ll then compare it to the classic 60 40 US stock US bond portfolio and a more globally diversified and modern portfolio, the All Weather Portfolio. There’s some interesting things to note in the analysis. Let’s get to it. The data I’m using is from Allocate Smartly. I’ve taken return data for all the TAA strategies they track, 60/40, and the All Weather Portfolio (a globally diversified portfolio). Data is from 1970 through October … Continue reading
In this post I want to briefly return to putting together quantitative strategies into a an overall portfolio. I wrote about this in 2014 but I have better tools and more data now. Basically let’s build a portfolio of quant strategies that reflects a typical 60/40 US stock US bond benchmark and compare portfolio statistics to the SP500 and to the 60/40 benchmark. First things first. Picking the quant strategies (you can find the background to all the strategies in the Portfolios section of the blog). You can definitely spend a ton of time here and go way off into … Continue reading
For today’ s post and the next few I’ll be going back to my favorite topic, quant investing. In this post I want to explore pure momentum quant portfolios and in particular ways to make pure momentum investing tolerable and implementable to more investors. Note: for a refresher on momentum and its power (arguably the most powerful factor in investing) see this great paper from AQR. You may have noticed that none of the quant portfolios that I have presented on the blog are pure momentum strategies. Only two strategies, trending value and microcap trending value, use momentum to picks stocks … Continue reading
About once a year I go through various future expected return forecasts. Here are some recent updates on what the investment community is saying about future asset class returns, most of them focused on US stock returns, over the next 10 years. In short, nothing really new from last year, expect future returns to be lower, but worth a review Lets start with the folks at Research Affiliates. Here’s the scatter plot from their most recent update on forecasted 10 year real returns for various global asset classes. There’s various ways to look at the data which you can play … Continue reading
Note: thanks to those who signed up to Allocate Smartly through my link. It’s provided a nice extra revenue stream that is much appreciated. One of the TAA strategies that I have often been asked about is Antonacci’s Composite Dual Momentum (ACDM from now on). I never got around to tracking or writing about it but now the the folks at Allocate Smartly have it covered. In this post I’ll highlight the key details of the strategy and it’s results using the recent blog post from Allocate Smartly. The ACDM strategy basically applies the dual momentum concept from Antonacci’s GEM strategy to … Continue reading
Here are the 2016 YTD total return (through the end of Q3) and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed at the end of 2015. No changes in the holdings since that time (except for the TAA Bond strategy which re-balances every 4 weeks). In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices. Similar to the 1H 2016 results, overall the 9 months of 2016 are … Continue reading