DonateIf the information I provide on the blog is useful to you and has been helpful, feel free to tip the beer fund!! I love me some fine craft beer...
Subscribe to Blog via Email
Follow me on TwitterMy Tweets
- Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.
Tag Archives: investing
Update: I updated the charts and some of the performance results on March 28, 2017. I found and corrected an error in the performance calculations. Conclusions remain the same. It’s finally time to start turning all the economic indicator stuff I’ve been posting on into something useful for investors. In this post I’ll introduce the SPY-COMP indicator and how it works as tool for entering and exiting investments. The mechanics of the SPY-COMP system are similar to the SPY-UI system I’ve posted on previously. The only difference is that the new system uses a composite of the top 6 economic … Continue reading
In today’s post we’ll update the top 6 economic indicators as of mid March 2017. Each of the 6 indicators is updated with February data. Last month’s update is here. For background on the top 6 see here. The table below shows the current heatmap for the top 6 indicators. Just like last month all of the indicators are green. Here’s a brief update on each. Unemployment rate – Feb was another strong month for employment. UER is back down to 4.7%. Below it’s 12 month SMA. No signs of weakness in this indicator. Real retail sales – Feb’s year … Continue reading
The performance of value factors varies over time. Sometimes value is in favor. Sometimes it is out of favor. But overall value overall is one of the two single factors, along with momentum, that has withstood the test of time. But what if one way of expressing value in stocks has simply stopped working or is just nor working as well as in the past? That’s is what I’ll consider in this brief post. In particular, I’ll look at whether it is still worthwhile to use P/B in individual quant stock portfolios. Many of the quant stock models discussed on … Continue reading
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