Happy Holidays and Thank you!

Happy Holidays! Just wanted to drop a quick post with some great links and thoughts for the end of the year. But first I wanted to give a big thank you to all my readers. As I approach my 8th year of writing this blog I have a lot to be thankful for. It’s been quite a journey so far…

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SPY-UI model now available on P123

A few months ago I implemented the SPY-UI model on the P123 platform. It has recently exited it’s incubation period and is now available for FREE on P123 once you are a member. If you’re not a member you can use my P123 link for a free trial. It is available to all subscription levels. I’ll review the model again here and…

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Comparing portfolio performance (1973 to 2016)

Note: All the data tables have been updated to include the TAA bond strategy. Thanks to AllocateSmartly, P123, and Stockcharts.com, I was able to gather 2016 performance data much sooner than last year. This post updates the portfolio statistics, through 2016, for all the various portfolios I track that I have data for going back to 1973. It is not…

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What’s new for 2017

A quick post on some changes to the blog. Overall, the blog will be still mainly be focused on quantitative investing. I will also continue to write about investing in retirement which has it’s own challenges. Now for the changes. The biggest change to the blog is that you’ll start to see more posts about the economy and economic indicators. This…

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Quant strategies: 2016 performance review

Happy New Year everyone! Hope you all had a great holiday season full of great food, family, and a lack of financial market news and data. I just returned from two weeks with my entire family, plus my wife’s family, down in Coconut Grove, Fl in a great Airbnb rental. It provided a much needed rest and re-charge particularly from…

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Ranking the top and bottom TAA strategies

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…

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Building a portfolio from individual quant strategies

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…

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Brief survey of expected return forecasts – nothing new

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…

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TAA portfolio tracking: turning it over to the pros

I knew this time would come eventually and here it is. Starting this month I will not be publishing any further tracking updates on TAA portfolios. Going forward I will be using and recommending Allocate Smartly for TAA portfolio tracking and implementation. Here’s the why and some details on the platform. The number of portfolios I was tracking and wanted…

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Using economic indicators to time the market – part 4

Today I’d like to wrap up this series on using economic indicators to time the market. In this final post I’ll look at using the unemployment-200day SMA indicator I’ve used in the first 3 parts of the series (link to part 3) but this time apply it to individual stock quant portfolios. All of the strategies mentioned are listed in…

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