What’s new for 2017

Rick · January 6, 2017 at 9:27 am

Hello Nina & Paul. Forced into retirement four years. Have been following some of your strategies. Have done well with modest gains and steady cash flow from the accumulated assets. Cathy is about to retire so we will need additional monitoring. Will also have additional time and Cathy’s brain power to delve into trading a small portion of our assets. Starting with Portfolio123. Looks like a good monitoring platform. Once you have your allocations posted, perhaps some of us can place our in parallel for comparison/educational purposes. It’s encouraging to see how one’s strategy and motions compare to others taking your blogs.

My best wishes of safe and fun miles for you and Nina.

Cheers from Houston Rick and Cathy

Damian · January 6, 2017 at 9:51 am

Paul, thanks for all the content on the blog … I hope 2017 is off to a great start for you.

1. I’m interested in the recession tracking … I recently read the piece at http://www.philosophicaleconomics.com/2016/01/gtt/ (again; it’s a monster) and have been considering, e.g., whether it makes sense to try to use his combination of real retail sales growth and industrial production growth, coupled with what appears to be a 200-day SMA of the U.S. total stock market (I’d use VTI, I suppose) rather than a simpler SPY/UI indicator. Not sure it adds much or even is better, frankly.

2. Re Portfolio123, do you know when those smart alpha models might be available? I’ve been going through all kinds of ways of trying to work on quant models on my own for the last month or so, looking through a lot of tools on the web in an effort to find a way that’s cost-effective and simple to implement. As it happens, I’ve been trying to navigate P123 and its trial for a week now, but I’ve been frustrated by the trial (data for backtesting is limited, and most posts where models are discussed, as well as a course a poster designed on model development, are unavailable in the trial).

I’d be quite interested, though, in having access to quant models (especially Trending Value) on there or, preferably, elsewhere. As to that latter point, I wish there was a way to just get portfolio updates without having to use P123, honestly–while I know it is useful, especially at the higher price points that allow backtesting to 1999–it’s difficult to pay $350, $1000, or $1700/year just to then also have to buy the smart alpha models on top of that, and it probably greatly limits what price one could charge for the smart alpha models. In my particular case, I just want to use time-tested quant models that make sense for the long haul, and don’t want to further tweak or modify the systems (especially if I can only backtest for 9 years, as would be the case with the $350 subscription) so I wouldn’t get any value out of having to pay for the platform access in addition to paying for the actual quant portfolio updates that I want. That makes the P123 smart alpha model tough to swallow for people like me and, judging from the comments I see on here, probably many of your other readers.

Interestingly, from what I’ve been able to see in the forums and from looking through the smart alpha models, it looks like (i) most of the community there claims the O’ Shaughnessy models “don’t work,” with some claiming that by him having curve-fitted those models in such a long sample, he misses out on the opportunity to use models that might work much better in particular environments (I think that, instead, they work over the long term and it’s difficult to tell what environment we’re in at a given time) and (ii) many of the models that are on P123 seem to have gone away over the past few years, with a number of them seeming to have used data mining but failing to perform out of sample.

Chris · January 6, 2017 at 10:39 am

Paul – not sure if others would be interested, but I’d like to hear more of your thoughts regarding where TAA and quant strategies fit into an overall portfolio. For example, I’ve allocated 80% towards GTAA and 20% towards GEM – primarily for simplicity’s sake. However, I’m intrigued with some of the indiv stock quant models (TV and Patrick O’shaughnessy’s approach from AAII) but have shied away from perceived complexity. Do the quant models really require much more maintenance and attention than TAA? Do you allocate 50% overall towards quant models? more?

thanks for sharing your ideas! very interesting blog….. Happy 2017

Victor · January 6, 2017 at 10:22 pm

Paul, Happy New Year!

Thank you for sharing with all of us.

You might find this recent paper interesting:
https://arxiv.org/ftp/arxiv/papers/1701/1701.01428.pdf

I’m about to sign up for P123 and AllocateSmartly, any way to help you out via referral for either of these?

Very much looking forward to your analysis of economic indicators. There are few additional areas of research I’m interested in, but they deserve a longer form. Yes, that’s a threat of emails landing in your inbox, hope you don’t mind.

Thanks again, wishing you the best for 2017.

Regards,

Victor

John · January 8, 2017 at 8:15 pm

Damian, you should check out ValueSignals. You can subscribe quarterly for 45 euros for a quarter and you get access to trending value VC2, as well as a bunch of other canned portfolios. Of course I’d love to compare notes with Paul to confirm that ValueSignals stock screen is working as intended. I implemented TV VC2 for 2017 this way, my first foray into Quant investing. I’ve been buy and hold for a long time using Vanguard mutual funds, basically implementing my version of 80 stocks / 20 bonds since I’m in the accumulation phase. Also dabbled with options in 2016 (let’s just say it started well and ended very badly … but learned a lot including that it’s pure gambling, at least the way I was doing it).

Paul, your blog is great and I can’t believe that I can’t find other blogs out there in a similar vein (but maybe I have looked hard enough). You seem to genuinely want to help people, one suggestion would be to make certain quant portfolios (perhaps the 3 best performing) available to your readers. Then I think you could help a great number of people actually implement some of these quant portfolios to, at a minimum, add important diversification. That’s the way I’m looking at it, implement some quant to have a system driven, long term strategy as part of my portfolio. But it took me a while to be able to implement just because I had to figure out a way to get my list of 25 stocks without breaking the bank and cutting too much into my life (I have a wife, three young kids and a demanding job). Just my two cents. Thanks Paul for everything you’ve contributed. It’s been appreciated and is valuable.