Quant strategies: 1H 2017 performance update

It’s time to get back to talking about quant portfolios. I haven’t posted on any quant related stuff in a while. Doesn’t mean anything. I’ve just been focused on other things. And my quant portfolios require very little maintenance so once they’re up and running there is not much to do. At least there shouldn’t be much to do. The…

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Mapping the pros: composite economic indicators – july 2017

In today’s post I’ll update the composite indicator heat map for July. See this post for an introduction to the composite indicators and the heat map. Below is the composite indicator heat map as of Friday, June 30, 2017. We’ve added in release dates for any indicators that have not been reported yet for the month of May. In general, we have the…

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Mapping the top economic indicators – june 2017

Before I start today’s post, I’d like to announce my plans for an economic trends newsletter. The newsletter will expand on the topics and concepts of using economic indicators to track the economy and more importantly to improve investing results through their use in quant or TAA investing systems. I’m looking for a handful or so of beta testers to…

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Mapping the pros: composite economic indicators – june 2017

In today’s post I’ll update the composite indicator heat map for June. See this post for an introduction to the composite indicators and the heat map. I’ll also introduce a new composite indicator based on the COMP system I introduced here. Below is the composite indicator heat map as of Wednesday, May 31, 2017. The composite indicator heat map is all green for this month. No imminent…

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Mapping the top economic indicators – may 2017

In today’s post we’ll update the top 6 economic indicators as of mid May 2017. The final indicator for April was released yesterday. Each of the 6 indicators is updated with April data. For background on the top 6 see here. The table below shows the current heatmap for the top 6 indicators. All of the 6 indicators remain green for this month.…

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Mapping the pros: composite economic indicators – may 2017

In today’s post I’ll update the composite indicator heat map for May. See this post for an introduction to the composite indicators and the heat map. I’ll also introduce a new composite indicator based on the COMP system I introduced here. Below is the composite indicator heat map as of Friday, April 28, 2017. A few changes for this month. My partner in crime, Tony,…

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TAA vs buy and hold in overvalued markets

US stocks are expensive. There seems to be article after article on the expensiveness of US stocks these days. Plus, bonds in general are really really expensive. Both US stocks and all bonds are in the top (90th+ percentile) tiers of expensiveness relative to history. As Cliff Asness of AQR points out, the problem is that they are both at…

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Mapping the top economic indicators – apr 2017

In today’s post we’ll update the top 6 economic indicators as of mid April 2017. The final 2 indicators for March were released this morning. Each of the 6 indicators is updated with March data. For background on the top 6 see here. The table below shows the current heatmap for the top 6 indicators. All of the 6 indicators remain green for…

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TAA in the real world: theory versus slippage

Today I want to talk about my friend Jose. About a year and half ago, after months of Q & A between us, Jose decided to implement Antonacci’s GEM portfolio in his IRA (see this post for a detailed description). This post describes his first 6 months in GEM, November 2015 through April 2016. I think there are some good…

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SPY-UI model update for April 2017

The unemployment report was released on Friday, April 9 2017. Here is the update for the SPY-UI model. There is so much noise out there on this report that its important to just ignore the noise and focus on the trend. Note: you don’t need fancy paid tools to track this model. You can use easy free tools like Stockcharts.com…

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