Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.
"The market has risen after yield inversion ( albeit in a small sample size ) on past occasions. Link shows highest forward return after onset of yield inversion" https://imgur.com/bDQr7ws
The market has risen after yield inversion ( albeit in a small sample size ) on past occasions. Link shows highest forward return after onset of yield inversion
The yield spread is an important and useful ( and is definitely getting a lot of atten…
Zweig ( working with Ned Davis ) was an early pioneer of quantitative analysis. Yet, most analysis since the 1980's has been weak as the main thrust and profit center of finance has been the acquisition of assets under management with associated fee…
Investors shouldn't shy away from emerging markets. The use of emerging small cap and domestic small cap value has produced highest alpha premia over a long sample ( as proven by academia ). Over history, emerging markets performances have "zigged" …
The key is to use other tactical variables in determining precise asset allocation. Valuation metrics can be overbought for long stretches of time and and one has yet to develop accurate allocation strategy around them that produces alpha over buy a…
Every Feb 1, I buy energy services sector ( XES, FSESX ) and hold until May 1. If it is the first year of a Presidential term and the forward year risk model * ( calculated on Feb 1 ) indicates Low / Favorable risk, then I hold until Aug 1.
Bold =…
Investment portfolio science is always evolving. There is a big push towards the low fee, indexing narrative as it is a huge profit center and the financial industry flocks to where the sales $ exist.
The 21st century has afforded the investor and…
As we are lucky to live in an era of being able to utilize investment products that represent underlying production of excess returns over buy and hold ( as per academic literature ), using well designed, systematic, objective tactical strategies ha…
The purchase of an equal weighted blend of small cap value, emerging small cap, and large cap value or mid cap growth from the Nov 1 to May 1 period, then switched to utilities, Long U.S. treasuries, or cash ( depending on risk model heuristic ) fr…
Using a well designed, empirically based investment process with diversification using stock universes that have produced excess returns consistently over long samples, 5 and 15 year forward total returns periods resulted in Buffet matching returns …
The advent and growth of ETFs / index funds and the availability of funds that can focus on specific stock universe attributes in the 21st century, has validated / shed light on that ( Buffet's ) advice. Further improvement in computing power and gr…
Instead of trying to devine an absolute level of CAPE in order to make a determination of market overvaluation, the measurement of excursions of CAPE levels in standard deviations above it's long term "mean" with subsequent application of a well tes…
Seems like the to time to be "steering" investors towards indexing, passive, and ultra diversification is when markets have been through a reasonable decline. Not at a time when:
1) the largest stock market ( U.S.) in the world is richly valued and …
Go to Portfolio vizualizer https://portfoliovisualizer.com/backtest-portfolio#analysisResults. Register for access ( free ). login.
Go to "Backtest Portfolio Asset Allocation"
Input VFINX in Asset 1.
100% in "Portfolio 1".
Press analyse.
Nex…
Consistent alpha premium has been produced over legendary managers performances through the use of funds focusing on risk factors and the use of tactical factors.
For example, an equal weighted blend of emerging small cap / small cap value / large …
A lot of it has to do with the U.S. depegging from gold in 1971 creating a system of floating currencies, and the subsequent trade imbalances created with first, Japan, then China ( and creating of credit bubbles; Japan in late 80's and China now ? …
These are the popular figures that are in charge of billions of dollars ... An investor with a sound, patient, diversified strategy can do better than these personalities over the long term ...
Since 1986, energy as part of a simple, seasonal three sector switching strategy has had it's best statistical profitability in the winter / spring months. 2016 was exceptional .
https://docs.google.com/spreadsheets/d/1NrMJ1hs2zhLrXc-WgjdbA_0uf0KU…
If large cap companies have indeed been engaging in "financial alchemy" ( using "cash" piles or taking on debt in order to buy back shares and prop up share prices while laying employees off because of reduced incentive to innovate / spend on R&…
Bought long treasuries ( TLT ) on Friday near close to hold for 3rd quarter. During neutral / high risk years, favorable bond market setup during 3rd quarters has led to statistically significant positive outcomes. seekingalpha.com/instablog/1109…
As long as corporate earnings rise / economic productivity and growth continue, the markets over a continuum, will perform a series of mean reversions ( from above an intrinsic value and from below an intrinsic value ). By identifying this intrinsic…
Junk bonds have performed best in the months of Dec, Jan, and Feb.
Since 1986 using PRHYX *, median 3 month returns = 3.8%
3 loss periods:
1986 5%
1987 6%
1988 7.40%
1989 2.80%
1990 -6.40%
1991 7%
1992 6%
1993 7.10%
1994 2.30%
1995…
In flat, overvalued, mean reverting markets, this is where tactical / quantitative processes become useful. Even the use of a strategy as simple as an empirically derived, price / moving average cross heuristic has produced risk managed alpha in the…
Stocks have declined / made little upward progress when certain elements signal overvaluation / deterioration and coordination.
Since 1924, mean reversion statistically has occurred when there have been consecutive years of S&P 500 performance …
Only a handful of geopolitical events have led to / accompanied major market corrections. One factor that has repeated over time has been the slowing of market activity / dry up of liquidity, the increase in market volatility because of exogenous e…
Only a handful of geopolitical events over the last 50 years have produced major forward negative returns.
If an investor utilizes an empirically derived, systematically based, risk managed process with a diversification over different asset classe…
There have been "questionable" periods for equities over the markets' histories. Yet, over a long sample, the use of a bi annual switching strategy involving investing in: 1) a blend of Emerging small cap and U.S. Small cap value from Nov 1 to May 1…
As with any variable that is covered by the financial media and literature, a "one off" analysis and use only goes so far and can produce spotty results. It is the combining of quantitative variables and selective use of different stock universes th…
Can't find any source where Icahn used the word "crash". Also, the market doesn't have to "crash" in order for him to make money on his position; it merely has to decline. And he has seemed to have chosen a reasonable point in the market's history a…
Doesn't matter what Buffett does. Just buy Mid cap growth ( MDY ) and you'll be better diversified and not held hostage to Buffet and Munger's esoteric and discretionary methods ...
Random starting periods:
tinyurl.com/jjsn7y2
tinyurl.com/hot2d3b
ti…
The naivete of conventional financial media that lack robust quantitative evidence and statistical significance in forecasting is shown in the repeated reporting of these "single degree of freedom" / 2nd derivative measures / articles
Just closed positions in energy services ( column G * ) and small cap value with respect to 2016 being a high risk year ( section 3 ** ). In cash for now. Next possible asset allocation would be into long bonds ( TLT ) for the 3rd quarter.
* ht…
Energy's seasonal idiosyncracies ( summer driving demand, refinery maintenance, supply flows ) have produced a decent returns when used within a simple, tactical 3 sector switching framework. 2016 has been exceptional. https://docs.google.com/spre…
Some mutual funds have done well in the 90's, but it's been just plain hard outperforming the Russell 2000 index ( IWM = ETF equiv. ). Maybe it's because they get too big, their management style stops working, or the market "complexion" has changed…
Getting back to the question as to "where" should retirement withdrawals come from this study researched a number of options and I liked this quote enough to pass it along:
In virtually all the scenarios, "it pays to eat your bonds first, equities …
Newer academic thinking about investment glide path allocations and withdrawal rates in retirement years ( Weigand and Iron / Sptizer and Singh *) has shown that an investor / retiree spend from bonds first and stocks last ( and build a "safe money"…
Small cap ( Russell 2000 ) has outperformed BRK-A over various periods
1999 - 2015 tinyurl.com/jze9dzz
2008 - 2015 tinyurl.com/zxzh7mr
And small cap value has beaten small cap Russell 2000 tinyurl.com/z229923
Actually, Wesley Gray and Co. are innovators in the Robo advisory space with the advent of an active managed method that "may" actually produce alpha beyond benchmark. This through exposure to just two stock universes (based on Fama French factors) …
Funds can't raise cash because of manager "career risk" ( they have to be careful to at least match the "benchmark" from year to year / quarter to quarter). This is one of the dilemmas of investing in mutual funds. Others are fees, various rates of …
