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Thread: Cully's Account Talk

  1. 11-29-2015, 01:49 PM #37
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    Default Re: Cully's Account Talk

    Quote Originally Posted by cully View Post
    I found this quote about "exits" by a private trader informative:

    'As a closing thought, I believe it's important that we distinguish between at least six different typesof exit rules:

    • Market timing: Switching to 100% cash on an indicator of the S&P 500 or other broad index.
    • Risk reduction: Ignoring indexes but switching to cash based on your portfolio's rate of change.
    • Stop-loss orders: Sell orders that convert into market orders when a price limit is pierced.
    • Put options: Placing money on bets that pay off when prices decline a certain amount.
    • Asset rotation: Investing only in assets with the strongest relative strength at any given time.
    • Buy-and-hold and then liquidate near the bottom: What most investors do.

    If your only investment is an index, market timing makes perfect sense. Jeremy Siegel showed this in his 2008 book Stocks for the Long Run, 4th Ed. In a backtest from 1972 through 2006, a 200-day moving average with a 1% trigger band improved the annualized return of the Nasdaq index to 14.5% rather than 10.9%, even after Siegel subtracted hefty transaction costs instead of today's low commissions. (You buy at the end of any day when the index closes more than 1% above its 200-day SMA. You switch to cash when the index closes more than 1% below. The trigger band kept transactions down to about 2.7 per year.)'

    Happy Thanksgiving!

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    As a group I hope we notify and alert when this threshold has been reached. It seems that this is an occasional and worthwhile event to know. Thanks
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  2. 12-05-2015, 11:46 AM #38
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    Default Re: Cully's Account Talk

    Here is the link to a paper that has some interesting thoughts and data on portfolio money management. Does have some math, but it is not critical to understanding the majority of the concepts being addressed. It is entitled Minimizing Timing Luck with Portfolio Tranching, published in 2014.

    https://www.thinknewfound.com/wp-con...-Tranching.pdf

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  3. 12-06-2015, 11:25 AM #39
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    Default Re: Cully's Account Talk

    This is a more readable version http://www.thinknewfound.com/wp-cont...-Tranching.pdf

    FundXcellence

    [QUOTE=cully;522362]Here is the link to a paper that has some interesting thoughts and data on portfolio money management. Does have some math, but it is not critical to understanding the majority of the concepts being addressed. It is entitled Minimizing Timing Luck with Portfolio Tranching, published in 2014.

    https://www.thinknewfound.com/wp-con...-Tranching.pdf
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  4. 12-08-2015, 04:29 PM #40
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    Default Re: Cully's Account Talk

    Bear Analysis : https://docs.google.com/document/d/1...p=docslist_api

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  5. 12-11-2015, 11:06 PM #41
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    Default Re: Cully's Account Talk

    Bloomberg - Leveraged ETFs Face SEC Squeeze in Plan to Rein in Derivatives Leveraged ETFs Face SEC Squeeze in Plan to Rein in Derivatives - Bloomberg Business

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  6. 12-19-2015, 03:18 PM #42
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    Default Re: Cully's Account Talk

    Tweets from Wilshire Associates

    Wilshire 5000 Rises $350 Billion with Fed Rate Increase
    Posted on 16 Dec
    Wilshire 5000 Falls $350 Billion
    Posted on 17 Dec
    Wilshire 5000 Drops $400 Billion for Day; Ends Week Down $75 Billion
    Posted 18 Dec

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  7. 12-20-2015, 08:51 AM #43
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    Default Re: Cully's Account Talk

    Momentum is really the only "factor" we can exploit in the TSP. Even that is not "pure" momentum, having access only to market cap indexes. Enjoy this research paper by MSCI. Very readable.

    https://drive.google.com/open?id=0By...WdDci1QdUxwaWc

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  8. 12-21-2015, 01:18 PM #44
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    Default Re: Cully's Account Talk

    Found this interesting from the article https://blogs.cfainstitute.org/inves...te-funds-tdfs/

    image.jpg

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  9. 12-21-2015, 08:35 PM #45
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    Default Re: Cully's Account Talk

    Putting the recent volatility in perspective.

    image.png

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    Last edited by cully; 12-21-2015 at 08:53 PM.
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  10. 12-29-2015, 08:25 AM #46
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    Default Re: Cully's Account Talk

    Bloomberg - The Year Nothing Worked: Stocks, Bonds, Cash Go Nowhere The Year Nothing Worked: Stocks, Bonds, Cash Go Nowhere - Bloomberg Business

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  11. 02-01-2016, 10:35 AM #47
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    Default Re: Cully's Account Talk

    If you have not looked at the Blog http://www.philosophicaleconomics.com/ - take a look. A very sophisticated look at the markets. You had better have a couple of hours though - very long posts - but worth the effort.

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  12. 02-06-2016, 02:11 PM #48
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    Default Re: Cully's Account Talk

    Good discussion on momentum by Cliff Asness - student of Eugene Fama (Factor models - e.g, value, size, etc.). Is momentum a Factor. Dr. Asness founded AQR. https://www.aqr.com/cliffs-perspective/fama-on-momentum
    Lots of links for further reading.

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    Last edited by cully; 02-06-2016 at 02:31 PM.
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