klouche’s Activity

Fri Feb 27

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:05 PM

Re: Equal weighting VS Mcap weighting

Here's CW and EW for all 500 and then EW for the five 100 stock strata of the 500, from GTR1, since 1957.


CW500 EW500 1-100 101-200 201-300 301-400 401-500
CAGR: 10.4 12.6 10.1 11.3 13.2 13.0 14.8
TR: 31371 97222 26395 [more]

Wed Feb 25

NL

Boards Post

klouche replied to the Mechanical Investing board. 10:19 PM

Re: VFINX VS Equal weighted S&P 500

Yes, it would be very easy to do an SP500 EW at Foliofn. One could make five watch folios, each with 100 tickers, equally weighted at 1% each. Then have five equivalent folios in your main account with matching tickers. Every once in a while [more]

Tue Feb 24

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:08 PM

Re: VFINX VS Equal weighted S&P 500

Definitely the equal vs. market cap weight advantage. Plus Vanguard's fees are a drag.

Sun Feb 22

NL

Boards Post

klouche replied to the Mechanical Investing board. 7:50 PM

Re: hedge funds an utter disaster for years

Two Hedge Fund Managers walk into a bar:

http://www.fool.com/investing/general/2015/02/18/two-hedge-f...

A hilarious piece. [more]

Fri Feb 6

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:34 PM

Re: ETF rotation system with zero trading costs

Sorry to hear about the rough start.

One of the take aways from the excellent "The Mathematics of Money Management: Risk Analysis Techniques for Traders" book is that you should start a new portfolio gradually. Over weeks and [more]

Thu Feb 5

NL

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klouche replied to the Mechanical Investing board. 11:51 AM

Re: new index industry sector

All for it, but we've been using IYR and VNQ for years as holdings and for backtesting.

If the correlation has low correlation counterparts with other assets, then this is beneficial.

We've beat this horse pretty hard. Looks like [more]

Wed Feb 4

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:22 PM

Re: Variable Hedging in ETF Rotation

Try this:

[more]

Tue Feb 3

NL

Boards Post

klouche replied to the Mechanical Investing board. 8:26 PM

Re: Variable Hedging in ETF Rotation

Much better, (returns 9+) using same universe:

[more]

Mon Jan 26

NL

Boards Post

klouche replied to the Mechanical Investing board. 5:26 PM

Re: ETF Rotation w/basic index funds

Older asset classes, recent performance, under performs newer ETFs, especially equal weighted.

Eight classes are:

US Stocks
REIT
exUS Stocks
Bonds
Energy
Tech
Gold
Emerging

Using for older asset [more]

Sun Jan 25

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:30 PM

Re: ETF rotation system with zero trading costs

Other asset classes to consider:

EEM emerging markets, low correlation, boomed in the 2000s
GLD a pseudo currency play, an alternative to interest rates
QQQ where emerging business models are born

Also consider using RSP as [more]

Tue Jan 20

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:22 PM

Re: Good blend

I like Ulcer Index. Kept at around 7 or lower. It is a representation of depth and duration of drawdown, not simply reward/volatility as Sharpe is.

Wed Dec 17

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:59 PM

Re: .NDX & FTSE 100 Index

This is more accurate history(sorry)

Even better is QQQ which includes dividends.

March 2000, 100.82
November 2014, 106.01

14 year CAGR 0.035%

Tue Dec 16

NL

Boards Post

klouche replied to the Mechanical Investing board. 1:59 PM

Re: simple asset allocation SPY and TLT

Meb Faber shows backtest results to 1973 (as I recall) in the Ivy Portfolio book.

I recommend this book to readers of this thread. A premise is that one can follow the investing patterns of the endowments of major ivy league [more]

Fri Dec 12

NL

Boards Post

klouche replied to the Mechanical Investing board. 10:11 PM

Re: Why?

You should have read that many of us suggest phasing in, especially at these levels. The market hit a new high last Friday, one of many this year.

Go in with 25% then wait a month or two then repeat.

It is better to have [more]

NL

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klouche replied to the Mechanical Investing board. 7:20 PM

Re: simple asset allocation SPY and TLT

Here's another variation:

19 years back to January 1996, quarterly holds, hold 2, drop after 4, low turnover, no stop gain. So this one would be easy to implement.

Start date matters, so a dual quarterly would be appropriate or a [more]

Thu Dec 11

NL

Boards Post

klouche replied to the Mechanical Investing board. 8:44 PM

Re: simple asset allocation SPY and TLT

I just left both steps there for easy modification for testing. At one time they were top three, bottom two.

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:09 PM

Re: simple asset allocation SPY and TLT

Also note that 2013 was well below SPY-RSP. It's good that the failure was recent and over with.

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:23 PM

Re: simple asset allocation SPY and TLT

Here's a six asset screen that tests well, with Bear Catchers.


---------2005 to 2014
Avg Min Max SD
CAGR: 20.75 16.90 24.32 1.73
TR: 555.4 371.1 767.7 90.6
GSD(20: 17.16 16.28 17.99 0.47
DD(20): 10.10 9.30 [more]

Wed Dec 10

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:51 PM

Re: simple asset allocation SPY and TLT

TLT will not repeat that performance again...

Elan's point cannot be repeated too often.


However, last October 23rd my seven member asset allocation screen asked me to get into TLT, and I went through the conventional wisdom [more]

Tue Nov 11

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:26 PM

Re: Best Screens of the last 5 years

If SPY doubled in five years, and the typical screen tripled the monthly difference is 0.68%

From that trading friction, commissions, mistakes, lateness and personal time consumption. May not be worth it. It is a slim margin.

The [more]

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Boards Stats & Trivia

Big red star, 1000 posts Old School Fool
Board Posts 2003
Recs Received 5680
People who have rec'd these posts 958
Recs to Posts Ratio (last 30 days) N/A
Threads Started 224
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Most Frequent Board Mechanical Investing
Very First Post Re: 1997 Spark Five (10/12/1998)
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