klouche’s Activity

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

Boards Post

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]

Fri Nov 21

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:24 PM

Re: interesting -adaptive asset allocation paper

This is an excellent paper if results can be reproduced.

His best portfolio is 20 year, 16.7 CAGR using 10 (approx) asset classes at a Sharpe 2.15, max draw under 10%. No time to fire up the GTR this morning, but perhaps someone else?

Thu Nov 20

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:06 PM

Re: Is it easier to beat the market now, or befo

Once you move to the large cap world, the best juice is once again equal weight vs. cap weight.

Perhaps sector switching (or asset class) may help, perhaps calendar timing, or momentum timing. But the equal cap effect dominates.

Thu Nov 13

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:30 PM

Re: 31 years near Buffett returns w/ fid selects

close to Fidelity Select universe result, but better on most metrics:

Most of the advantage over Fidelity can be attributed to equal vs. market cap weighting. Plus, in general, the smaller but equal cap, the better performance but [more]

Wed Nov 12

NL

Boards Post

klouche replied to the Mechanical Investing board. 9:27 PM

Re: 31 years near Buffett returns w/ fid selects

Taking another tack, with Robbie's help:

Top 20 market cap stocks in each sector, equal weighted, from sector that did best by this measure in the past 210 days, hold for 22 days.

88 years of results:


Avg Min Max [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]

Thu Nov 6

NL

Boards Post

klouche replied to the Mechanical Investing board. 6:31 PM

Re: 31 years near Buffett returns w/ fid selects

Super simple Fidelity Sector bullet that mirror the S&P 500 ten sector divisions. So there are no survivor-ship issues.

Sharpe is in 0.65 range.

[more]

Tue Oct 14

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:44 PM

Re: How to determine Bear Catcher Combined value

Addendum:

Cap Weighted vs. Equal Weighted, SP500 1971-2014


Cap Weighted Equal Weighted
B&H BCC=0 B&H BCC=0
CAGR: 10.3 11.8 13.4 14.3
TR: 7,250 13,262 24,174 34,701
GSD: 17.9 14.3 21.1 16.2 [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 3:26 PM

Re: How to determine Bear Catcher Combined value

First thanks to Robbie for the correction and detail. Especially the outline of the care that went into consideration of what was a 52 week high when there was little volume and prices were in fractions. This opened up the 1970's for backtest timing [more]

Mon Oct 13

NL

Boards Post

klouche posted to the Mechanical Investing board. 5:25 PM

How to determine Bear Catcher Combined value

The Bear Catcher Combined signal name was defined by Robbie Geary III, to identify periods when to be out of the market. It is the combination of three timing indicators. It returns a value of 0, 1, 2, 3, 4, 5, 6, or 7. In backtests, when BCC = 0; it [more]

NL

Boards Post

klouche replied to the Mechanical Investing board. 12:22 PM

Re: Recent BCC Signals

Larry,

Thanks for posting these. Do you have a link to submit this realtime? Does it require a subscription?

Fri Oct 10

NL

Boards Post

klouche replied to the Mechanical Investing board. 2:32 PM

Re: OT beat the market, effort free

Taken to an extreme, you simply have a quant screen, and end up back at the MI board.

Perhaps the endgame for MI will be ETFs weighted by similar screening factors we use here.

Wed Oct 8

NL

Boards Post

klouche replied to the Mechanical Investing board. 4:10 PM

Re: October

From your link, look at utilities for the May to October period. Not bad 3% gain, better than flat or loss. Plus substantial dividends. It has worked for me in 2014, however plan to switch in the last week of the month to everything but utilities.

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