klouche’s Activity

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

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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

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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

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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

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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

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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

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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

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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]

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]

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