Stock scream room

[mathjak107]

personally i think you stand far better odds  staying in a conservative model you can handle instead of  some kind of  a timing system which  in the past  has  had sooooo many versions fail to show in any long term academic study that it actually worked any better or at all .

Yeah, well 2015 is not the past on a huge number of levels.  My concern is about trend following becoming a crowded trade, not failing due to transaction costs or behavioral biases or whatever else the issue was in the past.  It may be like an arms race and may require more and more complexity to outperform.

Seriously, at this point you would have me go 100% into overvalued stocks without some kind of downside risk management?  I just cannot do it.  There's a time and place for that and its at secular bear market lows not at secular bear market highs (1987-1994 was basically a bottom).  And T-Bonds at 5,000 year lows in yields are a huge bet on its downside risk management continuing to work instead of going the other way which seems much more likely.  What do you do then for a plan when T-Bonds go the wrong way?  I don't need that risk.

i see nothing wrong with 25-30% equitys and an assortment of  intermediate and short term bond funds  if you are gun shy .  success rates at 4% may be lower but if you want low volatility you got it

[ochotona]

Yeah, well 2015 is not the past on a huge number of levels.  My concern is about trend following becoming a crowded trade, not failing due to transaction costs or behavioral biases or whatever else the issue was in the past.  It may be like an arms race and may require more and more complexity to outperform.

Seriously, at this point you would have me go 100% into overvalued stocks without some kind of downside risk management?  I just cannot do it.  There's a time and place for that and its at secular bear market lows not at secular bear market highs (1987-1994 was basically a bottom).  And T-Bonds at 5,000 year lows in yields are a huge bet on its downside risk management continuing to work instead of going the other way which seems much more likely.  What do you do then for a plan when T-Bonds go the wrong way?  I don't need that risk.

Black Monday was exactly that kind of day. We all tried running for the exits at the same time.

I think Mathjak just takes the counter-position no matter what, just to tweak people. Yes to downside risk management. Simple things like the 200 day MA don't "fail"... it's whether your expectations of what they should do match up with what they actually do that might be a "fail".

[Jack Jones]

to date i know of no academic study that proves anyone can actually time these things enough to make a difference over the long haul .

do you ?

Here is a paper that has been updated to include out of sample data:

http://papers.ssrn.com/sol3/papers.cfm? ... _id=962461

[mathjak107]

to date i know of no academic study that proves anyone can actually time these things enough to make a difference over the long haul .

do you ?

The only ones I'm aware of that prove outperformance are the momentum studies.  99% of stuff simply doesn't hold up or isn't robust enough.

exactly my point.  wall street would love to fire all the analysts and managers and just capture that 80% in the middle . they would pay billions of such a system worked long term

[mathjak107]

to date i know of no academic study that proves anyone can actually time these things enough to make a difference over the long haul .

do you ?

Here is a paper that has been updated to include out of sample data:

http://papers.ssrn.com/sol3/papers.cfm? ... _id=962461

isn't that the guy who came out with the system in question ?  why not get the tobacco industry to write a report on the benefits of smoking

[ochotona]

exactly my point.  wall street would love to fire all the analysts and managers and just capture that 80% in the middle . they would pay billions of such a system worked long term

NO THEY WOULD NOT. Because Meb Faber's system underperforms bull  markets sometimes for years and years. People dive out of his system for exactly the same reason they dive out of the PP. Tracking error, but more than that, wrong index error. But sequence of return risks plummets for those within a decade of retirement (me). On Wall Street, if you develop such a huge underperformance relative to some index like SP500, you're out of a job. Even if next year your fund goes down by 50%. It's all about making sales this quarter.

[mathjak107]

time will tell  what it does , we will just have to wait and see the long term results .

[MachineGhost]

i see nothing wrong with 25-30% equitys and an assortment of  intermediate and short term bond funds  if you are gun shy .  success rates at 4% may be lower but if you want low volatility you got it

So you are endorsing the Volatility Parity PP Sr? 

[MachineGhost]

exactly my point.  wall street would love to fire all the analysts and managers and just capture that 80% in the middle . they would pay billions of such a system worked long term

I know, but my point is I focus on the 1% that works as does the top 1% of hedge funds.  The rest of Wall Street just cares about packaging and selling a retail product.

[MachineGhost]

isn't that the guy who came out with the system in question ?  why not get the tobacco industry to write a report on the benefits of smoking

He didn't come out with it, he just published as literature what had already been in use for decades.  He's an outsider to Wall Street so he has a different perspective than drinking all the self-serving Kool Aid.  I really don't consider his white paper to be academically rigorous.

[ochotona]

My wife accuses me of having a man-crush on Mebane

[dualstow]

My wife accuses me of having a man-crush on Mebane

[MachineGhost]

My wife accuses me of having a man-crush on Mebane

I'm sorry.  I conflated stock picking with trailing stops in those stats I posted.  After deeply thinking about it, I would want to do a regression on stock picks and see if the betas weren't beat by their equivalent indexes.  You'd think this would be done more often, but why risk popping the mirage bubble?  In other words, I'm skeptical again.

[Jack Jones]

My wife accuses me of having a man-crush on Mebane

What do you think about his ETFs?

http://www.cambriafunds.com/etfs.aspx

[MachineGhost]

What do you think about his ETFs?

http://www.cambriafunds.com/etfs.aspx

None of them use downside risk management, except the new Value and Momentum combo not listed.  His application of it to 50 assets or so in GTAA didn't work and he got fired or left.

[Jack Jones]

What do you think about his ETFs?

http://www.cambriafunds.com/etfs.aspx

None of them use downside risk management, except the new Value and Momentum combo not listed.  His application of it to 50 assets or so in GTAA didn't work and he got fired or left.

Why do you say downside risk management didn't work with GTAA?

[MachineGhost]

Why do you say downside risk management didn't work with GTAA?

The performance for periods before 07/28/14 is for the AdvisorShares Cambria Global Tactical ETF (the "Predecessor Fund") which was renamed the AdvisorShares Morgan Creek Global Tactical ETF on 07/28/14. The Predecessor Fund had different portfolio managers and investment strategy than the AdvisorShares Morgan Creek Global Tactical ETF. Performance prior to 07/28/14 reflects the Fund's performance prior to the change in manager and investment strategy and may not be indicative of the Fund's performance under the new manager and revised investment strategy. Performance since 07/28/14 reflects actual AdvisorShares Morgan Creek Global Tactical ETF performance.

[Jack Jones]

Yeah, I've seen its performance. That's why I asked you to clarify because I don't see anything that shows that his use of downside risk management failed. Care to elaborate?

[MediumTex]

My wife accuses me of having a man-crush on Mebane

Here is something you might be able to use around Valentines Day:

Be mine Mebane
Be mine
I'm losing my mind
I'm going insane
Over you Mebane
Be mine
Be mine Mebane
Be my Valentine

[ochotona]

Will European stock markets open lower on Monday?

[mathjak107]

flip a coin

[goodasgold]

flip a coin

Is flipping a coin your usual method for determining what to invest in on a weekly basis?  Or is a Ouija board the way to go? 

I personally think it is instructive that the great John Bogle has said that not only does he not know anyone who has consistently timed the market with success, he doesn't even know anyone who knows anyone who has done so.

Seriously, MJ, if your intuition, coin flipping prowess, or whatever other method you use is successful in forecasting the market long-term, you would be doing everyone a service by offering free advice via a blog, thereby helping lots of folks who still rely on expensive investment advisors with their supercomputers, PhD staff, insider information, etc.

[mathjak107]

my serious investing uses both strategy and funds only .  i only want to deal with the market cycle volatility , i don't care much what happens in the short term, . i don't want to introduce another layer of individual company risk and the research that goes with that .

my fun speculation on individual issues ?  just gut feeling and seat of the pants . been doing it for 27 years now and not only had fun doing it but made some nice quick money through the years .  but it is only done with fun money on a very small scale in comparison to my funds .

no one can guess short term moves in the markets so flip a coin , you just may guess right if you want to know what European stocks will do monday .

[ochotona]

I noticed my Schwab US broad market ETF SCHB returned only 0.30% over the past year, that include dividends. That's less than the Schwab US Aggregate bond ETF, SCHZ, which returned 0.93%.

So time-series momentum (TMOM) with a 1-year look-back and the 200 day moving average (MA) both suggest to lighten up on the US Stock Market at this time... like, time to exit.

[Reub]

Thanks for that! My Hedgeable account has also gone to mostly bonds and cash.