A Quantitative Approach to Tactical Asset Allocation (via Covel) "The purpose of this paper is to present a simple quantitative method that improves the risk-adjusted returns across various asset classes. A moving-average timing model is tested in-sample on the United States equity market and out-of-sample on more than twenty additional domestic and foreign markets...The empirical results are equity-like returns with bond-like volatility and drawdown, and over thirty consecutive years of positive performance."
Guru Lazy Portfolios: "...virtually all the Guru portfolios have about the same characteristics, notably not acting much differently than a simple 60/40 stock bond allocation. The endowment method produces returns that are equity like, with bond like risk and drawdown measures. As is often missed in the asset allocation debate, the golden key is finding truly uncorrelated asset classes."
Spamming Stocks is Profitable.
Global Economic Investment Cycle Clock.
Beating the Dow with Dogs, Flyers, Bonds, and Darlings
Mean reversion strategies: "What happens to an asset class after after it experienced down years both 2 and 3 years ago? Since 1972, across the six asset classes, that has occurred 24 times. 24 out of 24 times the return has been positive. 100% accuracy. Average return? A whopping 24%."
When Congress goes to work it's time to sell "This “Congressional Effect” can be quite large - more than 90% of the capital gains over the life of the DJIA have come on days when Congress is out of session."
The relative valuations of small vs. large caps
NYSE margin hits all-time record "Margin debt, as the borrowing is called, in January broke the prior high set at the peak of the so-called Internet bubble."
Sector Performance Leading Up to the Start of Bear Markets: "As the major equity indices have made significant declines in recent weeks, some have speculated that we are in the early stages of a bear market. Historical precedent however, would refute that view."
The Little Stock that beats the Market: "They take the top 25 stocks where the hedge funds own the highest % of shares outstanding. ...they found the strategy significantly outperformed the indices over the 1999-2006 time period. The results are a bit fantastic (500% total return for the strategy vs. ~ 20% for the S&P over the same time period)..."
Trading a platinum-gold seasonal spread: "This spread earned an average of $6,600 every year since 1995. We earned $15,400 in the best year, while in the worst year we lose only $3,810. With a margin requirement of only $743 for trading this spread at NYMEX...What is the fundamental reason this seasonal spread works? Amusingly, it has to do with the end of the Chinese New Year."
If the Number of Net/Nets is a Contrary Indicator, We're in Trouble! "It's slim pickings among the ranks, and we have not seen it this "bad" since our research began in this area several years ago."
Book Value Per Share - More Useful than Earnings Per Share? "...companies may resort to short-term decision-making to boost quarterly EPS. ... But book value is a long-term thing and cannot be easily hidden."
T2108 Indicator and the December Low Indicator: "When the Dow closes below its December closing low in the first quarter, it is frequently an excellent warning sign." Hulbert is not worried.
NYSE TICK Volume: Tracking The Sentiment Of Large Traders: "One of the strengths of TICK Volume as a measure is that it captures short-term breakouts in sentiment quite nicely.."
What historic low volatility means for the stock market: "the notion that range-bound, non-volatile markets are "due" for a breakout just doesn't hold water. ...non-volatile periods tend to be followed by non-volatile periods, not dramatic breakouts....no bear market--including those of 1987, 1990, 1998, and 2000--has begun during a period of ultra-low volatility."
The Bearish Equity Put-Call Ratio: What To Make Of Extreme Options Sentiment: "Going back to 2001, such fear has had bullish implications. When we've had a single put/call reading above 1.0 (N = 44), the next 20 days in the S&P 500 Index (SPY) have averaged a gain of 2.09% (33 up, 11 down). That is quite a bit stronger than the average 20-day gain of .16% (899 up, 628 down) for the entire sample."
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