jimmyjazz
102 posts
msg #114262
- Ignore jimmyjazz |
6/29/2013 9:56:45 AM
Kevin, a couple of questions:
1. did you see my post about Faber's TAA ETF (GTAA)? It's basically doing nothing, and the dividend isn't anything to write home about.
2. in 46 pages there are a lot of filters posted here -- what is considered the "refined" version, and are you and others still happy with it? The backtested performance from 2003 thru 2010 of the first few filters seemed impressive. Did things go off the rails or are we talking about different filters?
As always, I appreciate the hard work Kevin & others do here. (I also subscribe to Pangolin Z and have seen it work in action.)
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Kevin_in_GA
4,599 posts
msg #115629
- Ignore Kevin_in_GA |
9/30/2013 2:42:25 PM
Just a reminder here -
Note that after a few months in IWM the new leader is EFA. I have already made my re-allocation into International stocks this morning.
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Kevin_in_GA
4,599 posts
msg #115636
- Ignore Kevin_in_GA |
9/30/2013 9:50:56 PM
This might make this a whole lot easier to figure out:
rolling 3 month chart for TAA
Just look at it at the end of each month - the asset class on the top is the one in which you should be invested for the next month. Wash, rinse repeat.
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jackmack
334 posts
msg #115639
- Ignore jackmack |
10/1/2013 8:35:13 AM
Kevin
Thank you - yes that link sure does make it look cleaner and easier to pick the next months top dog.
Will that adjust to the end next month for the 3 month look back - meaning will it roll month after month going forward?
Thank you
Cheers
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Kevin_in_GA
4,599 posts
msg #115645
- Ignore Kevin_in_GA |
10/1/2013 10:10:08 AM
Yes, it should automatically update each day.
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davesaint86
726 posts
msg #115648
- Ignore davesaint86 |
10/1/2013 10:56:10 AM
This strategy has merit especially for 401ks
ETFReplay shows
Total Return since 2008 - 158.7
CAGR 18
Max DD 19.2
Win Ratio 68.1
Worst Period -7.75
2008 Return 2.5
2013 - 22.1
Current Selection EFA
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tennisplayer2
210 posts
msg #115666
- Ignore tennisplayer2
modified |
10/1/2013 9:28:01 PM
Kevin, thanks for sharing this. If it looks like there is going to be a change, do you sell 3 days before the end of the month (to account for the 3 day settlement) ?
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jimmyjazz
102 posts
msg #115670
- Ignore jimmyjazz |
10/2/2013 9:15:11 AM
Kevin, I like that yahoo! chart. Does your TAA page on your website essentially use this method (monthly rebalance between SPY, IWM, EFA, and AGG based on the best 3-month return)? Right now you're still calling out small caps there, but it refers to September as the active month; i.e., looks like you haven't updated it yet.
I'm still curious to see if anyone can explain why Faber's GTAA ETF is doing so poorly?
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Kevin_in_GA
4,599 posts
msg #115671
- Ignore Kevin_in_GA |
10/2/2013 9:46:16 AM
@tennisplayer - no need since you will not be buying/selling for another month at the earliest. You can sell and buy immediately, but not then sell again until the settlement is complete. Also, if you are simply reallocating existing funds within your 401k then there are no issues.
@jimmyjazz - I had planned to update the site last night. Will do it tonight.
Does anyone know what code (if any) would let me embed this chart into a post here on SF so that it would always be visible and updated? Same question for embedding it on my site.
Thanks for any response to this question.
Kevin
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Kevin_in_GA
4,599 posts
msg #116360
- Ignore Kevin_in_GA |
10/30/2013 7:56:38 PM
Our plan is clear ...
http://finance.yahoo.com/echarts?s=SPY+Interactive#symbol=spy;range=3m;compare=iwm+efa+agg;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;
Stay in International stocks for November.
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