The Ivy Portfolio
Has anyone looked into this at all?
What portfolio? Like all the funds, or any one inparticular?
I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano.
Yes, I’ve read a lot about it. The only concern I have is that you really have to commit to doing it, without fail. That may require some serious intestinal fortitude at times. Taxes are another consideration for NQ accounts. I can’t imagine doing this for a large number of clients on a non-discretionary basis. I am following EMA’s for my larger client’s portfolios, but do not use it simply for those 5 asset classes. So I use sort fo a blended buy-and-hold and EMA strategy. For example, for conservative clients, I may be buy-and-hold for fixed income, though I may shift between nominal Treasuries and TIPS, as well as moving in adn out of high-yield at times. For equities, I also incorporate emerging market equities. But I am still partial to active management (with some assets), so I ause this concept in conjunction with funds like First Eagle Global, IVY Asset Strategy, Mutual Discovery, etc. funds that don’t necessarily represent one asset class.
I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano.
Only Alyssa Milano. Drew Barrymore is disgusting.
She has definitely taken a turn for the worse.
I never liked her that much to begin with.
Alyssa Milano...oh yeah.[quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote]
Drew Barrymore is disgusting.
This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = "urn:schemas-microsoft-com:office:office" />
[quote=Moraen] [quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote] Drew Barrymore is disgusting.
<P =Msonormal style=“MARGIN: 0in 0in 0pt”>This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = “urn:schemas-microsoft-com:office:office” /><o:p></o:p>[/quote]
Truth hurts sometimes. She is downright NASTY looking.
You remind me of a friend of mine. When told that he had no standards, he replied, “I have standards, I just don’t try to meet them”.
[quote=Moraen] [quote=Mike Damone] [quote=Moraen] [quote=noggin] I like English Ivy and I dislike poison ivy with the exception of Drew Barrymore or Alyssa Milano. [/quote] Drew Barrymore is disgusting.[/quote]
This is the most ridiculous thing ever posted on this board. <?: prefix = o ns = "urn:schemas-microsoft-com:office:office" />
[/quote]Truth hurts sometimes. She is downright NASTY looking.
You remind me of a friend of mine. When told that he had no standards, he replied, "I have standards, I just don't try to meet them".[/quote]
Drew has her moments, but I vote for Alyssa too. I grew up watching her grow up. I don’t know that I’ve seen those movies. I know the titles, but I can’t say I remember watching the movies.
Drew Barrymore is a heifer (though I think I could drink her cute) .
The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
Can you elaborate on what you mean by this? I have followed the numbers in his white paper, and the strategy makes great sense, especially in down markets. How would the markets pound you? I guess I view the purpose of the strategy is to AVOID getting pounded. Yes, you get get pounded while you are waiting for the 200SMA sell signal, but at least there is downside protection. It beats basic buy and hold. Are you referring to upside splippage?The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
I would think there would be a great deal of upside you miss during a market bounce back, but I think by missing the great collapse you would still be ahead while mitigating risk… For example if had done this with Ishares, it looks like you would dump out around Jan 4-7 2008… Buy back in briefly in may, but then be out again by mid june all the way til late june early july of 09… which means you missed the upswing from march-june, but also means you missed a lot of the collapsse from july 2008-dec 2008… The only issue would be tax considerations for non-qualified accounts.
Agreed. However, there can be “manual overrides” on this as well. I know some people do not buy back in immediately after crossing the SMA line to avoid a “whipsaw” (as mentioned in May 2008). And you could have conceivably bought back in earlier than June 2009 (or DCA’d back in) if you felt that a bottom was in. Although that sort of “speculation” would run counter to the purpose of the technique. But if followed to the “T”, and depending on what happens the rest of this year, you could have a losing year if you got back in around June and the rest of the year floated down a bit, while the market is up considerably. I guess you have to give some to gain a lot.
Can you elaborate on what you mean by this? I have followed the numbers in his white paper, and the strategy makes great sense, especially in down markets. How would the markets pound you? I guess I view the purpose of the strategy is to AVOID getting pounded. Yes, you get get pounded while you are waiting for the 200SMA sell signal, but at least there is downside protection. It beats basic buy and hold. Are you referring to upside splippage?[/quote][quote=AdvisorControl.com]The Ivy Portfolio is a decent read and a simple yet effective method for beating the market with lower risk (at least historically). I’ve talked with Mebane Faber a few times and the dude is actually a lot smarter than the book reads. He’s capable of doing much, much more from a quant perspective; but the book is supposed to be for anyone to benefit from - including DIYers.
I would NOT use the method for client assets in any major way. There will be prolonged periods where the market pounds you and that more often than not will result in clients jumping ship no matter how sound the strategy is.
For fun - DB is below average and always has been in the looks department.
You nailed it. Client are funny like this. You could save them from a 40% decline, but as soon a their neighbor is up 30% and you're still on the sidelines (remember, Mebane only used monthly data to remove noisy trades) the clients begin to question the strategy - they think the model failed.
Case in point, one of my models was up nearly 50% through June 30 this year. It's since given back 10% while the market has risen - client phone calls come in swarms and one person even pulled their account. Investor behavior is a fickle thing; the great inefficiency in supposedly efficient markets.
So this could be a portion of ones strategy, but I would not use it in a major way.
In the quant geek world (which I guess I'd be a card carrying member) we'd call this strategy a single factor model. It's not adaptive (which is bad), it's very simple (which is good), and it's based on the past 100 years using monthly data (which is very bad). I won't waste everyone's pixels with crazy long explanations; but think honestly about the past 100 years: will there really be a high correlation the next 100 years?
This is really a trick question. We're talking about 1200 units of data for each market analyzed. The strategy seemed to work on each market. The main problem is the high degree of correlation among total returns of the units of data. In non geek-speak, this simply means there is not a real measurable probability of the next 100 years of the markets analyzed replicating the next 100 years.
As a somewhat goofy example; the US went through one of the greatest industrial booms of any nation in history during the last 100 years. In reality, nearly all the markets analyzed in Mebane's book had equally historic booms for their respective markets. So the questions are, will this continue? Will a new market leader emerge? Will new asset classes emerge? Will investor behavior change?
Honestly, I have no clue.
My point: I don't really have one - but I would not put a major chunk of my clients dough in a single factor model that has some lack of large numbers type data to it. Anyone remember reading Beating the Dow? Hasn't worked so well since publication - markets changed, accounting rules changed, etc.
The book, fwiw, is very good. The strategy, is better than what I see 90% of advisors doing (unscientifically, of course). A little tweaking to the parameters and maybe an additional factor or two - it could be way better.
I'd be willing to prove this and post a little software app for free if you all are interested. Something that takes Mebane's strategy into Excel with Macros in one sheet and then some mods and tweaks for making it better in another. If requested - I'll deliver it and any feature requests can be PM'd to me.
Good night,
J
Hey buddy, then how come your returns on your site say this:
ytd(7/30/09) 1yr avg(11/04)
RWA Aggressive -1.73% -20.18% 12.62%
RWA Moderate Aggressive 2.46% -15.42% 12.37%
RWA Moderate 6.76% -10.62% 11.98%
RWA Moderate Conservative 11.16% -5.81% 11.47%
RWA Conservative 15.67% -1.02% 10.84%
RWA High Income 20.29% 3.75% 10.09%
RWA Income 13.30% 3.16% 7.05%
S&P 500 9.52% -22.89% -3.33%
Not bad returns but not what you say either…
Squash -
Those are allocations made up of various models. We have 14 models all together. I presume you're referring to the post I made about a model being up 50% and now only being up 40% (or so). That model is part of the "high income" allocation - essentially a treasury arbitrage model that takes positions in 20 year treasuries when it's probable rates will fall and rising rate (inverse) funds when it's probable rates will rise. The model makes up roughly 1/2 of the high income and 1/3 of the regular income. IM(not so)HO - nobody should put all their $$ in any one model. So allocations of models is a better solution for our clients. Hope this helps - I hate unscrupulous liars as much as anyone. JJason, in your previous post above, are you suggesting that a lack of major moves in the market in the future will make moving-average difficult to execute? I’m having a hard time understanding why it matters what type of market changes occur in the future - the market will always go up, down or sideways, regardless of the cause. I’d be inetrested in the app you are referring to.
Thanks.I’d like to see the app as well.
Back to Alyssa Milano though…
Jason don’t you know that you can’t beat the market with your fancy models? As an advisor, you are supposed to put your money in the hands of EXPERIENCED money managers, or create great ALLOCATION models out of index funds and ETFs.
I don’t care what you’ve done the past few years… you can’t REPLICATE that. Your clients will leave in the future.
The markets are soooooooooooo EFFICIENT.
Sorry guys, had to bring this argument back. I am getting absolutely NO work done today.
Good stuff. I'm guessing that you're joking.I’d like to see the app as well.
Back to Alyssa Milano though…
Jason don’t you know that you can’t beat the market with your fancy models? As an advisor, you are supposed to put your money in the hands of EXPERIENCED money managers, or create great ALLOCATION models out of index funds and ETFs.
I don’t care what you’ve done the past few years… you can’t REPLICATE that. Your clients will leave in the future.
The markets are soooooooooooo EFFICIENT.
Sorry guys, had to bring this argument back. I am getting absolutely NO work done today.
I’m not getting jack done today either - so off to the golf course. Have a nice weekend everyone.
[quote=Moraen]I’d like to see the app as well. Back to Alyssa Milano though… Jason don’t you know that you can’t beat the market with your fancy models? As an advisor, you are supposed to put your money in the hands of EXPERIENCED money managers, or create great ALLOCATION models out of index funds and ETFs. I don’t care what you’ve done the past few years… you can’t REPLICATE that. Your clients will leave in the future. The markets are soooooooooooo EFFICIENT. Sorry guys, had to bring this argument back. I am getting absolutely NO work done today.
Good stuff. I’m guessing that you’re joking.[/quote]
Yes, joking.
XBOX Live?
ICE, you need a wife and kids....Moraen,
If and when you decide to man-up and get on XBox Live, we are going to have an in-depth chat about this.
Or a friend…
You can’t be much younger than me.
U said I was too cool… I figure we are similar ages, we can be friends…
I’m over thirty. Ice and I are friends. I like XBOX. I have a wife and kid. That’s why I play XBOX. Problem is, I have a wife and kid. Hard to play XBOX.
Ice’s wife still let’s him do stuff.
But that’s all right. Soon, I will begin “studying” late at night, while she is asleep. I’m all about it Ice. Next week starts school, then I have an excuse to be up late.
Jason - I'd like to see the app that you mention. Please post when you get a chance.
[quote=Moraen] I’m over thirty. Ice and I are friends. I like XBOX. I have a wife and kid. That’s why I play XBOX. Problem is, I have a wife and kid. Hard to play XBOX.
Ice’s wife still let’s him do stuff.
But that’s all right. Soon, I will begin “studying” late at night, while she is asleep. I’m all about it Ice. Next week starts school, then I have an excuse to be up late.[/quote]
Hopefully ICE understood that my comment was just a joke. It was more self-depricating humor than anything…as in “I’m married with kids so can’t imagine having time to play XBox”. I should have used one of those goofy little emoticons…like this , or maybe this
It’s funny, one of my good friends at Jones used to talk about XBox all the time. I went to his wedding a few years back, and since then the XBox talk slowed a bit, he had a little girl about 6 months ago, and now I haven’t heard him talk about it once.
…and by the way ICE, you keep playing XBox, you’ll have no shot at that kid.
[quote=B24] …and by the way ICE, you keep playing XBox, you’ll have no shot at that kid.
[/quote]
Whenever my wife “lets” me play. She watches for about twenty minutes and then goes and puts on lingerie. Next thing I know, I could care less that an eight your old just sniped me in Halo.
He’ll have a kid before he knows it.
I don't know man, I was babysitting my 5 yr old and her best friend this weekend while Mom was out. The daughter's friend started calling me poopyhead when I wouldn't let them do something.......you can't really put a value on that.......Sorry guys, but I don’t think kids are my “thing.”
[quote=howie]
Jason - I'd like to see the app that you mention. Please post when you get a chance.
[/quote] Just an update: I coded out my enhanced version of The Ivy Portfolio in VBA this weekend. I'll convert it to excel and disable macros so you all can have a fully functional, easy to use Ivy on Streroids to use as you wish by the end of this week. The early details: No leverage No shorting Light turnover Better than 15% annualized returns Lower than 13% standard deviation Can all be done with NL NTF funds Went back to 1996 for the backtest since not all the funds had longer history If there's any special requests for ways to make the strategy better in anyones eyes let me know and I'll throw some macros in for optimization. Keep in mind this is all in sample as we obviously know in retrospect what would've worked and what wouldn't have. JWAny update?
[quote=chief123]Any update?
[/quote]
Will be done by Friday.
Alright - so here’s another update:
Switching to excel with no
macros was a little more difficult than I originally thought. I did
this so advisors could see the minor changes I made to Mebane’s
algorithm. I have it done and also did the tweaking of using actual
funds advisors could use. This shortened the backtest and changed the
#‘s from using raw index data.
Here’s the yearly numbers for the past 10 years:
Strategy
1998 - 15.17%
1999 - 13.52%
2000 - 0.92%
2001 - 1.79%
2002 - (1.73%)
2003 - 22.97%
2004 - 6.37%
2005 - 38.51%
2006 - 10.26%
2007 - 14.44%
2008 - 3.09%
2009 ytd as of 7/31 - 3.02%
This
is using on 6 asset classes, which lowers the return potential but
makes curve fitting less an issue. For fun - I plugged in the NAS 100
(which is not otherwise used) and the 1999, 2003 and 2009 returns all
nearly doubled. That, is fitting (somewhat), and the excercise was
only to improve Mebane’s returns - which was done.
The mechanics
used were a simple momentum ranking system to dynamically change the
position size to favor the single asset class with the best
intermediate term momentum. The end result is a super easy tactical
allocation program that would beat 95%+ of supposedly smart,
professional fund/sma managers the past 10 years with only 10 minutes
trading per month.
I’ll publish over at my site by Friday in the
’free stuff’ section. Any questions or tweaks people would like to see
just let me know.
Jason, how would something like this perform during an extended bull-market run, like the 80’s/90’s? It is obviously a great program during extremely turbulent/secular bear markets, but would it underperform over long positive periods?
Also, how do you measure momentum?[quote=B24]Jason, how would something like this perform during an extended bull-market run, like the 80’s/90’s? It is obviously a great program during extremely turbulent/secular bear markets, but would it underperform over long positive periods?
Also, how do you measure momentum?[/quote]B -
Extended bull markets would've bee a problem for Mebane's version - which is why I tweaked it a little. By making the *best* asset class (ie; the one with the most momentum) a bigger weight that problem is erased.
I'm measuring momentum based on price, with two indicators blended and based on 6 month and 12 month combined measures.
For kicks, I think I'll also blend a "hedged" version into the spreadsheet that actually shorts the least desirable asset class while holding long the other 5, and perhaps adding a little leverage to the top asset class. This would essentially be like a 110/10 fund for net 100% investment but with a little hedging, of course. I think this will drop the volatility and increase the return while also eliminating any negative years in entirety.
I'll keep you all posted.
J
Thanks Jason. What I meant to ask was, where do you gather data to measure (price) momentum. Is there a service you subscribe to that provides the data, or do you simply write a program to extract daily prices from a particular service?
I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.
[quote=AdvisorControl.com] I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.
[/quote]
Looking forward to reading the code … if you’ll provide it. I love reading VB.
[quote=LockEDJ] [quote=AdvisorControl.com] I write the code myself and simply do auto EOD downloads from Yahoo Finance for something this simple.
[/quote]
Looking forward to reading the code … if you’ll provide it. I love reading VB.[/quote]
Hate to disappoint - but I removed the macros and transferred the program piece meal to excel so non tech-junkies would get to see the algorithms (which were quite simple anyway). I may turn this into a fully automated VB program with a desktop icon and .exe files…depends on how motivated and generous I’m feeling. That way advisors could just click a couple buttons and it would run a full backtest on whatever funds they use and tell them exactly what the program says to do each month.
We’ll see…
J
Jason, in measuring momentum are you adding in volume as a factor as well or just straight price movement? Have you considered adding in volume as a factor for momentum?
i dont see it yet
Sorry guys/gals - I forgot I was set to go hiking over the weekend and haven’t had the time to finish post my work just yet. There’s a couple of things I wanted to do to get it ready for the average non-techie to use.
It’ll be done sometime this week and I’ll let you all know when it’s been posted.
J
Oh…and the volume thing - it’s not nearly as important as the technical analysts make it out to be. And since we’re looking at trading global markets (some being non stock markets) - volume is non-existent. In the world of data analytics, you need comparable and complete data sets with large numbers of non manipulable data. So just prices and dates works just fine for this stuff.
Forum Folks,
If you go to our “free stuff” section you’ll find the ultra-crude version of The Ivy Portfolio is excel. Keep in mind it was a Visual Basic doc that I pretty much dismantled so the average excel user could decipher the excel formulas used to create the portfolio.
With modest excel experience you all should be able to figure it out. Pretty much within excel you just get the month end prices for the funds I lay out at the top of the doc and copy/paste the rest. The system tells you what fund should have what percent and tabulates the rest.
If there’s enough interest (ie, more than just a couple people) I’ll consider doing an API for the VB doc so the whole program works like any other desktop icon auto-run program.
This is kind of like a quasi-social experiment, as this model is ultra simple, yet would beat 99% of all mutual funds over the past 5, 10, 20, etc year periods; yet, if I was a bettin’ man - I would guess almost no advisors would use it because so many think they are somehow ‘smarter’ with their ‘process’ (er…lack thereof).
So I’m curious what everyone thinks - so check it out and let me know.
Cheers,
JW
First pass through … very simple code so anyone could understand what’s going on. Intriguing.
OK, am I Nuts? I can’t figure this thing out. Maybe I am extracting it wrong.
Am I that far behind the tech curve?? What the hell do I do with this thing? This is all I get: <?xml version="1.0" encoding="UTF-8" standalone="yes" ?> - <Types xmlns="http://schemas.openxmlformats.org/package/2006/content-types"> <Override PartName="/xl/worksheets/sheet1.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" /> <Override PartName="/xl/workbook.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.sheet.main+xml" /> <Override PartName="/xl/worksheets/sheet2.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" /> <Override PartName="/docProps/core.xml" ContentType="application/vnd.openxmlformats-package.core-properties+xml" /> <Default Extension="xml" ContentType="application/xml" /> <Override PartName="/xl/worksheets/sheet3.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml" /> <Override PartName="/xl/theme/theme1.xml" ContentType="application/vnd.openxmlformats-officedocument.theme+xml" /> <Override PartName="/xl/charts/chart1.xml" ContentType="application/vnd.openxmlformats-officedocument.drawingml.chart+xml" /> <Default Extension="rels" ContentType="application/vnd.openxmlformats-package.relationships+xml" /> <Override PartName="/xl/sharedStrings.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.sharedStrings+xml" /> <Override PartName="/docProps/app.xml" ContentType="application/vnd.openxmlformats-officedocument.extended-properties+xml" /> <Override PartName="/xl/drawings/drawing1.xml" ContentType="application/vnd.openxmlformats-officedocument.drawing+xml" /> <Default Extension="jpeg" ContentType="image/jpeg" /> <Override PartName="/xl/calcChain.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.calcChain+xml" /> <Override PartName="/xl/styles.xml" ContentType="application/vnd.openxmlformats-officedocument.spreadsheetml.styles+xml" /> </Types>[quote=B24] OK, am I Nuts? I can’t figure this thing out. Maybe I am extracting it wrong.
<SPAN =m>This is all I get:
<SPAN =m>
<SPAN =m><?xml version="1.0" encoding="UTF-8" standalone="yes" ?>
<DIV =e>
<DIV style=“TEXT-INDENT: -2em; MARGIN-LEFT: 1em” =c>-[/COLOR"> <SPAN =m><<SPAN =t>Types<SPAN =ns> xmlns<SPAN =m>="<B =ns>http://schemas.openxmlformats.org/package/2006/content-types<SPAN =m>"<SPAN =m>>
<DIV =e>
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<DIV =e>
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<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/worksheets/sheet2.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/docProps/core.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-package.core-properties+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“xml<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“application/xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/worksheets/sheet3.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.worksheet+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/theme/theme1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.theme+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/charts/chart1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.drawingml.chart+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“rels<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-package.relationships+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/sharedStrings.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.sharedStrings+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/docProps/app.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.extended-properties+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/drawings/drawing1.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.drawing+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Default <SPAN =t>Extension<SPAN =m>=“jpeg<SPAN =m>”<SPAN =t> ContentType<SPAN =m>=“image/jpeg<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/calcChain.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.calcChain+xml<SPAN =m>”<SPAN =m> />
<DIV =e>
<SPAN =b> <SPAN =m><<SPAN =t>Override <SPAN =t>PartName<SPAN =m>="/xl/styles.xml<SPAN =m>"<SPAN =t> ContentType<SPAN =m>=“application/vnd.openxmlformats-officedocument.spreadsheetml.styles+xml<SPAN =m>”<SPAN =m> />
<SPAN =b> <SPAN =m></<SPAN =t>Types<SPAN =m>>[/quote]
Sorry B, can’t resist - Are you using a Jones computer.
F*** you!
Just kidding. I'm at home. It actually may be that my version of Excel is outdated? I have no idea. I don't even know what the program is supposd to do. Is it supposed to launch in Excel or what? After I extract it, I just see a bunch of XML files and folders. Not sure what I'm supposed to be launching. If I was using my Jones PC, the little red light above the monitor would start blinking (next to the hidden camera).LOL. Had the same issue initially with a Mac. Right click, open worked for me.
It’s a really simplistic Excel Spreadsheet - really when you get it open, the code isn’t anything hard. And it’s pretty neat stuff … of course, I work for Jones too, so anything in the quant field strikes me as rocket science.
Looking at stuff like this, B, is like the poor kids looking into the windows at Christmas time. It’s nice, but how in the he11 can we implement?
I just can't get the freakin thing opened.
How do you right click in Mac??
On the newer ones if you click on the right side of the trackpad, it’s a right click. I’m on my iMac right now, and I don’t think you can right-click with the mouse.
Anyway, it might be a different version of excel.
That red light is blinking B.
.
That red light is blinking B.
I should have paid more attention in computer science… What the hell is all that?
I don't know, but all of a sudden I feel like I'm 68 years old. Damnit! Why does that light keep flashing? Oh crap, why is my Regional Leader in my lobby? Gotta go.I should have paid more attention in computer science… What the hell is all that?
you guys are slayin’ me today …
A little tech help:
I only use Mac’s - so here’s a little hot-key’s lesson. To right click, just hold down your “control” key and your mouse will behave exactly like on a PC.
The doc is the 2008 version of Excel - so it’s a .xlsx file. If you don’t have the new excel it will not open with anything more than jibberish.
If you’re good on a computer you can import the data directly into Visual Basic - but it you all are seeing blinking lights and can’t right click - then maybe disregard this message.
I can turn it into the old Excel (97-2003 .xls) - but it would be harder to enable macros should anyone want to automate the program - which again, maybe this isn’t the crowd that would attempt such a thing.
Lastly - this would be a little tough to do at Jones - but not impossible. Since a lot of annuity providers allow model trading and this thing only trades once per month - it could actually be done easily at JNL, American Skandia, and with a little work Hartford.
Good luck - keep suggestions for bad as.s portfolios coming,
JW
Do you do the following on a monthly basis?
First: we identify if the asset class is worthy of using via Mebane’s very basic qualifier – is the asset trading above it’s 10 month moving average? I took it a little further to make noisy trading less an issue by using a 2 month/10 month crossover – nothing fancy, just a little modification.
Second: overweight the asset class with the most intermediate term momentum. This is ultra basic but works. Add up the 6 month and 12 month returns of each asset class and the leader gets half the $$. The other 5 get 10% chunks. Before you dismiss this as effective – run a test – it’s worked for over 50 years like clockwork.
Third: rebalance monthly. This system would take about 15 minutes per month to manage and would outperform 99% of all mutual funds with a 10 year history in the Morningstar Advisor Workstation database. It also has lower volatility and better metrics across the board than any of the 6 asset classes standing alone.
Also is there an error for the last month, because it says it lost 90%
No error for the last month - I just finished the export before putting in the September 1 numbers for each asset class. Once that is done there’s just a little cutting and pasting to have the spreadsheet do the calculations.
And yes, it’s just a once per month exercise - using the beginning of each month numbers for the calculations. I think the spreadsheet has it using Emerging Markets as the top asset class (thus 50% weight) since May 1.
[quote=AdvisorControl.com] A little tech help:I only use Mac’s - so here’s a little hot-key’s lesson. To right click, just hold down your “control” key and your mouse will behave exactly like on a PC.The doc is the 2008 version of Excel - so it’s a .xlsx file. If you don’t have the new excel it will not open with anything more than jibberish.If you’re good on a computer you can import the data directly into Visual Basic - but it you all are seeing blinking lights and can’t right click - then maybe disregard this message.I can turn it into the old Excel (97-2003 .xls) - but it would be harder to enable macros should anyone want to automate the program - which again, maybe this isn’t the crowd that would attempt such a thing.Lastly - this would be a little tough to do at Jones - but not impossible. Since a lot of annuity providers allow model trading and this thing only trades once per month - it could actually be done easily at JNL, American Skandia, and with a little work Hartford.Good luck - keep suggestions for bad as.s portfolios coming,JW
[/quote]
Jason - Just curious. If you only use Macs, why don’t you use Numbers? The capabilities of Numbers outstrip Excel IMO. I developed my models using Numbers. A lot easier to interface and a lot easier to work with. I was an Excel junkie in my previous career and in the Army, but I’ve got to say that I like the Mac programs better.
Moraen, you use Macs too? My wife has a Mac that I use sometimes, but other than that I only use PC’s. I like both for different reasons, but it is very tough trying to move back and forth.
[QUOTE]Jason - Just curious. If you only use Macs, why don’t you use Numbers? The capabilities of Numbers outstrip Excel IMO. I developed my models using Numbers. A lot easier to interface and a lot easier to work with. I was an Excel junkie in my previous career and in the Army, but I’ve got to say that I like the Mac programs better.[/quote]
Creature of habit - I learned excel and vb in the 90’s and have never really gotten enamored with numbers (the Mac version;-). Maybe I’ll have another look and see what I’ve been missing. It seems like when I first checked it out a couple of years ago I couldn’t get it to play nice with all the vb stuff I’d written so I gave up. I just use office for Mac - which is way better than office for PC, go figure.
[quote=B24]Moraen, you use Macs too? My wife has a Mac that I use sometimes, but other than that I only use PC’s. I like both for different reasons, but it is very tough trying to move back and forth.[/quote]
Not with the new OSX Snow Leopard (operating system for non mac users). Now PCs are truly obsolete. There is virtually nothing that cannot be done on a mac - plus they don’t crash and get bogged down in the middle of something important like my old pc’s used to.
So does everyone in your office use Mac’s? Just curious if there are network interface issues (or maybe everything you do is web-based so you don’t use an internal network?).
So does everyone in your office use Mac’s? Just curious if there are network interface issues (or maybe everything you do is web-based so you don’t use an internal network?).
Everybody uses Macs here.
Jason - Numbers '09 is a lot of more robust than Numbers '08. And I got SnowLeopard the second day it was out. Awesome.
The only issues I have is with AdvisorChannel at Fidelity, but with WealthCentral, it's a non-issue.
Also, Numbers will convert most to Excel and Pages will convert to Word, etc. The only issues I have are with people sending me Word and Excel documents. I usually send .pdfs to people anyway.
Why did you use Vanguard etfs instead of ishares? And for developed int’l why did you use total international stock market that contains emerging instead of just msci? just curious
[quote=Squash1]Why did you use Vanguard etfs instead of ishares? And for developed int’l why did you use total international stock market that contains emerging instead of just msci? just curious[/quote]
Only open end funds were used in the analysis, not ETFs (the funds, if NL/NTF would be cheaper - but an ETF with the same style could be bought instead). The funds were picked to represent mostly uncorellated asset classes with passive management and low costs. I had to use the funds (non-etfs) because they had the longest history.
A few guys have asked how to update the spreadsheet. In the short term I’ll do a quick video showing how to update it - in the longer term I’ll build a usable windows based application to do all the work and just spit out the back test result and what the current holding should be.
Cheers,
JW
New to the forum… went to your site… can’t seem to find the video or the application is it up yet?>
Hey Wankster any update on the availability of what you were going to do?
[quote=Squash1]Hey Wankster any update on the availability of what you were going to do?[/quote]
Sorry - been a little busy/lazy. Busy with travel and work; lazy in watching Football instead of doing this stuff with free time at home.
I’ll make it a point this week to address some of the requests I’ve gotten lately on how to actually use this little program along with a quick video tutorial on why certain asset classes work and others do not (I’ve gotten some crazy requests for customization).
JW
I don’t see where you get the commodity info from. Also in the excel file, some of the formulas are wrong because it gives some weightings 60% when I thought the max was 50%…
What are people’s thoughts on these types of processes in taxable accounts? I would think some of the tax implications can be significant. Obviously, you always want to protect gains, but you also don’t want to be caught in a whipsaw where you sell something with large embedded gains, only to see it reverse 3 months later.
Jason, how does your strategy differ in taxable accounts?I just recorded the video this morning walking through the excel doc and answering some questions that keep popping up. Formula wrong? From me? Never!! (joking, of course) The formulas are correct. There are three tabs in the doc. The first tab is the basic JW Ivy Port and will limit the top position to 50% of the portfolio. The second is a graph. The third was a little experiment in hedging, whereas the top position gets 60% and the 'worst' position is shorted at 10%. This could easily be done by using some of the double beta etf's out there and an inverse etf to create a 110/10 portfolio - one that is always 100% invested but always hedged. The numbers don't look all that good with that method. I'll upload the video tonight and that should help with working the ramshackle program. I also lay out when I'll have a fully functional and customizable desktop app to do this for you all...for free, of course. Cheers.I don’t see where you get the commodity info from. Also in the excel file, some of the formulas are wrong because it gives some weightings 60% when I thought the max was 50%…
[quote=B24]What are people’s thoughts on these types of processes in taxable accounts? I would think some of the tax implications can be significant. Obviously, you always want to protect gains, but you also don’t want to be caught in a whipsaw where you sell something with large embedded gains, only to see it reverse 3 months later.
Jason, how does your strategy differ in taxable accounts?[/quote] Two things: Buy and hold the last 10 years with no taxes produces a lower net return than simple programs like this even with the assumption of 50% annual taxes on gains. And realistically; this program and others like it will 'most of the time' hold positions for more than 1 year. If I get bored and have oodles of free time (not likely to happen) I'll calculate the exact tax ramifications per tax bracket in the spreadsheet to see how efficient it really is. In the meantime, just look at the excel doc to see how often position size changes. For the most part the only time short term transactions occur it ends up preserving massive amounts of principal and thus is more than worth paying taxes on the gains earned.Jason, I agree. And I wasn’t suggesting you start adding tax implications to the program (I’m not a needy biatch like Squash ) - I was just curious how you handle taxable accounts differently (if at all) from tax deferred. Though I don’t know the nuts and bolts, your Formula Folio portfolios appear rather tax in-efficient, so that’s why I was wondering.
[quote=B24]Jason, I agree. And I wasn’t suggesting you start adding tax implications to the program (I’m not a needy biatch like Squash ) - I was just curious how you handle taxable accounts differently (if at all) from tax deferred. Though I don’t know the nuts and bolts, your Formula Folio portfolios appear rather tax in-efficient, so that’s why I was wondering.
[/quote]For the most part, what I do is pretty tax efficient. We never have embedded gains that cause tax implications in years we lose money.
The Ivy Port is a model - and a semi active one. FormulaFolios are actually 10 different models, with most being pretty tax efficient. We use about 30% of assets in total return (or absolute) strategies. Those can be pretty inefficient, so we'll often do those in qualified accounts and the others in non qualified accounts.
FYI to all- the video is now live, enjoy.
That was good info, is there a place to find out more info about your Folios? Then absolute return seemed interesting, do you have a further back test than what was on the site?
We're having a site developed that should be done sometime in the next decade for our strategies. Backtesting may or may not be included, I've been struggling with showing that kind of data as there are a lot of unscrupulous dudes running around right now with shady backtestd data that I think could totally blow up. I don't wan't to be in that crowd when/if it happens. Thanks for the compliment, JWThat was good info, is there a place to find out more info about your Folios? Then absolute return seemed interesting, do you have a further back test than what was on the site?
On the 110/10 strategy how do you know what asset to short?
[quote=henrybar]On the 110/10 strategy how do you know what asset to short?[/quote]
Each asset is ranked 1 to 6. The one ranked last is 10% inverse.
JW
For those of you using a Mac, and interested in downloading stock prices, this is a good starting point …
http://www.numberstemplates.com/2007/08/19/how-to-get-stock-quotes-into-apple-iwork-numbers-08/
Simply change the info in the url, as seen in the formula bar.
How would you go about shorting(new). It is my understanding that inverse etfs are not meant for more than 1 day hold because the tracking error would be off so badly. And to my knowledge, you also can't short ETFs(because they are a prospectus item)>[quote=henrybar]On the 110/10 strategy how do you know what asset to short?[/quote]
Each asset is ranked 1 to 6. The one ranked last is 10% inverse.
JW
seriously? SEO for asian escort services in NY from this forum?
Wow, and he stole my post to do it.
I'm flattered.I just read the “Ivy Portfolio” and saw he quotes No down years even in 2008 .
Pretty impressive.
What are the best etf’s to track his indexes?
SPY EFA easy 10 year treas?, Commodity index dbc?, Nareit?
10 month moving ave on month chart ; got you back in the Spy around 88 and has a stop around 100.
I could see some clients getting antsy sitting on their hands for months waiting for the ma’s to turn up. ( you would have missed abig part of the move? right?)
Any way to make it more responsive?
Would it make sense to keep 1/6 in SH and only use when it was above ma (10) currently about the $61 eyeballing it; tricky with a new asset to see the 200 day ma.
Thx
He gives you the ETF's to use in the book!
What are the best etf’s to track his indexes?
2008/2009 was an extreme example. Using some common sense, you could have started DCA'ing back into equities in early 2009. But that is based on us knowing where we ended up. Had the Dow kept going to down to 4000 through July 2009, then that strategy would have been toast. Problem was, the market turned on a dime. So you could also look at shorter term MA's to gain some perspective. That would have gotten you in sooner. But really, you want to avoid "whipsaws" - getting in or out and then having to reverse that a month later. So there is always a lag time after the MA crosses. Really, the big benefit was the downside protection is provided. It is much tougher to implement in a choppy, sideways market, as you get many more "whipsaws".I just read the “Ivy Portfolio” and saw he quotes No down years even in 2008 .
Pretty impressive.
What are the best etf’s to track his indexes?
SPY EFA easy 10 year treas?, Commodity index dbc?, Nareit?
10 month moving ave on month chart ; got you back in the Spy around 88 and has a stop around 100.
I could see some clients getting antsy sitting on their hands for months waiting for the ma’s to turn up. ( you would have missed abig part of the move? right?)
Any way to make it more responsive?
Would it make sense to keep 1/6 in SH and only use when it was above ma (10) currently about the $61 eyeballing it; tricky with a new asset to see the 200 day ma.
Thx
Instead of 10 year charts; can you use use 2 year daily charts with the 200 day as trigger.
like for dbc
or would you chart the index on 10 year monthly and then use the newly created etf?
So always using 10 year monthly charts for all markets? right?
thx
I would only use monthly charts. Too much noise with daily charts. I use BigCharts. You can use 10 month, 200 day, whatever you want (I use 10 month). I usually use either the actual fund (if enough history), or an Index proxy (i.e. use VFINX for an S&P 500 Index ETF). The returns are not identical due to expenses and tracking errors, but as long as you use a close proxy, you’re fine. I prefer those over the actual index symbol, as they are “truer”. However, I don’t know if I would be using ETF’s without a 10 month history?? All of the funds/ETF’s I use have enough history.
I found his link form his site;
Looks like he is currently carrying 12% risk if all markets fell < monthly ma (10) …
Bonds are just about stopped out…
http://stockcharts.com/def/servlet/Favorites.CServlet?obj=ID3390852
That’s assuming you only use Treasuries. I use TR bond funds for much of my fixed income, and let the managers worry about it. I let them get out of Govies at the right time. One less asset class to worry about. However, I will use govies for a sleeve. For example (I’ll do a simple example), for a conservative investor, I might have 60% in total return bonds, and then 40% actively managed between large & small stocks, int’l, emerg markets, and treasuries, and then only adjust the 40% based on MA’s. The other 60% is meant to give a steady return (ie. PIMCO TR). Sometimes I just use a global fund for large equities (i.e. First Eagle/Blackrock/MFS, etc.) - domestic and int’l.
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