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?).

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.

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.