Blog Archives

Join the Reserves

July 27, 2011
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Join the Reserves

Most forget that the tremendous macro imbalances caused by the 10 Trillion in foreign reserves are just 14 years old phenomenon but the results have been and will be profound.  The buying started after the Asia Pacific collapse of 1997, and the As...

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Crazy RUT

July 24, 2011
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Crazy RUT

I have noticed that the Russell 2000 (RUT) acts very differently from most of the other indexes that I have studied.  If we apply the system shown in Shorting Mebane Faber to RUT and then extend it with a simple slope, we notice something very dif...

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Shorting Mebane Faber

July 19, 2011
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Shorting Mebane Faber

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look.  Once ...

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More Thoughts on US Death Spiral

July 13, 2011
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More Thoughts on US Death Spiral

What troubles me most about today’s environment is the persistent belief that crisis large or small results in a US dollar rally and lower Treasury rates. However, what happens if the US dollar and US Treasury rates are the source of the crisis? Then...

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Drawdown Control Can Also Determine Ending Wealth

July 11, 2011
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Drawdown Control Can Also Determine Ending Wealth

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth.  CHTTX was one of the best performers of the fou...

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Scary Derivatives and Scary XML in R

July 7, 2011
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Scary Derivatives and Scary XML in R

I need some new R skills, and there is no better motivation to learn XML in R than one of the scariest financial datasets out there—the US Department of the Treasury Office of the Comptroller of the Currency (OCC) Quarterly Derivatives Report. I’ll...

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A Quantstrat to Build On Part 6

July 5, 2011
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A Quantstrat to Build On Part 6

THIS IS NOT INVESTMENT ADVICE.  ACTING ON THIS MAY LOSE LOTS OF MONEY. In A Quantstrat to Build on Part 5, I promised some performance reporting on quantstrat portfolios, but then in REIT Momentum in Quantstrat, I discovered it is not nearly as ea...

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Beating Kenneth French Small – High

June 30, 2011
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Beating Kenneth French Small – High

With 148 pageviews over the last 24 hours, my post Kenneth French Gift to the Finance World has been popular relative to most of my other posts.  I think the popularity is due to Kenneth French’s notoriety and the amazing outperformance of Small...

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Cash Might be Your Tail Risk

June 30, 2011
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Cash Might be Your Tail Risk

Just like James Montier Ode to the Joy of Cash and David Merkel Got Cash?, I think cash is an extremely powerful tool.  Of the 3 ingredients (land, labor, and capital) of the economy, capital (cash) is most scarce at the end of a crisis or recessi...

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Kenneth French Gift to the Finance World

June 29, 2011
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Kenneth French Gift to the Finance World

Kenneth French gives one of the best gifts to the finance world at his website http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.  I am surprised I have waited so long to write a post about this wonderful resource.  Aft...

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