Comments on: Two

By: Glenn Adams

Glenn Adams — Thu, 18 Mar 2010 00:18:13 +0000

Don't know if you have seen the story by Mark Hulbert abut the 200 day ma posted today. Not Seth Klarman or Bruce Berkowitz territory, but better than a lot of other methods, including buy and hold, over the years.

http://www.marketwatch.com/story/using-the-200-...

Regards

By: Glenn Adams

Glenn Adams — Wed, 17 Mar 2010 19:18:13 +0000

By: Jul

Jul — Mon, 15 Mar 2010 12:52:35 +0000

If you don t want to publish it on your blog, why don t you sent it only to the Cambria Monthly Newsletter subscribers?

By: Firepower

Firepower — Sat, 13 Mar 2010 22:42:37 +0000

Just make sure your research covers multiple time periods (i.e. monte carlo). TAA is very period sensitive (if you've studied BnH vs MA over diff time periods). Your first paper only studied one time period, but other studies have shown this momentum strategy nearly equaled BnH.

By: hswalj

hswalj — Fri, 12 Mar 2010 21:09:18 +0000

Thanks for the suggestions. My desire to short is largely as a result of all the back-testing I have done with clones I have created with alpha clone. Simply hedging (non-401K) a cloned stock portfolio produces much much less draw-down and volatility. Several options I have considered include 50% clone and 50% Ivy Portfolio using 10mma; 50% clone 50% bonds; 100% clone and time with 12 mma.

Thanks again for suggestions.

By: hswalj

hswalj — Fri, 12 Mar 2010 21:08:47 +0000

Thanks again for suggestions.

By: macclary

macclary — Fri, 12 Mar 2010 18:16:09 +0000

Hedging takes effort and market timing takes effort. Like Rsmlp suggests, I personally don't put my effort into hedging retirement accounts, I instead put my effort into timing the long side only. If you can go short that is a different story, then long/short makes much more sense.

At the extreme, if you are willing to re-calculate your hedge strategy every day or intra-day then you may be able to effect a hedge in your 401k using options on triple etfs and tie up little capital. This assumes your custodian is amenable and you want to do this much work. If you would rather recalculate your hedges weekly then straight triple or double short etfs may be fine. If you only re-hedge monthly then sh might be the way to go.

Hedging with ETFs, or any other financial product, is never 100% successful. Go ahead and investigate, but also investigate the option of 1) taking a smaller equity allocation 2) tactically closing equity positions out during extreme downside volatility.

By: rsmlp

rsmlp — Fri, 12 Mar 2010 11:49:34 +0000

hswalj, don't do it. “hedging” will cost you $ over the long run, probably lots

By: hswalj

hswalj — Thu, 11 Mar 2010 19:57:44 +0000

Perhaps this is too mundane for a paper, but as an alphaclone subscriber, I am stumped as to how to hedge inside a 401k. Could use SH etf but that would consumes 1/2 assets if 100% hedged. Of course can't short inside 401k. Could use puts but not sure what proportion and in/out money issue. Plan is to use alphaclone to establish positions and hedge 50% using 6 mma and 100% with 12 mma; or maybe 5mma and 10mma.

By: WHampton

WHampton — Thu, 11 Mar 2010 17:33:23 +0000

What to do with them? Like Fark I look forward to reading them. Like Sea I'd lean toward monetizing your intellectual property somehow.