Mechanical Investing | Forum profile

A while back I did a suggested buy-it-and-forget-it-for-a-decade dividend portfolio. http://boards.fool.com/Message.asp?mid=27798764 For anybody interested, here's an update. http://boards.fool.com/Message.asp?mid=28110993 Executive summary: The portfolio has returned +34.07% in 4.41 months including dividends. The S&P 500 as tracked by SPY has returned +25.38% including dividends. So, that's an advantage of +8.79% relative...

Maybe I am missing something but since some of the ETFs such as DBA, DBC, GSG and especially WPS and BWX have only been in existence for a couple of years wouldn't this skew a back test to 2001? Yup. In most of my ETF timing workbooks, I have something in them to ignore analysis during periods where less than x number of items exist. Otherwise, go back far enough, and SPY is the only ETF available.

Nice idea to start. What you're in the process of is a pretty good validation exercise, looking for a mound of toast. Keep going along the threads you're on, love to see what you find - could be decent value/defense screen. FC

Is there any advantage (i.e., better gsd, drawdown, ulcer index, etc.) thst the methods listed in this thread are better than using the Decision Moose method. Seems that DM took $100K to about $1M over the same period as the Faber strategies which at best seem to take $100K to about $300K? http://www.decisionmoose.com/Moosistory.html I see comparisons with the RTW method, but not the DM method. Just asking, so don't anyone get torqued...

* 10/30 11/6 11/13 11/20/09 Trailing 12 month PE 48.3 42.4 39.4 36.5 Trail Earnings yield 2.07% 2.36% 2.53% 2.74% Forward 12 month PE 24.42 24.31 24.66 24.72 Fwd Earnings Yield 4.09% 4.11% 4.05% 4.05% 90 day tbill yield 0.07 0.04 0.07 0.02 10 year tbond yield 3.44 3.57 3.45 3.35 Arezi Ratio 0.03 0.02 0.03 0.007 Fed Ratio 0.84 0.87 0.85 0.83 The Arezi Ratio is the 90 day tbill yield divided by the trailing earnings yield of the S&P500....

Interesting idea. Maybe I can look into this week if things are slow. The main problem I see, short backtest time. Most of the ETFs only have a history of 2 years so things would definitely be skewed because of the one big event of global recession over the past year. JLC

If the ratio is not in the range 1.016 to 1.157, go to cash. There haven't been any times that the ratio was over 1.157, but the index has crossed above and below the 1.016 point several times. Just looking through some old post and found this one. The index has crossed over 1.157 ten times since 4/2/09 and is currently at 1.181. Comments? Thanks

Jim wrote: The Wave/Moose approach is hugely more aggressive, and despite some wonderful testing still has a bit of magic to it that takes some trust. It's inherently based around a "one best asset class" idea, and I don't think anyone would recommend managing all your money this way. There is no question all of what you've stated is true. The QTAA approach is extremely conservative, and simple enough that one...

As soon as I posted 220793, I found the error in my math. I checked it several times before posting, but after posting the error was clear (this is like buying a stock after lots of research and then the stock crashes one hour later). Please disregard that post. The error is I combined factors on the wrong side of the Ln. Again, apologize, Jim

Last Post: http://boards.fool.com/Message.asp?mid=28083477 Groups are approximately 100 tickers per Top and Bottom Ranks which is about 5-6% of the total. Week as of 20091113 All groups are "Normal" except Technical Rank. No change from last week. Strategy: Sstatus based on average TR4w last 10-weeks of VL Investment Analyzer data. 42% Normal (NORM) = Top percentile is MAX OR Bottom Percentile is MIN, each approx. 100 stocks...