AIM UK

[ls7550]

Sorry 1889, I hardly ever visit this board any more, so very late in responding.

No just check the 10 month moving average once each month

http://www.taa4themasses.com/

http://www.mebanefaber.com/timing-model/

are useful links.

Ladder is a form of log stochastic measure, so the easiest way its just to calculate

1 - ( ( log(current) - log(bottom) ) / ( log(top) - log(bottom) )

i.e. if I opt to track the Dow and decide a top price of 15000 at which I'd be all-out and a bottom price of 6000 when I'd be all-in, and the current price is 10,000 then

( log(10000) - log(6000) ) / ( log(15000) - log(6000) )
= 0.56 (56%)

If later the Dow moved to 12000 then = 0.76 (76%)

These figures indicate cash reserve amounts, so if the fund size was $100,000 you go from 56% cash reserve ($56K) to 76% cash reserve ($76K) as the Dow moved from 10,000 to 12,000 i.e. you'd have sold $20K of stock across that move.

You can also use the calculation against yields rather than price, but you have to invert the result i.e. deduct the results from 1.0 i.e. perhaps you might be tracking Bond yields and want to add as the yields rose, reduce as the yields declined.

I'm not using Ladder with Mebane's approach, but I am with respect to weighting between long dated and short dated treasuries and with yields so low that's indicating all in ST's at the present time.

Ladder's nothing more than a method to help you weight investments, but can throw off some nice rebalance gains during rapidly zigzagging conditions. It scales you in as prices decline and out as prices rise (form of buy low, sell high).

Best. Clive.