Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Hi toofuzzy,
VEA is europe/pacific(MSCI EAFE) while VGK(MSCI Europe) is europe only. I could not find the VEA yield on the vanguard website.
At this moment i see two problems with ETFS:
1- synthetic ETFS(use of futures). AVOID THEM.
In 2008 I remember that commodity ETFs which were dependent on AIG did not trade for a week or so, until Paulson did his thing.
At this moment I would avoid any synthetic ETFs, like DBC. Also in France and Germany there are quit a number of synthetic ETFs at the moment that will get into problems when the banks blow up(after a Greece event or an Italian event)
This weekend there was a warning here by the Society of Equity Investors to get out of these ETFs!
2- Lending failures.
I know of 2 lending failures now:
There was the case of a DBX Europe tracker that suddenly was invested in Japan smallcap.
The other is the AMUNDI(Credit Agricole/Socgen) MSCI Netherlands ETF, which contains 95% Swedish equities. I can assure you that Sweden is not part of the Netherlands!
These are the things I know from my own experience. There will be more issues that we do not know yet. Vanguard is the only company that will return the lending profits to the ETF. Other companies will take 50% of those profits. The investors have the risk, the ETF supplier the profit.
What to do? :
1- I will always take a Vanguard ETF when I have the choice.
2- Look for opportunities elsewhere(CEF for example)
3- Maybe forget about ETFs and create a Graham like portfolio of stocks. (I discovered this holiday that Graham was kind of an AIMer before Lichello published his book)
Best Regards,K
Hi Tom,
I noticed the following:
IMEU MSCI Europe Div%: 3,5% ER: 0,35% (europe based)
IEV S&P Europe 350 Div%: 3% ER: 0,60% (US based)
VGK MSCI Europe Div%: 5,3% ER: 0,14% (US based)
Hi Clive,
Got my VGK(Europe LB) and EFV(Europe LV) buys today, offset with one sell EDV end of last week.
reduce as price declines arrangement for instance, perhaps according to whether the price is above or below a moving average).
I have the feeling that relative strength signals to get out, are obvious earlier than moving through a MA from above.
In a Top2 arrangement VTI became weaker than LTB already in May this year.
In this case a LD-AIM for LTB and a LD-AIM for short-VTI would be 'perfect'. If you still want a core, then UBH could be the underlying core around which these directional hedges are projected.
Maybe you like this business model :http://www.fundx.com/AboutFundX.aspx
Best Regards,K
Hi Clive,
With equal weighted you have much more variations
I can understand this with shares, where small cap stock takes more 'slots', so an average slot gets more volatility, especially if you have big movers as in SCV.
If you don't have big movers, you would anticipate that the volatility would average out to zero. In the case of GMI you have quite a few bond ETFs, which have lower volatility than SCV(I assume).
In that case I suspect that being more exposed to debt via equal weighting over the last 10 years gives a higher return, because bonds did so well.
It seems to me that bond exposure in general can be used as a tactical asset allocation. For example in case of the UB&A, if relative strength indicates LTB or gold exposure, then start a LD-AIM program, where optimally you would have sold out when the relative strength subsides. You then avoid bond/gold exposure when interest rates rise. This mechanism would work as a volatility dampener on the overall portfolio.
Best Regards,K
Hi Toofuzzy,
Personally I would split the equity and bond funds in to baskets and put my age in the bond funds any maybe 60% domestic for both the equity and the bonds.
In the article it says:
a "model-free" allocation plan of equally weighting the major asset classes (and returning the mix to equal weighting at the end of each year) fared even better (GMI-E), delivering a 9.6% annualized total return
Also that the GMI is better than the 75th percentile of funds screened in Morningstar.
If you look at :
http://www.capitalspectator.com/archives/2011/09/major_asset_cla_3.html
you see numbers for the GMI, which is market-value weighted index, a rebalanced GMI and an equal-weight GMI. The equal-weight GMI performs the best.
The thing i have not found yet, is prove that this is indeed the image of the global asset heap.
Best Regards,K
Hi Toofuzzy,
http://www.capitalspectator.com/archives/2011/08/tactical_etf_re_4.html
the choice of assets was new for me at least :)
global and complete.
Best regards,K
Global Market Index (GMI)
Interesting: http://www.capitalspectator.com/archives/2011/09/the_power_of_tw.html
If you click on the ETF link in the article, you can see how to build this portfolio using cheapish ETFs.
It certainly is an alternative for an UBH.
Best Regards,K
EDV,
Got another sell in EDV yesterday. Now there is only one sell left in this LD-AIM machine.
One thing that differentiates EDV from TLT is its duration. EDV is around 30 and TLT around 15. I think that the duration is the percentage a bond will fall in price if the interest rates goes up 1 percent.
So when interest rates are moving upwards(after 2013 according to Bernanke) EDV could be potentially a deep diver.
When interest rates are going up it is probably wise to be in short term bonds.
Best regards,K
August,
Here is the chart till 03 September for my UB&A. Since 7 July 2010 it is up 8.94%.
The most recent buy was on 8 August, so nearly a month ago. The chart above is an end-of week-updated chart. So the intra week lows of early August don't show up.
August activity:
ETF #ofBuys
VOO 0
VTV 0
VB 2
VBR 1
VGK 1
VPL 0
EFV 2
VSS 1
DLS 1
VWO 0
DEM 0
DGS 2
VNQ 1
VNQI 0
Hi Jada,
There is a lot of action in SLV:
If you use 3,12 you will buy a lot soon and sell a lot soon.
Maybe you want to use 3,12 at the sell side and 10,10 at the buy side.
I think Tom is using 10,10 Buy and 0,10 Sell.
One thing is that SLV could be at an all time high, you never know.
If you buy in that scenario you need a lot of cash to continue buying.
You could also start with a LD AIM program, limiting the number of buys and sells.
Or even a NoDown AIM program if you think SLV will tank.
At the buy side you could also use MACRO AIM to postpone buying.
A lot of different strategies all described in the Q&A forum.
Best Regards,K
I further suspect that even the PP's method of rebalancing isn't the best choice either. Instead midway rebalancing is more appropriate IMO. i.e. whenever an asset rises from 25% to 35% weight, reduce that down to 30% weight instead of resetting it back to 25% weight. (Ditto if an asset declines to 15% weight, re-raise it back to 20% weight).
From 25% to 35% is an increase of 40%.
From 15% to 25% is an increase of 66%
From 17.86% to 25% is an increase of 40%.
So a 17.9/35 band could be used.
So I am thinking that the reset to 30% is ok, the reset to 20% could be changed to 21.43%(a 20% increase from 17.86%)
In a PP 15% is never breached, but 17.86 is possible.
Best Regards,K
Hi Clive,
A 2X PP combination looks so nice especially with the dividends coming in.
There is something that stops me doing it:
- the erosion of value because of the daily 2x calculation
- expense ratio is 0.92%
- feeling that a 2x ETF could goto zero. SSO went from 55 to 37 in July/August
It will be interesting to see how your portfolio develops in time.
(AImdeveloper is using Direxion funds(3X))
Best Regards,K
Hi Clive,
Yes, I am thinking of using EDV to reduce the volatilty of the UB&AIM variant I use.
At the moment I have 14 ETFs (4-US, 5-DevWorld, 3-Emerging, 2-Reits).
In the style of Swensen I like to add a combination of SHY and longer term bonds. Swenssen is using TIPS, I would use EDV.
When the 14 ETFs make up 70% of the UB&A and the bonds 30%, again the Swensen ratio, the size of SHY and EDV would be 3 times the size of an equity machine.
The SHY would be used as AIM cash. The equity and EDV would be antisymmetrical which reduces the need for cash.
In the background a PP could run for the deeper cash requests.
In this way I have increased SHY, because only a PP for cash is too small for my taste.
Best Regards,K
Hi Tom,
beginning to wonder if we'll see the investor switch flipped the other way after September 1st as it did last year.
That is the feeling I have as well. Bernanke will do his speech soon and we get a reboot. I read somewhere that maybe they bring the long end of the bonds down and the short end up. That will make a lot of people happy. It is not called QE but "Operation Twist."
Hope the EDV LD-AIM machine will sellout:)
http://money.cnn.com/2011/08/19/news/economy/thebuzz/index.htm
fundamental difference between 2011 and late 2008.
However EDV went up. From 1 Sept 08 till 26 Dec 08, from 100 to 150.
Looking at EDV on Google finance, i saw that EDV went below its 200SMA in mid april 09, giving a good buy signal.(one month late)
At this moment EDV is still far above the 200 EMA and rising in the weekly view, so macro-AIMers can still wait executing that buy signal:)
Best regards,K
Hi Tom,
Congratulions with your sells!
These non-correlated sells feel great! Real hedging.
I am planning to increase the size of the EDV machine to balance the stock part of the Ult-Buy/Aim.(UB/A) Maybe double the buy sizes of EDV orders or something like that.
I am not on the 30 Day Rule yet for sequential buying, when cash is a bit lower the rule will be activated. Up till now I improved total UB/A Portfolio Control approx 5% in August.
Exhausted all buying early August, so no ETFs are at their buy prices yet. Maybe later today.
Best Regards,K
Click
Another sell in EDV.
Have 2 more real sells available in this low down machine.
Best,K
Nice sell,
Sold some EDV today. Bought EDV in May, this is the first sell.
Hope that EDV will be a nice AIM machine, the dividend is about 4% now.
Last night CHY tripped after hours and also bought some VIG.
All GTC AIM orders. These are low down machines(mix of real and virtual stock)
I have all GTC orders active and buy all AIM signals.
Before I went on holiday in July I sold my Value-equities(FCF), just in case the debt ceiling would not be increased. I need to reapply that cash, so all AIM orders are bought now.
Happy buying to all! (And selling gold and bonds)
Best Regards, K
Hey Aimdeveloper,
Bought some CHY last night after hours.
IGD is an interesting fund, nice dividend, all stocks and options. Only the put options I don't like.
IID (Int High Div)seem to have only CALL options and also a nice div.
Any reason you prefer IGD vs IID?
HYF and GHY seem to concentrate on high yield debt.
Best Regards,K
Busy updating the spreadsheets,
more buys today:
first buys: VNQ,VBR,VGK,VSS
second buys: DGS,EFV. Bought these last week as well
second buy in one day: VB. Normally I wait a bit longer between buys, but I like to use the cash now.
Maybe a few buys after hours? Have entered a lot of GTC orders, I noticed that for example VSS is very volatile with gapping.
Best Regards,K
Hi All,
Just returned from holiday, did not read any news etc.
What a surprise, got 3 buys last week (EFV,DGS and DLS) and one buy today (VB).
Hope to get more buys soon.
Best Regards,K
Hi Clive,
Adjusted prices would be ok, if you substract the year end value from the start value to get the increase including dividends during the year and for calculating the increase percentage. But not in the P/FCF calculation, you should use the real price there.
32.63 / ( 2.92 - 1.69 ) = 26.5
This is the calculation as we would do it at the end of 1998. BA would not be selected. The price at the end of January 1999 is 34.69(google), also that price is not a selection price.
The year end 1999 lower P/FCF in effect arose out of the P (share price) not rising as much as the cash flow (FCF)
41.44 / ( 4.22 - 1.42 ) = 14.8, BA only selected by a small margin at the end of 1999.
Only Psaras can reveal what really happened here. He is not answering comments on his article, although the article is a bit old now.
I was able to download his article today, no midnight run there.
His study about the Dow performance should not be taken as gospel.
In general P/FCF is still a valid contrarian strategy, see for example David Dreman.
Best Regards,K
Hi Clive,
The discovery of errors could be it, but we do not know.
If he was using year end values he started with a higher P/FCF and ended with a lower P/FCF!? That could never give him a positive benefit.
I got the impression that he did not had a lot to write about at the end. He was looking at shares mentioned by seeking alpha, did one article and then stopped.
Maybe we will see him back and he only had a nice holiday.
Best, K
Hi Clive,
Yes Mycroft has been quiet.
I updated my Dow30 spreadsheet on June 22 and got the following stocks with FCF yield(only above 10%):
stock FCFyield P/FCF
CSCO 10.57% 9.46
GE 12.47% 8.02
HPQ 11.33% 8.83
MSFT 10.72% 9.33
PFE 12.76% 7.84
VZ 13.79% 7.25
June - second
Here is June. Next week it will be one year ago that the portfolio was started. Results are a bit above 20% now.
There were no buys during June, although DGS came close to a buy(needed the price to be 6% lower).
In the Simba spreadsheet (Bogleheads forum) there is a Lazy Portfolio tab. The UBH had the best performance, 1$ to $16.33 from 1985 to 2010.
The CAGR was 11.34 %. AIM could improve that return a bit.
Maybe July will be volatile as well. The US debt thingie and the European bank situation. That powder keg could explode.(or not)
Best Regards,K
Buy Low,
Portfolios often get rebalanced, maybe once a year or at certain deviations from an allocation percentage.
This practice is referred to as Buy Low, Sell High. A contrarian type of Money Management.
However it seems to me that this rebalancing not always is Buy Low, but for example Buy Medium, dependent on the situation.
Aim is doing a better job of Buying Low, AIM never buys between High and Low. At least that is how it seems to me.
So in an investment portfolio, one can typically specify the range of each asset class allocation, to 'time' the market. (see for example R.C. Gibson, Asset Allocation, Balancing Financial Risk)
This step in the portfolio management process can be handled by AIM. Aim makes it a mechanical driven and not management driven process.
Best Regards,K
Hi all,
Did a bit more work on the UBA.
Hope it all is correctly calculated.
Now I can look at the portfolio variance and SD from the start of the portfolio till the current week, over any period.
Hopefully I can see something whenever things are changing.
You see that the SD of the UBA is 1.37%, a lot lower than I expected. However I did not really have any expectations.
Also the calculations are for equal size parts. That can be changed as well.
This calculation shows the behavior of the whole UBA portfolio, the bar-chart graph shows more the behavior of the different components.
Best Regards,K
Hi Clive,
Thanks for the spreadsheet.
I just noticed that I need to make a small change to the Covariance table, so the standard deviation will change in value for the UBA portfolio.
As soon as you have more than 2 assets these calculations are not funny.
Still I think it worthwhile to do it once, just to understand it a bit better.
Best Regards,K
Hey All,
Here is a calculation of the standard deviation for my UBA/PP. The calculation is for the most recent 6 months.
The Standard deviation is only 2%, the price graph was indeed very stable over that period.
Hopefully I didn't make errors in the spreadsheet.
I was looking at how standard portfolio theory can help us with the construction of the portfolio:
1 - AIM manages the division between the risk free asset and the portfolio. AIM could indeed go negative cash at certain times(2008) and it is all standard academic portfolio theory. AIM manages the complete portfolio in this case.
2 - How to construct the portfolio. The correlations change rapidly(more than I expected). That means the distribution of assets also changes. Another change in the portfolio would be if the riskfree rate changes. The tangent to the efficient frontier would reach the frontier for a different risk value, so again the portfolio would change. So the theoretical portfolio is very fluid and could change a lot. In practice it seems that an allocation of equal parts or an allocation of parts where AIM defines the sizes is a valid choice. Another way of looking at it is to put more cash in negative correlated assets, but that is what AIM already is doing.
Best Regards,K
Hey all,
This was not a good week. Several positions are now descending and on their EA200.
Also look at BAC where the Free Cash Flow is deteriorating:
http://quicktake.morningstar.com/StockNet/financials.aspx?Country=USA&Symbol=BAC
This is not a good signal and could be the signature of the 'double dip'. It could be the perfect time to do some housekeeping and sell what you don't like.
My ultimate Buy and AIM was down a bit in May, and from the start(July 2010) it has increased 19.94%. The XIRR is 22.94% at this moment. No machine is close to a buy signal yet.
In the RS graph one can see that the drawdown of the Domestic funds was hedged by Europe, Emerging and REITs. The domestic equity funds now have a RS below 1 and momentum players should leave them. EDV(TLT) and IAU is the top 2. In the top 3 VTI is exchanged for SHY.Top 1 is still IAU.
Also I am looking a bit at Portfolio theory and made the UBA correlation matrix over the same period where the RS is measured. It contains the same information as the RS barchart, only presented in a different way. Have to do it for a while to see what it means :)
Best Regards,K
Hi All,
Nice strength in EDV, IAU and VNQ.
On the break-out, as indicated by the RS of EDV being bigger than the RS of VTI(top 2 consideration), I bought a few EDV shares.
Now I am pondering what the strategic sense of the EDV BUY will be:
- a LD-AIM machine. EDV is maybe the most volatile bond ETF, an AIM machine would operate using rather normal settings.
- part of the UBA strategy as an income component. This would be an classic AIM machine
- a top 2 component.(The other component would be IAU, which is already owned in a PP) The second component will be bought on its break-out.
Best Regards,K
Super Tom,
What a nice graph!
Where do you place the first Buy order?
Best Regards,K
Hi Adam,
The EIS ETF is thinly traded and looking at Google, the bottom price was 58.67, then some at 58.70 and then 58.73 and then only up, so buying at 58.70 is not too bad.
I think you were 'unlucky' to only get a part of your order filled.
It also happened to me in the past and I understand the funny feeling you get when you see 2 commissions.
To avoid them I guess you should trade popular ETFs and try to trade 100. If you trade 110, you always have a split of 100+10. Or trade 90, then somebody else has 100-10 :)
Schwab has deliberately
I think Schwab sends the order to the exchange and then they lose control of the order handling. It would be too devious and too complicated to split your order and have it executed over 2 days.
Best Regards,K
Another interesting sell signal
In my value portfolio (low P/FCF, high CROIC, lowest discounted price at the most 50% of value) I also have a sell signal. This portfolio started in May 2010, with a XIRR of 20.85%
I will look at the stocks with the highest discounted price versus value and sell those.
This portfolio has an AIM envelope while Value activity happens within it.
Best Regards,K
Hi Tom,
DGS had a sell as well today for me.
Cheers,K
Happy Hour!
Today VNQ had a Sell.
New GTC Buy and Sell orders loaded for VNQ.
DGS and VTV are also getting close to a Sell.
Best Regards,K
Hi Tom, RE: Your Canadian dollar ETF
Congratulations with your sell and let's hope DEM and DTH will also
sell soon!
Do you consider your Canadian Dollar ETF to be part of your Cash reserves?
Or do you consider it as an AIM machine on its own?
Maybe it could be a nice way to 'improve' the Cash part of AIM.
Best Regards,K
UBA today: 2 sells
The UBA experienced 2 sells today: VB and DEM.
New Buy and Sell GTC orders are loaded for them, valid till October 2011.
Best Regards,K