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In the top stickies, the Newport one by me has a outdated link in the first post, however if you follow the replies you get to post 41127 (https://investorshub.advfn.com/boards/replies.aspx?msg=95374737) ... which still contains two active links. One to calculate the stock npt (current date in newport format) the other is a zip file. IIRC the content needs dosbox to be installed and in effect runs a windows 3.1 type version of the Newport program within that. With more recent improvement in virtualisation there's probably a better/easier way to run Newport on more recent boxes.
Hi Nick.
The transition to some acceptance of gold for me was when Gilts moved and continue to remain paying negative real yields. Bad enough already to lend to 'someone' who can set interest rates and revise policies etc. The conclusion I came to was that a barbell of 50/50 stocks/gold served as a form of central global unhedged bond bullet Yes more volatile year to year, but broadly fits.
The Talmud choice also sat well with me. Third each in Pounds, Dollars and Gold (global currency). With Pounds invested in a home, Dollars in stocks. For other reasons small cap value had appeal, and in noting the international exposure of the FT250 along with it being very similar to US SCV I opted for that domestic choice instead of holding US stocks. The other mid/longer term risk factor I considered was that of taxation risks. More so with the rise of a Marxist government opposition party. Utilising a 2x FT250 total return swap (2MCL) was brought into focus.
I even wonder about shifting even more into 'physically in hand' assets i.e. ignoring home value and assuming 50/50 stock/gold, then that could be held as 33 2x, 67 gold. The thought train being that compares to 66 stock, 66 gold, 33 borrowed. Pair 17 stock with 17 gold as a global bond proxy and that might broadly counter the 34 borrowing cost (as in the 2x stock fund), leaving 50 stock, 50 gold effective exposure. see here
2MCL pays no dividends (its a total return swap). Neither does gold. So if Corbyn/crew opt to punitively tax investment income then that's somewhat immune. Two thirds of liquid in physical in hand assets (gold) can also be buried out of reach. Just 22% of total wealth has counter party risk (2x stock swap), that is liquid (T+3 before the value/money could be FX'd into a less punitive state/region). Whilst as a portfolio historically having done the business at offsetting inflation risk.
Legal tender gold coins are capital gains tax exempt under current rules i.e. no different to not having to pay capital gains on copper penny coins if/when the price of copper surges as it a monetary coin, not a commodity.
I appreciate many many hate gold however and at most might hold very very little just as a extreme event hedge. Asian's seem more accommodating of gold, more often because of histories of punitive taxation/defaults in their domestic currencies/bonds. For times when it is deemed OK to hold cash, less need to hedge political risk, then as 50/50 stock/gold is a more volatile global unhedged bond, you might de-leverage that. i.e. based on the standard deviations in the earlier chart I linked to might be revised down to this Many will think such asset allocations to be mad. Maybe I am :) Portfolio's are all very personal things, but even so many like to 'conform' and fall into somewhat alignment with each other.
Weather has taken a distinct turn for 'cooler' last night up here in the London suburbs (near Wimbledon tennis courts). Have a good weekend.
Clive.
Hi Tom. Thanks. Not sure about the accuracy/reliability, but indicative at least. Somewhat demonstrates how AIM like dynamic cash is fractal and can work well across both shorter term (monthly reviews) or longer term reviews (yearly rebalancing). Having a wad of cash to invest when prices are down/cheap and the sense to buy (rather than just freezing or worse ... selling), tends to lead to reasonable results.
Also is suggestive that the v(i)wave is a very valuable measure.
Best wishes to you and yours.
Clive
Seasonal best wishes to all, and a big thanks to JDerb for the continued vwave updates (and to Tom for his earlier years iwave).
According to my approximated reckoning i.e. using by eye approximated estimates for the iwave (vwave from 2008) at the start of each year since 1982, and using the 'Stock' based i/v wave measure as a conservative approach as to how much 10 year Treasury to realign to at the start of each year (remainder invested in small cap value stock holdings) ... i.e. a rebalance once each year to i/v wave indicated amounts ... then the results were 'satisfactory' (to coin a Ben Graham term) ...
[Yearly rewards for small cap value, 10 year T and inflation were obtained from portfoliovisualizer.com Gains exclude costs and taxes. Why SCV? Because I like the concepts/ideas around a modestly more aggressive form of the Larry Portfolio (Larry Swedroe) i.e. less in relatively higher volatility holdings]
1982 to 2017 inclusive figures. 2018 not a particularly good year with around a -1.5% nominal, -3.75% real.
Merry Christmas to all.
Clive.
Hi Tom.
Happy Independence Day
And best of wishes (from a redcoat)
Hi Steve
Hi Bob
Hi Toofuzzy
That's a archived version of my AIM web pages Allen.
I used to have free web space via my ISP but they pulled that and I archived them to that location (found alternative free web space).
Demonstrates how AIM-HI (80/20) is a good compromise between reduced reward from less stock exposure, some volatility capture.
Simple 80/20 yearly rebalanced can compare in total reward to 100% buy and hold, but do so with less volatility (better risk adjusted reward).
Historically a 4% safe withdrawal rate (SWR) is pretty much utilised as a guideline i.e. take 4% of the portfolio value in the first year, and then adjust that amount upwards by inflation each year as the amount drawn in subsequent years. Historically that survived 30 years, but in the worst case drew down to zero. In the average case rewards were much better i.e. more often left the same or more in inflation adjusted terms than at the start, and in the best cases significantly more. The worst case obviously reflected the worst case peak to trough 30 year period. Even simple averaging in over 3 timepoints, 2 years (dropping in a third at each of day 0, day 365, day 730) would have averaged the worst case to a less bad case. AIM is another form of cost averaging that will help avoid the worst case.
Starting at average or a low is of less concern than starting at a potential peak. And as that started at a peak chart shows AIM reduced the risk
Very broadly, 80/20 yearly rebalanced will tend to compare to 100% stock. Much depends however upon how much the cash earns. Taxed T-Bill type cash interest and the SWR will compare in the worst case, lag 100% stock in the average and best cases. And lag quite significantly in the best cases. But additional gains above good-enough gains are somewhat nice - but unneeded. If cash earns a higher than taxed T-Bill reward then the worst case is uplifted, as it might also be uplifted by AIM-HI being more aggressive than simple 80/20 yearly rebalanced.
Much of investing is not so much the great gain potential, but avoiding the worst. Average is good, especially as many investors lag that average (index), typically due to high costs, taxes and bad behaviour (tendency to add-low/reduce high through fear/greed). Of those AIM best serves avoiding the bad behaviour risk element, to some extent taking the opposite side - providing liquidity to those that do behave badly (sell to the greedy, buy from the scared - a catch phrase that Tom coined back in 1995).
Feed AIM good food that has a tendency not to perish and it will automatically manage that for you, telling you how much to hold and when to trade. Broad indexes are a good choice of AIM feed for their resilience to totally perishing. Currently Buffett is sitting on a little over 80/20 i.e. has $116Bn of cash as part of a $500Bn market cap value (77/23) and you can bet he'll be only too happy to deploy that cash to the scared when opportunities present. Not that his cash reserves are a good guide however as he lives in a totally different world where the scared come knocking at his door looking for liquidity and such great individual bargains aren't always aligned with the broader market also being in bargain territory.
Hi galtinvestor
Hi Allen
If you ignore cash interest and dividends and AIM just the share price then the combined dividends and cash can act as a form of inflation offset. Perhaps best to keep the AIM aligned as-is (relative proportions of stocks, cash ...etc.), not adjusting either cash nor stock value for dividends, just keep a record of them separately and periodically add them into the AIM in the relevant proportions such that the AIM in effect remains unchanged.
When adding/removing, add (or take) proportional amounts to (from) stocks and to (from) cash, and increase (reduce) PC by the proportional amount of stock value added (removed).
i.e. if PC=12500, SV=15000, Cash=5000 and 6000 is being withdrawn
Take (6000 x ( 15000 / ( 15000 + 5000 ) ) ) = 4500 from stock
and the rest (6000 - 4500 = 1500) from cash
... and adjust PC by a factor of the new stock value divided by the old stock value = 12500 x 10500 / 15000 = 8750.
That keeps AIM the same other than the total amount of funds invested in the AIM and the number of shares held.
i.e. new PC=8750, SV=10500, Cash=3500 (each are 70% in this case of their prior values).
The same method can be applied as and when dividends are received. Combine that with cash interest received to date and apply that in the above manner. Again AIM will remain balanced as before, but have seen a increase in the total amount and number of shares held.
If for instance $100 of dividends and $30 of cash interest have been accumulated, then adding $130 to current AIM of
PC=8750, SV=10500, Cash=3500
adds 130 x ( 10500 / ( 10500 + 3500 ) ) = 97.50 to stock and the remainder 32.50 added to the AIM cash
... and adjust PC 8750 x 10597.5 / 10500 = 8831.25
New settings of PC=8831.25, SV=10597.50, Cash=3532.50
i.e. again they're all proportionately the same, each being 1.009286 times more than their previous values.
Near month will expire/roll soon (tomorrow?).
Watching out of interest to see the effect of that.
Hi Toofuzzy.
I measured monthly reviews and when buy (sell) trades were apparent, update the paper AIM as though the trades were made as per standard by the book. I then revisited all of those and looked at how each group of consecutive sequential same direction AIM trades compared to had the trade been made at the month review after those trades - when no AIM trade was being indicated.
So if AIM indicated to buy in January, and again in February but then March indicated no trades, then I counted Ocroft's as being the comparison of that March review share price with the weighted average of what AIM paid for the shares in January and February. For example (keeping things simple), if 100 shares were bought in January at $10/share ($1000) and another 120 shares were bought in February at $9.50/share ($1140), then AIM averaged buying 220 more shares for a combined cost of $2140, or $9.727/share. Comparing that $9.727 share price with the end of March share price indicated whether by the book AIM or Ocroft had achieved the better outcome, if for instance March price was still at $9.50 then Ocroft had achieved a 9.5 / 9.727 average purchase price improvement (discount).
I repeated that for all AIM trades since 1871 keeping buys and sells separated, and then averaged the improvement (or lag) across all of those buys, and sells (to yield the final two figures that showed on the buy side Ocroft's provided a average 0.1% discount improvement, but on the sell side Ocroft's provided a 1.2% price improvement (sold shares for a average 1.2% higher price).
Ocroft uses other technical measures to try and buy (sell) at a better price and/or where the market has shifted to being on the "right side of the trade", however a delayed month and when the prior trend of falling (rising) was apparent via AIM no longer continuing to buy (sell) is a crude form of such potential 'past turning-point' prediction.
Doesn't always work out, for instance S&P500 AIM (end of month AIM reviews) has recently had two consecutive sell trades of Dec 2017 sell 10 shares at 2673.8/share and Jan 2018 trade of sell 9 shares at 2823.8/share, So $52,152.20 of cash proceeds raised from selling 19 shares = 2744.85/share average price. If at the current (February) month end review there is no further AIM sell trade being indicated, as currently seems most likely, then if the price at that time is less than that 2744.85/share weighted average AIM sell shares price then Ocroft's will have performed worse that by the book AIM in that particular case.
Ocroft has stated how if a share is terminal, then accumulating all purchases until AIM has stopped indicating buy trades could potentially avoid having injected additional funds month after month into a terminal case. Such that Ocroft on the buy side for something like XIV might generally be a good thing. For a broader/market index that is pretty much guaranteed to not fail however there seems to be little difference in executing buys as and when indicates compared to accumulating buys. On the sell side however there does seem to be a benefit from accumulating consecutive sell trades. The rising trend seems to sustain such that you on average end up selling shares at a higher average price than selling at each and every AIM indicated sell trade (momentum). Historically on average achieving a 1.2% higher sell price improvement.
Regards
Clive.
Hi Adam
Depends upon what/how you AIM. Setting GTC's and more frequent monitoring can yield similar results to being more laid back and just reviewing monthly.
My wallet (paper) figures that I carry around for the S&P500 and periodically update have recent values of :
Cash 1293433.234
Portfolio Control (PC) 385107.034
Number of Shares (#S) 152.494
They're not a actual AIM, just the figures for a very long term AIM of S&P500 (US stock) price only AIM (dividends and cash interest ignored).
You can calculate the next buy and sell prices from those values :
Divide PC by #S = 2525.391
For 10% SAFE and 5% minimum (15% combined) trade size divide that figure by 0.85 and 1.15
2525.391 / 0.85 = 2971 = price at/above which next selling resumes
2525.391 / 1.15 = 2196 = price at/below which next buying resumes
With recent 2600 type S&P500 price, the index AIM has some way to go in either direction before any trading resumes.
With AIM you have a guide as to what to hold (something that wont tend to go broke i.e. a major index), when to trade (AIM signals), and how much to trade. For how much you can just work out the %stock (or %cash) indicated after a AIM paper trade has occurred, and realign your actual combined stock + cash value to that percentage value at or around the time that AIM indicates it appropriate to do so.
Now the above is just the figures I use for a very conservative AIM, started in 1871 with 75% cash, 10% SAFE, 5% of number of shares minimum trade size, monthly reviews. That's been selling for the last couple of months and currently has 76.4% of cash indicated at recent S&P500 2620 price level (so 23.6% stock). As I prefer to use 2x leveraged holdings I half that %stock figure so 11.8% 2x stock being indicated as appropriate.
Historically that would never have risen above 50% in 2x (50% cash) as the standard AIM is limited to 100% stock maximum. On average it had 61% cash so 39% 1x stock, 19.5% in 2x stock. max cash was 84% (16% 1x stock, 8% 2x stock). The price only, no dividends or cash interest included provided a 2.3% annualised reward (compared to 4.5% for buy and hold 100% stock). Assuming dividend and cash interest broadly countered inflation that 2.3% might be considered as a real after inflation reward.
Given that it averaged 20% or so in (2x) stock, a 2.3% real reward from 20% = 11.5% return on average capital at risk, and that's a real reward (after inflation) figure, so with US inflation having annualised 2% over the same period = 13.5% nominal return on average capital at risk. Not great, but not bad either, especially as being the 'business owner' I'm mostly absent and just pay a visit once a month or so for a few minutes to quickly run over the figures (along with periodically making adjustments).
I opine that given the by the book AIM result, using 2x instead of 1x has the potential to dip less, rise more due to how 2x long stock funds daily rebalance. In effect they relatively reduce stock exposure as prices decline, increase exposure as prices rise, a form of momentum following play. Take October 2008 to end of February 2009 for instance, when SPY declined -65.4%, and SSO (2x) declined -92%. Half as much in the 2x as you would have had in the 1x and your decline was attenuated. Similarly when rising half in 2x as you would have in 1x can amplify the rewards. That characteristic has the potential to bolster overall rewards over time, especially when AIM's appropriate trading signals are factored in.
One of the greatest benefits of AIM however is that it has you behave more correctly, adding when low, reducing when high. More generally many private investors have the tendency to do the complete opposite, so much so that its typically opined that such investors on average give up around 1.5%/year of investment rewards due to such bad behaviour (and being a average, some do considerably worse to the extent that they'd probably have been better off just investing in T-Bills/cash deposits). I'm happy to take the opposite side of such actions.
Hi lostcowboy. In the sticky posts at the top there's a old Newport post about how to install/user DOSBox to contain Newport i.e. within a Window.
That is over 4 years old and the links in that post are now dead, but if you substitute for instance http://jfholdings.hol.es/jfholdings/newport_stock_npt_date.htm instead then that works (that particular link shows the recent stock.npt date code - being javascript you have to enable scripts if you use something like NoScript).
Ocroft analysis
Running AIM on historic data back to 1871 (US stocks price only) monthly reviews and for all by the book AIM trades, measuring the average cost of stock across sequential same direction trades compared to the next months share price where no further same direction AIM trade was indicated provided 184 measures, 41 buys (where a count of 1 involved multiple AIM buys in some cases), 143 sales (count of 1 involved multiple AIM sales in some cases).
For buys, delaying to buy at the next no-AIM-trade indicated timepoint resulted in a marginal price improvement of just -0.1% average lower price across all such trades i.e. delaying the actual purchase trade to a single purchase point after AIM was no longer indicating one or more sequential buys was marginally better than by the book AIM cost averaging of share purchases. For sales however the average price improvement by delaying was +1.2%.
So ocroft style of delaying buying (selling) until the market was "on the right side of the trade"
Hi Allen, try http://jfholdings.hol.es/jfholdings/newport.zip instead
Hi J.
My intent was that early morning volatility (buying or selling) might have been high yesterday a.m. enough to push SVXY down to the 11.00 price I was targeting. I was happy to load in at that price and just hold for the rest of the year, or exit if the gains were enough to warrant closing i.e. anticipating that volatility might relatively decline over the mid term (next year or so).
More a case for me of being a conservative 30/70 stock/bond type asset allocation for those funds i.e. around 6% in SVXY which is like a 5x in some respects, 94% in 'cash'. On the basis that if SVXY lost all and cash earned 2.1% then -4% for the year; Or if SVXY doubled and cash earned 2.1% then +8% for the year; But where the prospects for the latter is perhaps greater than the former by year end. Along with other potential plays during the year to potentially bolster 'cash' rewards as and when they might present.
As it stood, yesterday saw relatively low volatility and as there's a lot of backwardisation SVXY had appeal. Looks like today that's been more realigned and my limit order would likely have been filled. New EU regulations as of January this year however have prevented me from buying.
Hi Toofuzzy
Hi Toofuzzy.
A couple of years back I started with XIV as a form of 5x. That is variable 1.5x to 8x type range. It was shouting value (20% 5x, 80% bonds lagging SPY) and I held up to pre-xmas 2017 year end before ejecting after a couple of years of great gains. I've been on the hunt for 'value' elsewhere and so far with little success, but after todays (current) -84% XIV decline ... looking for volatility to calm (volatility clusters) and a re-entry again. Perhaps mid Feb - Dec 2018 gain could prove to be a lot better than the full years loss :)
I don't trade/AIM it, just buy and hold for the year so that downside losses are limited to 20% less whatever 80% bonds earn.
Regards. Clive.
Hi Clifford