Replies to post #16 on Advanced Automatic Investor

[areokat]

I also have high hopes for using periodic rebalancing with AI. In the future<<

Glad to read that both you and Don have thought about studying the re balancing question. Has anyone run across any data on what the best time of the year would be to do this i.e. you would, I would think, not want to run into tax selling toward the end of the year? Try to dodge the January effect?

Also think your idea of sharing models is a great idea. The more I use the models, model building features and learn more about optimizing the more I realize what a fine bit of programming you've done. A.I. 2.0 is going to become well known among Aimers I predict.

Separate Board is also a very good idea.

TomK

[irwin]

Mark if you think in terms of overlapping cycles for a group of stocks in aim-rebal via jibes it could point you to stocks that give you buys while you get sells from others and you could keep your cash position rather stable.
Just a thought
Irwin

[Conrad]

Mark: Volatility Index vs Stock

You remarked:

The index will never have a lower volatility than all of the stocks (i.e. some stocks will have a lower volatility than the index and some will have a higher volatility), assuming all stocks in the index don't have identical volatilities.

This goes as far as it would be true some times. What I said is therefore not true all the time. OK, but I thought in terms of extremes and in that case I thought of a batch of high volatility stocks that would all, more or less, cancel each other out. In real life this would not happen, and using different frequencies there would be peaks in the Index Price.

For he rest I go along with what you mentioned. Concerning cash allocations, I am beginning to think that the cash allocation in a portfolio can create problems along with advantages. In the case of the Vortex AIM the cash, as various pools(various bank accounts) was proportioned to the individual stocks on the basis of cash injections as well as on the basis of the relative fraction of the stock in the Portfolio(for interest calculations). This created dilemma's when one stock's cash portion went into the red(margin buying) while the total cash position was positive(one stock borrowing from the cash pool). Also, when one stock went into margin the interest on the cash went negative(logical and desirable) but the total cash was positive(margin costs are then illogical).

In short, with a complex management approach for the various features of multiple accounts and portfolios I run into management conflicts: Which aspect is more important than the other? The way I can resolve this dilemma is to take a step back and treat the pool of money in the various portfolios as a bank that is not connected to my interest in the investment gains. Whether this is realistic or not is for the moment less important...It is more or less a game of developing an investment management tool that is devoid of internal conflicts.

I will keep in touch on optimization ideas.



Conrad