Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The "Ultimate Market Timing Model" is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The...
Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The "Ultimate Market Timing Model" is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The...
As a rule, I don't do book reviews. However, regular readers know that I am a big fan of trend following models and I use them extensively in my asset allocation work. When a publicist offered a free review copy of Michael Covel's Trend Following, 5th Edition: How to Make a Fortune in Bull, Bear...
Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The "Ultimate Market Timing Model" is a long-term market timing model based on research outlined in our post Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The Trend...
The blogger Jesse Livermore at Philosophical Economics recently wrote another brilliant post about the use of trend following models and market timing. He found that trend following models work very well on diversified stock indices, but didn't really understand the mechanism of how they worked. As I pride myself on being a left and right...
The standard practice among portfolio managers is to establish a rebalancing discipline for their portfolios. A typical process would involve the following steps: Determine the target asset mix, which could change depending on market conditions. Re-balance if: The asset mix weights moves more than a certain percentage, e.g. 10%, from the target weight; or Periodically,...
