Don’t go away in May

In Free by Cam Hui

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 Model is an asset allocation …

Revealing the secret behind trend following models

In Free by Cam Hui

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 brained quant, I am going …

Rebalancing your portfolio for fun and profit

In Free by Cam Hui

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, e.g. on an annual basis …