Market timers thread

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CraigTester
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Re: Market timers thread

Post by CraigTester » Sat Apr 20, 2019 2:21 pm

corn18 wrote:
Sat Apr 20, 2019 1:30 pm
CraigTester wrote:
Sat Apr 20, 2019 1:02 pm
dogagility wrote:
Sat Apr 20, 2019 12:38 pm
CraigTester wrote:
Sat Apr 20, 2019 7:50 am
dogagility wrote:
Sat Apr 20, 2019 6:53 am

Bingo. This is how Buffet makes money investing: http://money.com/money/4466517/warren-b ... cal-stock/. Not a strategy available to the average investor.
Well you are half right. He does work pretty hard to only buy wonderful companies....,but you are forgetting that he will only buy them at a “fair” price. AKA “market timing”.

This is why he is is currently sitting on $100B of dry powder. Plenty of wonderful companies available but he is waiting for a better price.

He calls this “time arbitrage”. I call it “market timing”. And bogleheads call it “impossible”.
Bogleheads do something similar called rebalancing to maintain an asset allocation. No thinking required. Anybody can do it. This is a feature, not a bug, of the method.

Bogleheads do not change their asset allocation because of a perceived market value. I would say Buffet can identify value (and loan companies money in exchange for preferred stock) because he has access to inside company knowledge. Average investors do not have this access nor the money to secure such a deal.
If you are happy with a scheme that guarantees you will lose 30%, 50%, 60% of your total net worth during the next downturn, you are hanging out in the right forum.

And if convincing yourself that your choice of rebalancing schedule will somehow magically save you from exposure to multi year losses, then you are definitely a Bogle head - which is fine.

You’ve got a whole echo chamber here to confirm your beliefs.

However, if you noticed the title of this particular thread, “market timers thread”, this is an attempt by the OP to create a “safe space” to acknowledge that just maybe there is another way to skin the cat.

However, for whatever reason, despite all the glaring evidence to the contrary, the self appointed guardians of this forum, immediately slap down anyone daring to point out that the earth is round.
Why are you here? Just to stir the pot?
That’s funny, I was actually going to ask you the same question but didn’t want to be rude.

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corn18
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Re: Market timers thread

Post by corn18 » Sat Apr 20, 2019 2:33 pm

CraigTester wrote:
Sat Apr 20, 2019 2:21 pm
That’s funny, I was actually going to ask you the same question but didn’t want to be rude.
That's funny, too, because I'm here to talk about the bogleheads philosophy:

1 Develop a workable plan
2 Invest early and often
3 Never bear too much or too little risk
4 Diversify
5 Never try to time the market
6 Use index funds when possible
7 Keep costs low
8 Minimize taxes
9 Invest with simplicity

If I wanted to talk about market timing, I would visit the timerheads fora.
Don't do something, just stand there!

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Mountain Doc
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Re: Market timers thread

Post by Mountain Doc » Sat Apr 20, 2019 2:35 pm

CraigTester wrote:
Sat Apr 20, 2019 2:12 pm
Unfortunately there is no free lunch. You really do have to do your own homework.

And the best way to start is to create a forum of people open to the possibility that it’s possible.

Now, if this makes your head hurt, that’s fine. As pointed out above, a positive trait of the Boglehead method is that you don’t have to think.

And if that works for you, that’s fine.

But there must be a reason (other than “enforcement”) that you (or at least someone here) clicked on a thread called “market timers thread”..
Perhaps the reason for clicking on this thread was to see if any real evidence of market timing success would be presented. Sadly, not yet.

Over the years, a number of posters have come to this forum claiming success as market timers, stock pickers, etc. When asked to document their trades in real time on the forum (no need to divulge strategy, indicators, etc), they either refuse or disappear as soon as their trades go badly.

I would love to find and document a successful market timer over the long term. Think what a service you would be doing to this “closed minded” forum to prove them wrong?

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Horton
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Re: Market timers thread

Post by Horton » Sat Apr 20, 2019 3:07 pm

market timer wrote:
Fri Apr 19, 2019 11:17 pm
The far more pessimistic scenario for me (from an asset pricing perspective) involves fiscal imbalances reaching a breaking point, rising populism leading to meaningful policy changes, and inflation. The economy is so leveraged today that a return to moderately high inflation and interest rates would be devastating.
With such a dramatic shift in demographics underway across the world (e.g., lower child to adult ratios), I have trouble envisioning a secular high inflation and high interest rate trend. Of course, anything is possible on a cyclical basis. Thoughts?

P.S. - even in light of the question above, I have 100% of my fixed income in TIPS. I've tried to adopt Taleb's approach to fragilities. Disregard the probabilities and eliminate your fragility.
Last edited by Horton on Tue Apr 23, 2019 8:02 am, edited 4 times in total.

long_gamma
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Re: Market timers thread

Post by long_gamma » Sat Apr 20, 2019 3:08 pm

corn18 wrote:
Sat Apr 20, 2019 2:33 pm
5 Never try to time the market
viewtopic.php?f=10&t=174938&p=2646668#p2646668

Image

Greatest markettimer of all time, Mr. Bogle himself
"Everyone has a plan 'till they get punched in the mouth." --Mike Tyson

long_gamma
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Re: Market timers thread

Post by long_gamma » Sat Apr 20, 2019 3:21 pm

Here is another one:
viewtopic.php?f=10&t=267862&p=4285083#p4285083

Vanguard Founder Jack Bogle Says It’s Time to Play It Safe"

In case you’re thinking that it’s safe to dive back into the stock market, think again. Jack Bogle, the father of the index fund, is advocating caution. Over the past several years, index fund investors have reliably bought the dips in the stock market, expanding the valuations on growth stocks and helping push the S&P 500 higher. But that probably no longer is a savvy approach, says the founder of the Vanguard Group.
..
But overall, Bogle says, it’s time for investors to pare their exposure to stocks. “If you were comfortable at a 70% to 30% [allocation to stocks and fixed income], under these circumstances you’d like to go back to 60% to 40% or something like that,” to provide more flexibility to deal with whatever comes next.
"Everyone has a plan 'till they get punched in the mouth." --Mike Tyson

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corn18
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Re: Market timers thread

Post by corn18 » Sat Apr 20, 2019 3:23 pm

We sure spend a lot of time on bogleheads.org talking about how to not be a boglehead.
Don't do something, just stand there!

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Taylor Larimore
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Re: Market timers thread

Post by Taylor Larimore » Sat Apr 20, 2019 3:27 pm

corn18 wrote:
Sat Apr 20, 2019 3:23 pm
We sure spend a lot of time on bogleheads.org talking about how to not be a boglehead.
corn18:

Well spoken.

Thank you and best wishes.
Taylor
"Simplicity is the master key to financial success." -- Jack Bogle

long_gamma
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Re: Market timers thread

Post by long_gamma » Sat Apr 20, 2019 3:27 pm

corn18 wrote:
Sat Apr 20, 2019 3:23 pm
We sure spend a lot of time on bogleheads.org talking about how to not be a boglehead.
I want to be greatest market timer like Mr. Bogle himself. (/s).

(Magic words: 3 funds, nobody knows nuthin)
"Everyone has a plan 'till they get punched in the mouth." --Mike Tyson

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Taylor Larimore
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Re: Market timers thread

Post by Taylor Larimore » Sat Apr 20, 2019 3:37 pm

long_gamma wrote:
Sat Apr 20, 2019 3:27 pm
corn18 wrote:
Sat Apr 20, 2019 3:23 pm
We sure spend a lot of time on bogleheads.org talking about how to not be a boglehead.
I want to be greatest market timer like Mr. Bogle himself. (/s). That is my vision of boglehead.

(Magic words. 3 funds, nobody knows nuthin)
long_gamma:
"Stay the course. No matter what happens, stick to our program. I've said "Stay the course" a thousand times, and I meant it every time. It is the most important single piece of investment wisdom I can give to you." -- page 42 in Common Sense on Mutual Funds by John C. Bogle (underline mine)
Best wishes.
Taylor
Last edited by Taylor Larimore on Sat Apr 20, 2019 3:41 pm, edited 2 times in total.
"Simplicity is the master key to financial success." -- Jack Bogle

Hatch Batten
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Re: Market timers thread

Post by Hatch Batten » Sat Apr 20, 2019 3:38 pm

Mountain Doc wrote:
Sat Apr 20, 2019 2:35 pm
Over the years, a number of posters have come to this forum claiming success as market timers, stock pickers, etc. When asked to document their trades in real time on the forum (no need to divulge strategy, indicators, etc), they either refuse or disappear as soon as their trades go badly.
I posted my trading history on the second page of this topic.

I only trade about once a year on average, so watching my trades in real time would be a little like following the pitch drop experiment.

I do post my system's guidance annually around New Years Day on my web site at http://orbdeluxe.com/econ/ in the form of a little newsletter. I'm happy to answer questions about what I'm doing, or debate the merits. I'm a fairly tough critic of my own work. I've been trading this system for over 10 years now and have made 7 newsletter posts so far.

I always add a note to the newsletter saying "Research suggests that a diversified buy-and-hold portfolio is the best strategy for most individual investors. The Bogleheads Wiki at bogleheads.org/wiki is a good place to get started with a buy-and-hold strategy.". I have a great deal of respect for the community here and follow many of the principles myself.

Thesaints
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Re: Market timers thread

Post by Thesaints » Sat Apr 20, 2019 3:42 pm

Hatch Batten wrote:
Wed Mar 27, 2019 11:39 am
I've posted my real-life equity/fixed allocation history before. I have a 10-year history of trades working out-of-sample off an asset allocation..]
I wonder if the fact that the last 10 years have enjoyed extraordinary results has something to do with it...

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Taylor Larimore
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Hatch Batten

Post by Taylor Larimore » Sat Apr 20, 2019 4:07 pm

I always add a note to the newsletter saying "Research suggests that a diversified buy-and-hold portfolio is the best strategy for most individual investors. The Bogleheads Wiki at bogleheads.org/wiki is a good place to get started with a buy-and-hold strategy.". I have a great deal of respect for the community here and follow many of the principles myself.
Hatch Batten:

Very commendable (and unusual).

Best wishes.
Taylor
"Simplicity is the master key to financial success." -- Jack Bogle

staythecourse
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Re: Market timers thread

Post by staythecourse » Sat Apr 20, 2019 4:08 pm

CraigTester wrote:
Sat Apr 20, 2019 1:02 pm
However, for whatever reason, despite all the glaring evidence to the contrary, the self appointed guardians of this forum, immediately slap down anyone daring to point out that the earth is round.
Everyone is entitled to their own opinion and beliefs, but you can't make a comment like that and not give just as irrefutable evidence as we have that the "earth is round".

Where is this remarkable preponderance of evidence that market timing has such as high rate of success to make it so "obvious". Please read the BHB and BSB articles and shed some light on why the negative alpha they produced as the top pension fund managers in the country is NOT the standard and how what you believe has to be correct just because you find a few folks who have done it.

My personal opinion... there are without a doubt folks who beat the market. The problem for the investor is NOT trying to find one to justify that attempt. The problem is finding out a successful plan on how to do it that is repeatable AND can be done post tax, post fees AND can be done for 50 years (an investors lifetime) that will GUARANTEE out performance by several % (to justify the risk of underperformance) over the default no nothing and highly successful route of passive management.

Heck, doesn't it make you wonder if it is so easy why Mr. Buffett doesn't even rec. the approach to others or even his own wife on his passing? Do you think he doesn't his wife to be more successful if he knew it is so easy?

Good luck.
"The stock market [fluctuation], therefore, is noise. A giant distraction from the business of investing.” | -Jack Bogle

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Dialectical Investor
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Re: Market timers thread

Post by Dialectical Investor » Sat Apr 20, 2019 4:28 pm

Taylor Larimore wrote:
Sat Apr 20, 2019 3:37 pm
"Stay the course. No matter what happens, stick to our program. I've said "Stay the course" a thousand times, and I meant it every time. It is the most important single piece of investment wisdom I can give to you." -- page 42 in Common Sense on Mutual Funds by John C. Bogle (underline mine)
You are taking the quote out of context of the whole of what Mr. Bogle has said and done. There is evidence that Mr. Bogle made changes to his portfolio and also recommended others make changes to their portfolio based on market conditions, as well as their personal situation. It appears his "stay the course" mantra is not intended to mean that you decide something today and never change it. Sensibly, it seems to mean not to make constant changes in response to the market's constant fluctuations, but instead to take a long view and not to get caught up in the panic or euphoria expressed and suffered by the masses.

long_gamma
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Re: Market timers thread

Post by long_gamma » Sat Apr 20, 2019 4:50 pm

Taylor Larimore wrote:
Sat Apr 20, 2019 3:37 pm
"Stay the course. No matter what happens, stick to our program. I've said "Stay the course" a thousand times, and I meant it every time. It is the most important single piece of investment wisdom I can give to you." -- page 42 in Common Sense on Mutual Funds by John C. Bogle (underline mine)
Best wishes.
Taylor
Investors reacts to price movements and drawdowns. Any advise rings hollow after the fact, when his own action is not to follow the advise.
"Everyone has a plan 'till they get punched in the mouth." --Mike Tyson

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dogagility
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Re: Market timers thread

Post by dogagility » Sat Apr 20, 2019 7:21 pm

CraigTester wrote:
Sat Apr 20, 2019 1:02 pm
dogagility wrote:
Sat Apr 20, 2019 12:38 pm
CraigTester wrote:
Sat Apr 20, 2019 7:50 am
dogagility wrote:
Sat Apr 20, 2019 6:53 am
DonIce wrote:
Fri Apr 19, 2019 11:48 pm
I would argue that Buffett's main talent was picking good companies, acquiring them (or big chunks of them), and enabling them to grow to their full potential. Not market timing.
Bingo. This is how Buffet makes money investing: http://money.com/money/4466517/warren-b ... cal-stock/. Not a strategy available to the average investor.
Well you are half right. He does work pretty hard to only buy wonderful companies....,but you are forgetting that he will only buy them at a “fair” price. AKA “market timing”.

This is why he is is currently sitting on $100B of dry powder. Plenty of wonderful companies available but he is waiting for a better price.

He calls this “time arbitrage”. I call it “market timing”. And bogleheads call it “impossible”.
Bogleheads do something similar called rebalancing to maintain an asset allocation. No thinking required. Anybody can do it. This is a feature, not a bug, of the method.

Bogleheads do not change their asset allocation because of a perceived market value. I would say Buffet can identify value (and loan companies money in exchange for preferred stock) because he has access to inside company knowledge. Average investors do not have this access nor the money to secure such a deal.
If you are happy with a scheme that guarantees you will lose 30%, 50%, 60% of your total net worth during the next downturn, you are hanging out in the right forum.

And if convincing yourself that your choice of rebalancing schedule will somehow magically save you from exposure to multi year losses, then you are definitely a Bogle head - which is fine.
I fully expect to "lose" (on paper) a large percentage (>30) of my equity holding during the remainder of my life. Probably will happen 10 times or more. Not worried about it. Been there, done that.
"The stock market is a device for transferring money from the impatient to the patient" -- Warren Buffett

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dogagility
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Re: Market timers thread

Post by dogagility » Sat Apr 20, 2019 7:38 pm

Hatch Batten wrote:
Sat Apr 20, 2019 3:38 pm
I posted my trading history on the second page of this topic.
Interesting. Thanks for posting. What is the time-weighted average asset allocation (equity:fixed income) of your portfolio since your started this investment strategy? Is it the 60:40 you used as the Boglehead comparator? (Hard to tell from looking at the table you provided.) Also, what was the investment period you are comparing (beginning and end dates)?
"The stock market is a device for transferring money from the impatient to the patient" -- Warren Buffett

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Re: Market timers thread

Post by Hatch Batten » Sat Apr 20, 2019 8:59 pm

dogagility wrote:
Sat Apr 20, 2019 7:38 pm
Hatch Batten wrote:
Sat Apr 20, 2019 3:38 pm
I posted my trading history on the second page of this topic.
Interesting. Thanks for posting. What is the time-weighted average asset allocation (equity:fixed income) of your portfolio since your started this investment strategy? Is it the 60:40 you used as the Boglehead comparator? (Hard to tell from looking at the table you provided.) Also, what was the investment period you are comparing (beginning and end dates)?
Thanks for having a look. Average equity:fixed ratio is 59/41 since I started investing using the strategy. The investment period is 1/5/2009 to present.

alex123711
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Re: Market timers thread

Post by alex123711 » Sat Apr 20, 2019 9:07 pm

long_gamma wrote:
Sat Apr 20, 2019 3:08 pm
corn18 wrote:
Sat Apr 20, 2019 2:33 pm
5 Never try to time the market
viewtopic.php?f=10&t=174938&p=2646668#p2646668

Image

Greatest markettimer of all time, Mr. Bogle himself
Seems like a large allocation in bonds, is he recommending everyone be 65% bonds? Wonder what returns he got with that allocation for that time period? Aren't bonds returning like 3%?

marcopolo
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Re: Market timers thread

Post by marcopolo » Sat Apr 20, 2019 9:10 pm

Hatch Batten wrote:
Sat Apr 20, 2019 8:59 pm
dogagility wrote:
Sat Apr 20, 2019 7:38 pm
Hatch Batten wrote:
Sat Apr 20, 2019 3:38 pm
I posted my trading history on the second page of this topic.
Interesting. Thanks for posting. What is the time-weighted average asset allocation (equity:fixed income) of your portfolio since your started this investment strategy? Is it the 60:40 you used as the Boglehead comparator? (Hard to tell from looking at the table you provided.) Also, what was the investment period you are comparing (beginning and end dates)?
Thanks for having a look. Average equity:fixed ratio is 59/41 since I started investing using the strategy. The investment period is 1/5/2009 to present.
I admire your willingness to be transparent.
Just for curiosity, do you know what the risk-adjusted returns were for your portfolio relative to the 60/40 benchmark. I see a Std Dev on the far right, but it was not clear if that was of the returns, or of something else.

But, the larger point, i was trying to make above regarding evidence of market timing success was not necessarily an individual's results. While that is really the only thing that matters to you, for a larger audience to consider attempting something like this, a broader view of the probability of outperforming is really what matters.

There is a lot of evidence that even professional market timers have a hard time beating the benchmarks over time. Only a small fraction of them, with all their specialized knowledge, access to data, and full time focus, manage to beat their benchmarks consistently.

To believe that I, as an individual, doing this on a part time, amateur basis, would have a higher probability of success would take some hubris. I would need to see a lot more compelling data to convince me to try. But, as i also said above, I am open to being convinced, if such broader data becomes available.

Good luck to you.
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: Market timers thread

Post by Hatch Batten » Sat Apr 20, 2019 9:14 pm

Thesaints wrote:
Sat Apr 20, 2019 3:42 pm
Hatch Batten wrote:
Wed Mar 27, 2019 11:39 am
I've posted my real-life equity/fixed allocation history before. I have a 10-year history of trades working out-of-sample off an asset allocation..]
I wonder if the fact that the last 10 years have enjoyed extraordinary results has something to do with it...
You have a point. I'm curious to see how this will do through an extended bear market, although not curious enough to wish for it.

The benchmarks have enjoyed the same environment that I have. And I've been through the depths of the bear in March 2009, a deep correction in 2011, and the mini-bear late last year. Also a long stretch of underperformance when I missed some of the market's recovery after the financial crisis.

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Re: Market timers thread

Post by Dialectical Investor » Sat Apr 20, 2019 9:16 pm

alex123711 wrote:
Sat Apr 20, 2019 9:07 pm

<quoted quote omitted>

Seems like a large allocation in bonds, is he recommending everyone be 65% bonds? Wonder what returns he got with that allocation for that time period? Aren't bonds returning like 3%?
Ignoring rebalancing, starting from 4/20/1999, a 35/65 stock/bond split, Vanguard Total US/Vanguard Total Bond, approximately 5.25% compounded annually. We know he held other funds, however.

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Re: Market timers thread

Post by Hatch Batten » Sat Apr 20, 2019 9:38 pm

marcopolo wrote:
Sat Apr 20, 2019 9:10 pm

Just for curiosity, do you know what the risk-adjusted returns were for your portfolio relative to the 60/40 benchmark. I see a Std Dev on the far right, but it was not clear if that was of the returns, or of something else.
Yes, that Std Dev is of the returns. I'm very close to the benchmark if you calculate a pseudo Sharpe ratio on those numbers.

0.29 for my trades and 0.24 for the benchmark using a risk-free rate of 4%.

That seems like a statistical dead heat.

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Re: Market timers thread

Post by typical.investor » Sat Apr 20, 2019 9:48 pm

Hatch Batten wrote:
Sat Apr 20, 2019 8:59 pm
dogagility wrote:
Sat Apr 20, 2019 7:38 pm
Hatch Batten wrote:
Sat Apr 20, 2019 3:38 pm
I posted my trading history on the second page of this topic.
Interesting. Thanks for posting. What is the time-weighted average asset allocation (equity:fixed income) of your portfolio since your started this investment strategy? Is it the 60:40 you used as the Boglehead comparator? (Hard to tell from looking at the table you provided.) Also, what was the investment period you are comparing (beginning and end dates)?
Thanks for having a look. Average equity:fixed ratio is 59/41 since I started investing using the strategy. The investment period is 1/5/2009 to present.
[edit: kinda ignore this ... neither the market timing results nor the benchmark had dividends reinvested .. below considers buy and hold with dividends reinvested, but who knows what the actual returns of the market timing were...it would have received some but not all the dividends I think... so no comparison can actually be made]

Note: Buy and hold 60/40 CAGR returns were about 10% over that time.

As noted in the original post, the spreadsheet benchmarks to the DOW price which doesn't include dividends.

Even buy and hold with 60/40 using total (gloval) market VT beats the returns from market timing as shown on the spreadsheet (which is US only and outperformed global in that period).

https://www.portfoliovisualizer.com/bac ... total3=100
Last edited by typical.investor on Sun Apr 21, 2019 1:56 am, edited 2 times in total.

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Re: Market timers thread

Post by Lee_WSP » Sat Apr 20, 2019 10:35 pm

I am not changing my tax deferred strategy. Automatically sock away the maximum amount each week. If the market goes down, I'm putting money in. If it goes up, I've got money in and it's earning. I'm fine either way, I'm in the game now.

What I'm not doing is dumping my taxable accounts in equities. I don't view that money as "I can wait it out until I retire". So I'm going to play that one safe for now and not risk more than 7.5% of asset value over say a year recovery.

If/when the market takes another December-like correction (10-20%), I'm going all in and transferring my bond funds into total stock. Or maybe I'll split it up into 2 month intervals.

But I wouldn't say my reasoning is that I think I'm smarter than the market. What I cannot bear is to lose 50% of my "I might need that money" fund. But if the opportunity presents itself, I'll pounce. If it doesn't, I'll just keep on following the plan. If I ever get to a large excess of savings, I will rebalance.

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Re: Market timers thread

Post by marcopolo » Sat Apr 20, 2019 11:40 pm

Hatch Batten wrote:
Sat Apr 20, 2019 9:38 pm
marcopolo wrote:
Sat Apr 20, 2019 9:10 pm

Just for curiosity, do you know what the risk-adjusted returns were for your portfolio relative to the 60/40 benchmark. I see a Std Dev on the far right, but it was not clear if that was of the returns, or of something else.
Yes, that Std Dev is of the returns. I'm very close to the benchmark if you calculate a pseudo Sharpe ratio on those numbers.

0.29 for my trades and 0.24 for the benchmark using a risk-free rate of 4%.

That seems like a statistical dead heat.
Seems like a lot of work for very little gain. Is it correct that your calculations do not include dividends for the benchmark? Is the same true for your portfolio?
Once in a while you get shown the light, in the strangest of places if you look at it right.

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Re: Market timers thread

Post by Hatch Batten » Sun Apr 21, 2019 12:23 am

marcopolo wrote:
Sat Apr 20, 2019 11:40 pm

Seems like a lot of work for very little gain. Is it correct that your calculations do not include dividends for the benchmark? Is the same true for your portfolio?
Correct. Equity dividends are excluded for both. These are Dow price levels only.

It is indeed quite a lot of work for modest gain.

I do enjoy the mental exercise and get satisfaction in watching the hypothetical meet reality. That's been the case even when I've lagged the benchmark.

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Re: Market timers thread

Post by market timer » Mon Apr 22, 2019 8:22 pm

Horton wrote:
Sat Apr 20, 2019 3:07 pm
market timer wrote:
Fri Apr 19, 2019 11:17 pm
The far more pessimistic scenario for me (from an asset pricing perspective) involves fiscal imbalances reaching a breaking point, rising populism leading to meaningful policy changes, and inflation. The economy is so leveraged today that a return to moderately high inflation and interest rates would be devastating.
With such a dramatic shift in demographics underway across the world (e.g., lower child to adult ratios), I have trouble envisioning a secular high inflation and high interest rate trend. Of course, anything is possible on a cyclical basis. Thoughts?

P.S. - even in light of the question above, I have 100% of my fixed income in TIPS. I've tried to adopt Taleb's approach to fragilities. Disregard the probabilities and eliminate your fragility.
Rising dependency ratios suggests low productivity growth and therefore low real interest rates. The case for inflation and higher nominal rates is from deficit spending due to old age support and automation leading to erosion of the tax base.

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Re: Market timers thread

Post by revhappy » Tue May 28, 2019 10:40 pm

Resurrecting this thread, after watching the current market action.

Things have changed significantly since I created the thread.

Mainly, we have gone from trade deal is imminent to escalation of trade war.

So I am happy for getting out of the markets, but I underestimated the optimism of perma bulls. They took the index all the way upto 294X!

But now we have come back close to the level at which I exited, I still feel markets are way over optimistic in their positioning and markets have to fall significantly from here.

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Re: Market timers thread

Post by NotTooDeepLearning » Tue May 28, 2019 10:59 pm

I think I'm a believer in market timing. I'm also quite certain that a market timer who has not developed a completely quantitative systematic strategy is virtually doomed for failure. Trading on intuition/feelings is literally a baseless trading strategy. A well developed strategy should have a comprehensible theoretical basis (perhaps in economics or behavioral finance), AND backtest well. And the backtest should account for reasonable timing, frequencies, and trading costs. Between the quantitative prowess and behavioral discipline needed to be (potentially) successful, I think market timing is an absolutely terrible idea for the overwhelming majority of people.

But for those interested, my favorite market timing article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.

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Re: Market timers thread

Post by Forester » Wed May 29, 2019 1:59 am

:arrow:
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
We should be wary of leading indicators which worked well in the past. Probably OK to use them, but also use dumb price trend, and also own a little bonds, to shore up the downside protection.

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Re: Market timers thread

Post by Fallible » Wed May 29, 2019 2:00 pm

NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
I think I'm a believer in market timing. I'm also quite certain that a market timer who has not developed a completely quantitative systematic strategy is virtually doomed for failure. Trading on intuition/feelings is literally a baseless trading strategy. A well developed strategy should have a comprehensible theoretical basis (perhaps in economics or behavioral finance), AND backtest well. And the backtest should account for reasonable timing, frequencies, and trading costs. Between the quantitative prowess and behavioral discipline needed to be (potentially) successful, I think market timing is an absolutely terrible idea for the overwhelming majority of people.

But for those interested, my favorite market timing article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
John Bogle on his often bumpy road to low-cost indexing: "When a door closes, if you look long enough and hard enough, if you're strong enough, you'll find a window that opens."

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Re: Market timers thread

Post by NotTooDeepLearning » Wed May 29, 2019 8:29 pm

Fallible wrote:
Wed May 29, 2019 2:00 pm

Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
I think that blog is run anonymously, which I think is pretty cool.

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Re: Market timers thread

Post by Fallible » Wed May 29, 2019 10:04 pm

NotTooDeepLearning wrote:
Wed May 29, 2019 8:29 pm
Fallible wrote:
Wed May 29, 2019 2:00 pm

Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
I think that blog is run anonymously, which I think is pretty cool.
But why anonymously (if it is), and why would anonymous be cool?
John Bogle on his often bumpy road to low-cost indexing: "When a door closes, if you look long enough and hard enough, if you're strong enough, you'll find a window that opens."

NotTooDeepLearning
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Re: Market timers thread

Post by NotTooDeepLearning » Thu May 30, 2019 12:29 am

Fallible wrote:
Wed May 29, 2019 10:04 pm
NotTooDeepLearning wrote:
Wed May 29, 2019 8:29 pm
Fallible wrote:
Wed May 29, 2019 2:00 pm

Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
I think that blog is run anonymously, which I think is pretty cool.
But why anonymously (if it is), and why would anonymous be cool?
I have no idea. It's interesting because it relies entirely on the quality of the content for viewership/interest.

DeadPoets
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Re: Market timers thread

Post by DeadPoets » Thu May 30, 2019 1:40 am

This thread got completely ruined by “stay the course” posters.

1) I’m 100% buy and hold, don’t time the market in my retirement. But in my taxable I like to trade options, time the market, etc. I enjoy the action.

2) the creator of this thread was inviting market timers (if that’s what you’d even call us) into a discussions/thread to talk strategies, ideas, current events, trades we have eyes on, etc

3) why the need to go tell other people what to do with their money? Most people understand the risks involved in the market (whether you’re buy and hold or in and out of positions)

Deal with it and go to another thread if you aren’t interested in the discussion.

I’ve started to really dislike buy and hold people because it’s like a cult now. Reminds me of CrossFitters.

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Re: Market timers thread

Post by Forester » Thu May 30, 2019 2:46 am

Fallible wrote:
Wed May 29, 2019 10:04 pm
NotTooDeepLearning wrote:
Wed May 29, 2019 8:29 pm
Fallible wrote:
Wed May 29, 2019 2:00 pm

Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
I think that blog is run anonymously, which I think is pretty cool.
But why anonymously (if it is), and why would anonymous be cool?
The anonymous gentleman co-authored Factors From Scratch with the O'Shaughnessy Asset Management crew, he knows his stuff.

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Re: Market timers thread

Post by goblue100 » Thu May 30, 2019 3:03 am

DeadPoets wrote:
Thu May 30, 2019 1:40 am
This thread got completely ruined by “stay the course” posters.
This board is dedicated to the proposition that you can't successfully time the market. I think that to not expect backlash to a market timing thread is a little naive.
DeadPoets wrote:
Thu May 30, 2019 1:40 am
3) why the need to go tell other people what to do with their money? Most people understand the risks involved in the market (whether you’re buy and hold or in and out of positions)

I actually tend to agree with that, and try to leave it alone. However, there are a lot of new investors who are just finding their way that are on this board, and a market timing thread can be quite confusing to them. From the site introduction page:
Bogleheads® emphasize regular saving, broad diversification, and sticking to one's investment plan regardless of market conditions. We follow a small number of simple investment principles that have been shown over time to produce risk-adjusted returns far greater than those achieved by the average investor. They have been further distilled and explained in thousands of posts on the forum
. * My bolding

I don't see market timing mentioned.
Financial planners are savers. They want us to be 95 percent confident we can finance a 30-year retirement even though there is an 82 percent probability of being dead by then. - Scott Burns

dcabler
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Re: Market timers thread

Post by dcabler » Thu May 30, 2019 3:43 am

NotTooDeepLearning wrote:
Thu May 30, 2019 12:29 am
Fallible wrote:
Wed May 29, 2019 10:04 pm
NotTooDeepLearning wrote:
Wed May 29, 2019 8:29 pm
Fallible wrote:
Wed May 29, 2019 2:00 pm

Who are these guys/gals that run and write for this site? Could find no background on that.

Much has been written about how some top pros, probably those with the quantitative prowess and behavioral discipline you mention, have beaten the market, though not consistently. As for the rest of us, it's good to know that with far less of that prowess - but as much of that discipline - we can still earn our fair share of market return, thanks to Mr. Bogle.
I think that blog is run anonymously, which I think is pretty cool.
But why anonymously (if it is), and why would anonymous be cool?
I have no idea. It's interesting because it relies entirely on the quality of the content for viewership/interest.
It's anonymous, but you can always call the author by his pseudonym: Jesse Livermore

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Re: Market timers thread

Post by dcabler » Thu May 30, 2019 3:58 am

goblue100 wrote:
Thu May 30, 2019 3:03 am
DeadPoets wrote:
Thu May 30, 2019 1:40 am
This thread got completely ruined by “stay the course” posters.
This board is dedicated to the proposition that you can't successfully time the market. I think that to not expect backlash to a market timing thread is a little naive.
DeadPoets wrote:
Thu May 30, 2019 1:40 am
3) why the need to go tell other people what to do with their money? Most people understand the risks involved in the market (whether you’re buy and hold or in and out of positions)

I actually tend to agree with that, and try to leave it alone. However, there are a lot of new investors who are just finding their way that are on this board, and a market timing thread can be quite confusing to them. From the site introduction page:
Bogleheads® emphasize regular saving, broad diversification, and sticking to one's investment plan regardless of market conditions. We follow a small number of simple investment principles that have been shown over time to produce risk-adjusted returns far greater than those achieved by the average investor. They have been further distilled and explained in thousands of posts on the forum
. * My bolding

I don't see market timing mentioned.
It's not. Then again, I also don't see anywhere on the wiki that the 3 fund portfolio is the only solution within the Bogleheads philosophy, either. And yet, there are endless disagreements here about any other ideas that aren't 3-fund: slice/dice, tilting, factors, rebalncing methods, withdrawal methods, etc. Heck, we have endless disagreements about it should really be only a 2-fund with no international. And I can't help but think that all of thousands of discussions could easily be just as confusing to a new investor, so many of which jump straight to the forum without reading the wiki. And, yet we still (mostly) continue to discuss these topics and, most likely, always will.

I, for one, enjoy these non-strickly-bogleheads philosophy topics. Not because I enjoy seeing a good bashing of different ideas with predictable responses, but because there is always something new to learn - even if I never apply it. I've often wished we could somehow create a separate area for this sort of thing, but I have no real idea how it could be done without it eventually turning into something that looks like Reddit posts on day-trading or it becoming a full time job for moderators. :D

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Re: Market timers thread

Post by goblue100 » Thu May 30, 2019 6:39 am

dcabler wrote:
Thu May 30, 2019 3:58 am
It's not. Then again, I also don't see anywhere on the wiki that the 3 fund portfolio is the only solution within the Bogleheads philosophy, either. And yet, there are endless disagreements here about any other ideas that aren't 3-fund: slice/dice, tilting, factors, rebalncing methods, withdrawal methods, etc. Heck, we have endless disagreements about it should really be only a 2-fund with no international. And I can't help but think that all of thousands of discussions could easily be just as confusing to a new investor, so many of which jump straight to the forum without reading the wiki. And, yet we still (mostly) continue to discuss these topics and, most likely, always will.

I, for one, enjoy these non-strickly-bogleheads philosophy topics. Not because I enjoy seeing a good bashing of different ideas with predictable responses, but because there is always something new to learn - even if I never apply it. I've often wished we could somehow create a separate area for this sort of thing, but I have no real idea how it could be done without it eventually turning into something that looks like Reddit posts on day-trading or it becoming a full time job for moderators. :D
I agree with you that all of those topics you mentioned are within the Bogleheads philosophy, but not easy for beginners. I also learn a lot from some of the threads that are a little bit taboo. As I said, I try to gauge the OP. If it is obvious they "know better" (they will often say they do in the OP) but want to pursue the topic, then have at it. If it is someone that doesn't seem experienced, I'll try to push them back down the Boglehead path.
Financial planners are savers. They want us to be 95 percent confident we can finance a 30-year retirement even though there is an 82 percent probability of being dead by then. - Scott Burns

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 10:48 am

Forester wrote:
Wed May 29, 2019 1:59 am
:arrow:
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
We should be wary of leading indicators which worked well in the past. Probably OK to use them, but also use dumb price trend, and also own a little bonds, to shore up the downside protection.
No recession on the horizon this morning. Forget Market Timing until this indicator flashes "RED" and just stay invested.
https://seekingalpha.com/article/426727 ... block=true

Rus In Urbe
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Re: Market timers thread

Post by Rus In Urbe » Thu May 30, 2019 11:00 am

Funny that there's absolutely no information about HOW to time the market.
How to know WHEN to get out. WHEN to get in.

Instead, it's just a bunch of nattering, argumentative back and forth.

Here's what I observe: Gamblers are terrible at basic arithmetic.

Nuff said.
I'd like to live as a poor man with lots of money. ~Pablo Picasso

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Re: Market timers thread

Post by Forester » Thu May 30, 2019 11:48 am

LittleD wrote:
Thu May 30, 2019 10:48 am
Forester wrote:
Wed May 29, 2019 1:59 am
:arrow:
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
We should be wary of leading indicators which worked well in the past. Probably OK to use them, but also use dumb price trend, and also own a little bonds, to shore up the downside protection.
No recession on the horizon this morning. Forget Market Timing until this indicator flashes "RED" and just stay invested.
https://seekingalpha.com/article/426727 ... block=true
Of my money that is trend following, I am 50-50 dumb price & fundamental indicator. There hasn't been any pain associated with filtered trend following... between now and 2050 we may only get one 2008 meltdown; I sleep more comfortably knowing that some of my money is sure to move out of the market.

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 12:01 pm

Rus In Urbe wrote:
Thu May 30, 2019 11:00 am
Funny that there's absolutely no information about HOW to time the market.
How to know WHEN to get out. WHEN to get in.

Instead, it's just a bunch of nattering, argumentative back and forth.

Here's what I observe: Gamblers are terrible at basic arithmetic.

Nuff said.
Okay...I'll let you in on my strategy that I've been using since 2000. Here is your sell signal only: Sell the market if these two vectors trigger. The 6mo. rate of change in the LEI goes below zero AND the SPX trades below it's 200dma or 43wkema if you follow weekly data. The AND is very important to the sell equation. You only sell if both conditions are true.

Now the buy side after a sell: Buy the market (your choice of investment vehicles) if the SPX trades back above the 200dma or the 43wkema. If you want to use Portfolio Visualizer and monthly trades, then buy back in if the SPX moves above the 8mo sma.

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 12:06 pm

Forester wrote:
Thu May 30, 2019 11:48 am
LittleD wrote:
Thu May 30, 2019 10:48 am
Forester wrote:
Wed May 29, 2019 1:59 am
:arrow:
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
We should be wary of leading indicators which worked well in the past. Probably OK to use them, but also use dumb price trend, and also own a little bonds, to shore up the downside protection.
No recession on the horizon this morning. Forget Market Timing until this indicator flashes "RED" and just stay invested.
https://seekingalpha.com/article/426727 ... block=true
Of my money that is trend following, I am 50-50 dumb price & fundamental indicator. There hasn't been any pain associated with filtered trend following... between now and 2050 we may only get one 2008 meltdown; I sleep more comfortably knowing that some of my money is sure to move out of the market.
You can use the LEI for MT trend following and for B&H at the same time. If the LEI ROC is below zero, you can shift your B&H allocations to more fixed income until the recession recedes. You can shift your allocations back when the economy starts to rise again. Yes, I know it's just another flavor of Market Timing but, it works and reduces downside risk and keeps your overall sortino ratio high.

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Forester
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Re: Market timers thread

Post by Forester » Thu May 30, 2019 12:19 pm

LittleD wrote:
Thu May 30, 2019 12:06 pm
Forester wrote:
Thu May 30, 2019 11:48 am
LittleD wrote:
Thu May 30, 2019 10:48 am
Forester wrote:
Wed May 29, 2019 1:59 am
:arrow:
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
But for those interested, my favorite market timingejs article is here: http://www.philosophicaleconomics.com/2016/01/gtt/ Fair warning--that article will take several hours (or weeks) to read and digest. Perhaps its a qualifier. Also, it should be mentioned, that even if market timing is possible and legitimately works, there is no guarantee it will work over any given multi-year period. Assuming it will work in the future at all.
We should be wary of leading indicators which worked well in the past. Probably OK to use them, but also use dumb price trend, and also own a little bonds, to shore up the downside protection.
No recession on the horizon this morning. Forget Market Timing until this indicator flashes "RED" and just stay invested.
https://seekingalpha.com/article/426727 ... block=true
Of my money that is trend following, I am 50-50 dumb price & fundamental indicator. There hasn't been any pain associated with filtered trend following... between now and 2050 we may only get one 2008 meltdown; I sleep more comfortably knowing that some of my money is sure to move out of the market.
You can use the LEI for MT trend following and for B&H at the same time. If the LEI ROC is below zero, you can shift your B&H allocations to more fixed income until the recession recedes. You can shift your allocations back when the economy starts to rise again. Yes, I know it's just another flavor of Market Timing but, it works and reduces downside risk and keeps your overall sortino ratio high.
I settled on this after going over it a million times in my head. 40% stocks, 40% trend, 20% bonds.

-40% global buy & hold tilted to size & value
-20% global investment grade bonds
-20% Dual Momentum, if either 12mo time series or moving average is positive, stay invested
-20% Dual Momentum 10mo filtered by trend in US unemployment

Rus In Urbe
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Re: Market timers thread

Post by Rus In Urbe » Thu May 30, 2019 12:20 pm

Good, if this is working for you!
And...it's not already priced in when you make a trade?
Awesome.

Keep it up. :moneybag
I'd like to live as a poor man with lots of money. ~Pablo Picasso

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 12:28 pm

Rus In Urbe wrote:
Thu May 30, 2019 12:20 pm
Good, if this is working for you!
And...it's not already priced in when you make a trade?
Awesome.

Keep it up. :moneybag
It worked for me in the last two "mother of all recessions". It has also worked for every major recession in backtest since the 1950's. It did not work in 1987 because it wasn't an official recession and was caused due to the arab oil embargo. You can still have some significant drawdowns in my strategy for sure but, you can avoid the 40-60% downdrafts that can occur. Recessions are just part of the business cycle and are likely to happen every so often in the future. If you are in your 20's don't worry about downdraft recessions and invest like crazy for the next 30 years. No timing needed.

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