Market timers thread

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corn18
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Re: Market timers thread

Post by corn18 » Thu May 30, 2019 1:18 pm

LittleD wrote:
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.
So we're good for now on the LEI:

Image

But the 200 day MA for SPX is not good:

Image
Don't do something, just stand there!

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 2:05 pm

Yes, just be patient and let the strategy work. I did not get a sell signal in Nov-Dec 20% correction and good thing I just bought some more around the lows and rode up the strategy into January. We can have a 20% correction anytime and that is just to be accepted in the investment game. 50% declines usually happens because something major in the U.S. or World economy has stoked fear and panic in the markets. The LEI and SPX will let you know when to sell and when to leave the party.

Just remember that whipsaws can and do occur in any trading strategy. In a continuing recession, if the SPX trades back above and falls below the 200dma just sell it and wait for another entry point. Yes, you will have some small losses on whipsaw trades. You make up the money by avoiding 50% losses in major recessions.

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 2:13 pm

Just one more tidbit I use on the buy side: I have been using the rule of thumb that when the LEI turns up from a low in a recession (not necessarily above zero) and at the point the SPX moves above the 200dma, I go all in. Most investors are too scared to enter the market in the dark days of a recession but, that is the best time to make major gains for your portfolio.

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Forester
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Re: Market timers thread

Post by Forester » Thu May 30, 2019 2:28 pm

LittleD wrote:
Thu May 30, 2019 2:05 pm
Yes, just be patient and let the strategy work. I did not get a sell signal in Nov-Dec 20% correction and good thing I just bought some more around the lows and rode up the strategy into January. We can have a 20% correction anytime and that is just to be accepted in the investment game. 50% declines usually happens because something major in the U.S. or World economy has stoked fear and panic in the markets. The LEI and SPX will let you know when to sell and when to leave the party.

Just remember that whipsaws can and do occur in any trading strategy. In a continuing recession, if the SPX trades back above and falls below the 200dma just sell it and wait for another entry point. Yes, you will have some small losses on whipsaw trades. You make up the money by avoiding 50% losses in major recessions.
How much risk is there in your eyes that the LEI could miss the start of a deep bear market?

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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 2:38 pm

It has been late a couple of times. At times the SPX will head lower and cross the 200dma and no recession indicator has materialized. The strategy would stay in the market until both signals trigger. Usually, the LEI leads a marked recession by economists by several months. Nothing in this world is a given and holds true forever. There could be a time in the future that the LEI fails, that's possible. Risk is part of investing and mitigating risk is part of the payment for attempting to gain rewards for that risk. I have and will follow my strategy now and in the future no matter the results. I accept the idea that my strategy could fail but, I'm not giving it up or deviating. That's just me though.

Elena
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Re: Market timers thread

Post by Elena » Thu May 30, 2019 2:49 pm

Does anyone know by any chance how long does it has taken for a market correction/crash to take place? Let us say, from a 20% to a 50% drop.
Does it happen in a couple of days? Hours? A week? I know they are pretty quick, but I do not know where to look for the figure.
I am just curious.
Thank you.

LittleD
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Re: Market timers thread

Post by LittleD » Thu May 30, 2019 3:28 pm

You can go to the Fed's official site which gives the dates of recessions. I don't have the link handy but, it's there. Some have been a few months while others have extended out to up to 2 years.

Actually, it's better if the SPX takes a while to go down and bottom as it allows the 200 dma time to follow down develops a viable re-entry price

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Re: Market timers thread

Post by Lee_WSP » Thu May 30, 2019 5:16 pm

Elena wrote:
Thu May 30, 2019 2:49 pm
Does anyone know by any chance how long does it has taken for a market correction/crash to take place? Let us say, from a 20% to a 50% drop.
Does it happen in a couple of days? Hours? A week? I know they are pretty quick, but I do not know where to look for the figure.
I am just curious.
Thank you.
It depends. There's only been a few dozen. The stock market is only a couple hundred years old, maybe less. Good records only go back to about 1900.

So, you can just peruse the data and see. Bear markets are defined by a 20%+ drop & a long long drawdown. Corrections are relatively quick and could even last a few hours technically speaking.

Elena
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Re: Market timers thread

Post by Elena » Thu May 30, 2019 7:12 pm

Thank you. I have always seen the big drops graph, but was curious as to whether it was a matter of hours, days, or maybe a week (drop, not recovery).

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305pelusa
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Re: Market timers thread

Post by 305pelusa » Thu May 30, 2019 7:13 pm

NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
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.
I don't know how I feel about that article. The author spends a great amount of time with some nuanced analysis, good diagrams, developing intuition, etc. Overall, truly amazing first 80% of the article.

And then he/she is like "but yes it gets whipsawed a bunch (75% of the switches) so let's only allow it to switch if we think there's an incoming recession". Wait what? Well of course that's gonna work. Just find indicators of previous recessions, add it to the strategy, and backtest. How could that not backtest amazingly?

I loved the development of the sine wave, the exponential, the volatility, the gap loss, etc. I thought there would be a rigorous mathematical step/proof to optimize the moving average period with the checking window. Frankly, I'm not really sure what I was expecting. Of course the thing that makes it perform great is add additional filters.

I don't mean to sound mean or pessimistic. I guess it just felt a little underwhelming towards the end. Thank you for the link nonetheless. A great primer on the concept!

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Forester
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Re: Market timers thread

Post by Forester » Thu May 30, 2019 7:41 pm

305pelusa wrote:
Thu May 30, 2019 7:13 pm
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
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.
I don't know how I feel about that article. The author spends a great amount of time with some nuanced analysis, good diagrams, developing intuition, etc. Overall, truly amazing first 80% of the article.

And then he/she is like "but yes it gets whipsawed a bunch (75% of the switches) so let's only allow it to switch if we think there's an incoming recession". Wait what? Well of course that's gonna work. Just find indicators of previous recessions, add it to the strategy, and backtest. How could that not backtest amazingly?

I loved the development of the sine wave, the exponential, the volatility, the gap loss, etc. I thought there would be a rigorous mathematical step/proof to optimize the moving average period with the checking window. Frankly, I'm not really sure what I was expecting. Of course the thing that makes it perform great is add additional filters.

I don't mean to sound mean or pessimistic. I guess it just felt a little underwhelming towards the end. Thank you for the link nonetheless. A great primer on the concept!
The filter does all the heavy lifting. I calculated zero whipsaw trades between 2003 and 2019 because the UER indicator was always Green except for when the market was destined for a nosedive. Just a few whipsaws in the mid 1990s.

That's why I am cautious and wouldn't go all-in on a LEI. When someone on Bogleheads is using such a system and they say, "Yes I am prepared for whipsaws", bear in mind there hasn't been any pain associated with this strategy; the whipsaws since the 1980s and probably before, have been trivial.

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revhappy
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Re: Market timers thread

Post by revhappy » Fri May 31, 2019 6:30 am

Hello guys, my plan to get back into the markets is via cash secured short PUTs. I have already sold 3 SPY Dec 2019 260 PUTs this week for around $8 in premium. My notional before I went into cash was about 200k, so I need to sell about another 5 PUTs. I guess, I will be happy buying back SPY at 260. I sold when SPY was 275, the same level it is now, back in Feb. Do you guys think my strategy makes sense?

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Re: Market timers thread

Post by LittleD » Fri May 31, 2019 7:06 am

Forester wrote:
Thu May 30, 2019 7:41 pm
305pelusa wrote:
Thu May 30, 2019 7:13 pm
NotTooDeepLearning wrote:
Tue May 28, 2019 10:59 pm
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.
I don't know how I feel about that article. The author spends a great amount of time with some nuanced analysis, good diagrams, developing intuition, etc. Overall, truly amazing first 80% of the article.

And then he/she is like "but yes it gets whipsawed a bunch (75% of the switches) so let's only allow it to switch if we think there's an incoming recession". Wait what? Well of course that's gonna work. Just find indicators of previous recessions, add it to the strategy, and backtest. How could that not backtest amazingly?

I loved the development of the sine wave, the exponential, the volatility, the gap loss, etc. I thought there would be a rigorous mathematical step/proof to optimize the moving average period with the checking window. Frankly, I'm not really sure what I was expecting. Of course the thing that makes it perform great is add additional filters.

I don't mean to sound mean or pessimistic. I guess it just felt a little underwhelming towards the end. Thank you for the link nonetheless. A great primer on the concept!
The filter does all the heavy lifting. I calculated zero whipsaw trades between 2003 and 2019 because the UER indicator was always Green except for when the market was destined for a nosedive. Just a few whipsaws in the mid 1990s.

That's why I am cautious and wouldn't go all-in on a LEI. When someone on Bogleheads is using such a system and they say, "Yes I am prepared for whipsaws", bear in mind there hasn't been any pain associated with this strategy; the whipsaws since the 1980s and probably before, have been trivial.
If you examine the LEI index, it includes unemployment, the FED, interest rates, industrial production, housing market and retail sales. The index encompasses almost all drivers of economic growth which is why I favor it over just the UER. The LEI comes out around the 3rd week of the month which is helpful when doing monthly trades using Portfolio visualizer. It only takes a couple of minutes each month to determine if I want to be in or out of the market for the next month...Currently June.

Here is my latest report on the SPY which is what I determine sets one half of my signal for the upcoming month. As you can see, I am still in the markets for next month based on SPY and LEI. Drawdowns are normal and 5-10% corrections can happen anytime based on news. Stay the course until both triggers fire.

https://www.portfoliovisualizer.com/tes ... 0&total1=0

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Forester
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Re: Market timers thread

Post by Forester » Fri Jun 07, 2019 4:53 am

Trend following Lowvol indexes looks promising (on little data).

https://www.portfoliovisualizer.com/tes ... 0&total1=0

https://www.portfoliovisualizer.com/tes ... 0&total1=0

Same late 2015 whipsaw as the broader index, but avoided the unnecessary early 2016 market exit. 10 month MA on Lowvol stayed invested until January this year, whereas the broad index was in cash November 2018 and has again exited this June.

With Lowvol you are less likely to trade in the first place; and if you do, you'll be buying back in at a lower price.

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Re: Market timers thread

Post by LittleD » Fri Jun 07, 2019 5:59 am

I own both USMV and SPLV as two of my choices for investments right now. I still use the SPX for buy/sell signals in TR along with the LEI. I bought back into the Markets in 2009 and have not had to sell yet. If you use the economic and stock market for a trigger, you will really minimize whipsaws for your investing.

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Re: Market timers thread

Post by Forester » Wed Jul 24, 2019 6:51 am

Trend following low vol index vs market cap index, 12 month moving average vs Cash. 2013 to present (limited by available ETFs)

ACWV 7.98% cagr, invested 92%, average out-of-market monthly loss 3.5%
ACWI 6.23% cagr, invested 82%, average out-of-market monthly loss 1.6%

ACWV vs ACWI; buy & hold +1.43%p.a., timing +1.75%p.a.

---

USMV 12.82% cagr, invested 96%, average out-of-market monthly loss 5.2%
SPY 8.72% cagr, invested 90%, average out-of-market monthly loss 5%

USMV vs SPY; buy & hold +0.68%p.a., timing +4.1%p.a.

---

When timing a single market, low vol ETFs may be better to use due to the greater time invested and less chance of back-to-back whipsaws as happened in 15/16 & late 2018. A low vol index would also likely rebound slower after a deep bear market, allowing more time for a slow moving average to catch up and buy back in at a lower price vs an approach that times the total market.

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Re: Market timers thread

Post by StandingRock » Wed Jul 24, 2019 7:01 am

ronno2018 wrote:
Sat Mar 23, 2019 10:52 pm
If you want to time the market what the heck are you doing on this forum? :oops:
Yeah seems kinda strange.

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Re: Market timers thread

Post by rascott » Wed Jul 24, 2019 9:52 pm

StandingRock wrote:
Wed Jul 24, 2019 7:01 am
ronno2018 wrote:
Sat Mar 23, 2019 10:52 pm
If you want to time the market what the heck are you doing on this forum? :oops:
Yeah seems kinda strange.
Bogle market timed...so what's the issue?

I personally haven't to date in my lifetime, as I'm still in the accumulation phase, but I could see some merit to it at a later stage. At least being aware of large-scale macro trends.

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305pelusa
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Re: Market timers thread

Post by 305pelusa » Wed Jul 24, 2019 9:58 pm

rascott wrote:
Wed Jul 24, 2019 9:52 pm
StandingRock wrote:
Wed Jul 24, 2019 7:01 am
ronno2018 wrote:
Sat Mar 23, 2019 10:52 pm
If you want to time the market what the heck are you doing on this forum? :oops:
Yeah seems kinda strange.
Bogle market timed...so what's the issue?
Yeah and Steve Jobs used LSD, Gates dropped out, etc.

Maybe, just maybe, just because a prevalent person in a field did X does not mean you should too.

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Forester
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Re: Market timers thread

Post by Forester » Thu Jul 25, 2019 12:01 am

It's not outlandish to apply a stop-loss to part of a portfolio. What do you do in 1929, sit tight on the Titanic? I won't suffer an 08/09 drawdown because you'll be (indirectly) buying my declining stocks.

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Re: Market timers thread

Post by MoneyMarathon » Thu Jul 25, 2019 12:29 am

Forester wrote:
Thu Jul 25, 2019 12:01 am
What do you do in 1929, sit tight on the Titanic?
(a) If your needs are near term enough, you have bonds. So you rebalance from bonds into stocks. You retire wealthy.

(b) If your needs are very long term, you sit tight, reinvest dividends, and continue to contribute when you're able. Since you're in the accumulation phase, many or most of your purchases are made at 1930s / 1940s prices, and you retire wealthy.

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Re: Market timers thread

Post by Forester » Thu Jul 25, 2019 11:34 am

MoneyMarathon wrote:
Thu Jul 25, 2019 12:29 am
Forester wrote:
Thu Jul 25, 2019 12:01 am
What do you do in 1929, sit tight on the Titanic?
(a) If your needs are near term enough, you have bonds. So you rebalance from bonds into stocks. You retire wealthy.

(b) If your needs are very long term, you sit tight, reinvest dividends, and continue to contribute when you're able. Since you're in the accumulation phase, many or most of your purchases are made at 1930s / 1940s prices, and you retire wealthy.
Stocks & bonds alone don't feel like sufficient diversification. Stocks, bonds, market timing, precious metals... that's better. That's a plan for every decade. I want steady mediocre returns every decade, not to blow hot & cold.

I don't get the perspective that market timers are wacky and "out there"... versus a typical three-fund portfolio. 40% US megacap stocks and 40% US government promises; 20% foreign stocks would be generous for some here... really? Stinks of complacency. Big bet on the US dollar and a big bet on one state regime. Assumptions built on recent US outperformance (mostly due to multiple expansion) and a long bond bull market. When the disappointment is vocalised here in the 2020s some posters will be able to say, "we told you so".

Market timing is supposedly bad and/or impossible yet there's an entire industry built on it (CTAs) :shock:

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Re: Market timers thread

Post by MoneyMarathon » Thu Jul 25, 2019 12:15 pm

Forester wrote:
Thu Jul 25, 2019 11:34 am
Stocks & bonds alone don't feel like sufficient diversification. Stocks, bonds, market timing, precious metals... that's better.
Precious metals is one thing. It acts as an inflation hedge, as you point out. It can be part of a buy and hold portfolio.

Market timing is more of a (false) security blanket than something that is rationally expected to improve performance. It's a favorite of inexperienced retail investors. Somebody gets scared, they move to cash. Conquering those fears and having a fixed risk exposure that you can stick with is the main reason that buy and hold has outperformed the average investor, who jumped in and out of the market for 5% CAGR when the market was offering 10% CAGR. That 10% CAGR included both bear and bull markets.

I don't want to be the average investor. I have no interest in market timing. I don't want my returns to be lost due to emotions.

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Re: Market timers thread

Post by dogagility » Thu Jul 25, 2019 5:04 pm

revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
"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 revhappy » Sun Dec 29, 2019 8:12 pm

dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.

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Re: Market timers thread

Post by willthrill81 » Sun Dec 29, 2019 9:55 pm

MoneyMarathon wrote:
Thu Jul 25, 2019 12:15 pm
Forester wrote:
Thu Jul 25, 2019 11:34 am
Stocks & bonds alone don't feel like sufficient diversification. Stocks, bonds, market timing, precious metals... that's better.
Precious metals is one thing. It acts as an inflation hedge, as you point out. It can be part of a buy and hold portfolio.

Market timing is more of a (false) security blanket than something that is rationally expected to improve performance. It's a favorite of inexperienced retail investors. Somebody gets scared, they move to cash. Conquering those fears and having a fixed risk exposure that you can stick with is the main reason that buy and hold has outperformed the average investor, who jumped in and out of the market for 5% CAGR when the market was offering 10% CAGR. That 10% CAGR included both bear and bull markets.

I don't want to be the average investor. I have no interest in market timing. I don't want my returns to be lost due to emotions.
If an investor is market timing on the basis of their emotions, then I agree with you. If an investor is market timing on the basis of fixed, objective rules, it's a totally different story.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by abuss368 » Sun Dec 29, 2019 10:19 pm

revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
John C. Bogle - Two Fund Portfolio: Total Stock & Total Bond. "Simplicity is the master key to financial success."

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Re: Market timers thread

Post by willthrill81 » Sun Dec 29, 2019 10:26 pm

abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
Actually, trend following systems have been robustly recommended by much academic research over the last 5-10 years. I could post many links to peer-reviewed journal articles here if you like, but Google Scholar would likely be easier.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by abuss368 » Sun Dec 29, 2019 10:34 pm

revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
If you are interested David Swensen has talked a lot about the impact of asset allocation. See his excellent book “Unconventional Success”.
John C. Bogle - Two Fund Portfolio: Total Stock & Total Bond. "Simplicity is the master key to financial success."

finite_difference
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Re: Market timers thread

Post by finite_difference » Mon Dec 30, 2019 1:07 am

revhappy wrote:
Fri May 31, 2019 6:30 am
Hello guys, my plan to get back into the markets is via cash secured short PUTs. I have already sold 3 SPY Dec 2019 260 PUTs this week for around $8 in premium. My notional before I went into cash was about 200k, so I need to sell about another 5 PUTs. I guess, I will be happy buying back SPY at 260. I sold when SPY was 275, the same level it is now, back in Feb. Do you guys think my strategy makes sense?
Not sure I understand this strategy. Can you spell it out for a novice including how it worked out?
The most precious gift we can offer anyone is our attention. - Thich Nhat Hanh

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Forester
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Re: Market timers thread

Post by Forester » Mon Dec 30, 2019 3:52 am

abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.

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Re: Market timers thread

Post by marcopolo » Mon Dec 30, 2019 4:23 am

Forester wrote:
Mon Dec 30, 2019 3:52 am
abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.

It sounds so simple, right?

So, I have to assume there are hundreds of funds that have been successfully using this obvious and simple approach to avoid such down turns and consistently outperform the buy and hold strategy.

Would you be so kind as to provide a list of such funds.
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 Forester » Mon Dec 30, 2019 4:56 am

marcopolo wrote:
Mon Dec 30, 2019 4:23 am
Forester wrote:
Mon Dec 30, 2019 3:52 am
abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm

How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.

It sounds so simple, right?

So, I have to assume there are hundreds of funds that have been successfully using this obvious and simple approach to avoid such down turns and consistently outperform the buy and hold strategy.

Would you be so kind as to provide a list of such funds.
Pacer ETFs

Newfound Resolve ROMO ETF

Meb Faber's 2007 tactical allocation paper

Trend-based asset allocation has not beaten buy & hold in the 2010s, probably it's behind after costs (assuming that the 2010s yardstick is something like 70% US 15% ex-US 15% bonds). No one wins a prize for sitting on their hands through a 50% drawdown - makes sense for evidence-based investors to use these tactical ETFs as well as buy & hold.

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Re: Market timers thread

Post by marcopolo » Mon Dec 30, 2019 5:01 am

Forester wrote:
Mon Dec 30, 2019 4:56 am
marcopolo wrote:
Mon Dec 30, 2019 4:23 am
Forester wrote:
Mon Dec 30, 2019 3:52 am
abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm


I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.

It sounds so simple, right?

So, I have to assume there are hundreds of funds that have been successfully using this obvious and simple approach to avoid such down turns and consistently outperform the buy and hold strategy.

Would you be so kind as to provide a list of such funds.
Pacer ETFs

Newfound Resolve ROMO ETF

Meb Faber's 2007 tactical allocation paper

Trend-based asset allocation has not beaten buy & hold in the 2010s, probably it's behind after costs (assuming that the 2010s yardstick is something like 70% US 15% ex-US 15% bonds). No one wins a prize for sitting on their hands through a 50% drawdown - makes sense for evidence-based investors to use these tactical ETFs as well as buy & hold.
The first two appear to have been open for less than a year, so not sure how you can claim they avoided the down turns in 2000 and 2008.

As for Meb Faber, why rely on his paper when we can look at an actual fund he started to implement trend following. How did GTAA work out?

If it was as easy and obvious as you make it sound, shouldn't there be hundreds of funds with successful actual track records?
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 marcopolo » Mon Dec 30, 2019 5:22 am

Forester wrote:
Mon Dec 30, 2019 3:52 am
abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm
dogagility wrote:
Thu Jul 25, 2019 5:04 pm
revhappy wrote:
Sat Mar 23, 2019 10:35 pm
So question: What is your plan? When do you plan to get back into equities?
I am expecting the Dec 2018 lows to retested as a minimum and SPY going below 200 within the next 3 years. I am in 90% cash and my plan is to start getting back into equities once SPY goes below 250.
How's your thought process going now? You said 3 years, but are you... thinking of jumping back in now that SPY is at 300?
I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.
By the way, I don't think CAPE ever got over 30, let alone 40+ in prior to the 2008/2009 drawdown.
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 goblue100 » Mon Dec 30, 2019 7:26 am

revhappy wrote:
Sun Mar 24, 2019 2:43 am
HomerJ wrote:
Sat Mar 23, 2019 11:31 pm
It's good that you have a plan.

What happens if the market keeps going up? Do you have a plan for that? What if the market goes up 50% from here? I assume your plan is stay in cash because then the market will be even MORE "over-valued", right?

But if Dec 2018 lows are never retested, does that mean you'll never get back in the market?

Or will you reset your entry point? Say, if the market goes up 100%, and then drops 40%, will you get back in thinking this is the best I can do, even though you'll be buying in higher than today? Or will you wait even then, since you'll be expecting the market drop even farther to test the Dec 2018 lows?

Serious question. This has to be a considered part of your plan.
In my career of past 15 odd years, I have remained invested very little and it has been adhoc and most of my networth is out of savings rather than investment returns. So I guess, I will continue to stay in fixed income until there is fear and turmoil on the streets.
Bolding is mine. This alone should be enough to tell you that market timing doesn't work. For every $100,000 in cash vs. stocks since march, you've missed out on $12,000 in gains.

Starting 15 years ago with $10,000 and investing $500 a month in a 70/30 portfolio would result in a $268,000 portfolio today. So a $100,000 investment would be worth 2.5 times as much the amount out of pocket, not most of my networth is out of savings rather than investment returns. Buy and hold stay the course works, no matter how hard people want it to fail.
Link to 15 year portfolio results:
https://www.portfoliovisualizer.com/bac ... tion3_1=30
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

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Re: Market timers thread

Post by dogagility » Mon Dec 30, 2019 9:05 am

Forester wrote:
Mon Dec 30, 2019 4:56 am
marcopolo wrote:
Mon Dec 30, 2019 4:23 am
Forester wrote:
Mon Dec 30, 2019 3:52 am
abuss368 wrote:
Sun Dec 29, 2019 10:19 pm
revhappy wrote:
Sun Dec 29, 2019 8:12 pm


I have given up on SP500 and now getting into Asian markets as they have lagged and there is potential for catch-up.
Security selection and market timing have been proven to not work. There is a lot of academic research on this and that asset allocation is the most important decision an investor will make.
The opposite is true. Trend following makes portfolios more robust because it's diversifying beyond buy & hold and potentially nullifies expensive markets with low expected returns. Dumb trend following 2000-2010 turned a profit out of a CAPE over 40 + two 50% drawdowns.

One of the easiest free lunches is US vs ex-US https://www.portfoliovisualizer.com/te ... odWeight=0

There now exist ETFs which allocate to regional indices or bonds systematically.

It sounds so simple, right?

So, I have to assume there are hundreds of funds that have been successfully using this obvious and simple approach to avoid such down turns and consistently outperform the buy and hold strategy.

Would you be so kind as to provide a list of such funds.
Pacer ETFs

Newfound Resolve ROMO ETF

Meb Faber's 2007 tactical allocation paper

Trend-based asset allocation has not beaten buy & hold in the 2010s, probably it's behind after costs (assuming that the 2010s yardstick is something like 70% US 15% ex-US 15% bonds). No one wins a prize for sitting on their hands through a 50% drawdown - makes sense for evidence-based investors to use these tactical ETFs as well as buy & hold.
The Boglehead philosophy of staying the course also includes this important tidbit: periodically rebalancing to your chosen asset allocation. Nobody following the philosophy was "sitting on their hands" through the 2008/9 blip.
"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 watchnerd » Mon Dec 30, 2019 11:18 am

I put in my AA that if 2020 turns in >16% return, I will shift my AA to 60/40.

Is that market timing?
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Re: Market timers thread

Post by HomerJ » Mon Dec 30, 2019 12:12 pm

Forester wrote:
Mon Dec 30, 2019 4:56 am
No one wins a prize for sitting on their hands through a 50% drawdown
Sure you do... You win the prize of getting rich.

The 9%-10% long-term historical returns of the stock market? That return INCLUDES the crashes. Read that again.

In the past, you didn't have to avoid the 50% crashes to get rich.

Market-timing is not easy. Sure, it's possible, but it's not easy. And if you make a few mistakes (and most people do), you may not get rich.

Buy and hold is easy. And makes you rich. That's the prize.
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Re: Market timers thread

Post by 1789 » Mon Dec 30, 2019 12:23 pm

Whoever is doing market timing working on a consistent level should have been very famous already. We have so much of data in several investing books showing it always fail. I remember reading a lot of silly things over internet when the yield curve inverted about a year ago recommending to go get out of market and wait. What happened? SP500 returned like 28% YTD. Sure it could be down 28% as well. My point is this is similar to throwing a dice. Nobody knows the result until they see the result.
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Re: Market timers thread

Post by watchnerd » Mon Dec 30, 2019 12:46 pm

HomerJ wrote:
Mon Dec 30, 2019 12:12 pm

Buy and hold is easy. And makes you rich. That's the prize.
I'm going to slightly quibble.

Savings makes you rich.

Brilliant investment strategy on inadequate capital and you still won't be rich.

"Good enough" investment strategy on ample capital makes you rich, or "grandma strategy" keeps you rich if you already are.

It seems that many people who are trying to time the market don't have enough capital and/or savings.

Or have ample capital but high loss aversion and haven't crunched the numbers on their AA to find the right balance to stay in forever.
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Re: Market timers thread

Post by willthrill81 » Mon Dec 30, 2019 12:50 pm

watchnerd wrote:
Mon Dec 30, 2019 11:18 am
I put in my AA that if 2020 turns in >16% return, I will shift my AA to 60/40.

Is that market timing?
Yes, although it's probably a weak form of it.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by watchnerd » Mon Dec 30, 2019 12:53 pm

1789 wrote:
Mon Dec 30, 2019 12:23 pm
Whoever is doing market timing working on a consistent level should have been very famous already. We have so much of data in several investing books showing it always fail. I remember reading a lot of silly things over internet when the yield curve inverted about a year ago recommending to go get out of market and wait. What happened? SP500 returned like 28% YTD. Sure it could be down 28% as well. My point is this is similar to throwing a dice. Nobody knows the result until they see the result.
Marketing timing is what some people think hedge funds do because they read about spectacular wins that make the headlines or into Hollywood movies, such as Soros' bet on silver or Michael Burry's suprime mortgage bet.

When the boring reality is much closer to how casinos operate: place a lot of bets, some win, some lose, but if you consistently win 51% of the time, you're making money for your clients over the long haul.
70% Global Market Weight Equities | 15% Long Treasuries 15% short TIPS & cash || RSU + ESPP

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Re: Market timers thread

Post by watchnerd » Mon Dec 30, 2019 12:57 pm

willthrill81 wrote:
Mon Dec 30, 2019 12:50 pm

Yes, although it's probably a weak form of it.
Interesting.

I just think of it as pulling my equity/bond glide path forward based on hitting targets faster than planned.
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Re: Market timers thread

Post by willthrill81 » Mon Dec 30, 2019 1:00 pm

watchnerd wrote:
Mon Dec 30, 2019 12:57 pm
willthrill81 wrote:
Mon Dec 30, 2019 12:50 pm

Yes, although it's probably a weak form of it.
Interesting.

I just think of it as pulling my equity/bond glide path forward based on hitting targets faster than planned.
Making investment changes on the basis of market performance is generally perceived to be market timing. If you're just rebalancing your portfolio, that's not really market timing because you're just trying to maintain an AA.

But in reality, I couldn't care less whether we label something as market timing or not. The phrase has become akin to a swear word around here, despite the forum's namesake unquestionably having done it himself in a big way at least once.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by HomerJ » Mon Dec 30, 2019 1:02 pm

watchnerd wrote:
Mon Dec 30, 2019 12:46 pm
HomerJ wrote:
Mon Dec 30, 2019 12:12 pm

Buy and hold is easy. And makes you rich. That's the prize.
I'm going to slightly quibble.

Savings makes you rich.
It's a good quibble. :)
The J stands for Jay

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Re: Market timers thread

Post by willthrill81 » Mon Dec 30, 2019 1:04 pm

watchnerd wrote:
Mon Dec 30, 2019 12:53 pm
When the boring reality is much closer to how casinos operate: place a lot of bets, some win, some lose, but if you consistently win 51% of the time, you're making money for your clients over the long haul.
Correct. Simply following the 200 day moving average, which has been done by many investors for at least 70 years now, has historically beaten buy-and-hold over the long-term by about any measure you want to use (e.g. higher absolute returns, higher risk-adjusted returns, low maximum drawdowns), especially during the really intense bear markets when people are likely to throw up in their hands, which is precisely what many here did or were close to doing in the last recession.

Part of the problem is that people equate market timer's performance with market timing's performance. The two are not equivalent. A big part of the discrepancy between the two is that most of those who practice market timing cannot stop fiddling with their systems and are constantly trying to 'prepare for the last war'. That's a human failing, not a strategy failing. But at the same time, this shouldn't be ignored, and for this reason, I don't think that most investors are cut out for it. But I do think that a few of us are. This is pretty much Paul Merriman's take on it.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by HomerJ » Mon Dec 30, 2019 1:07 pm

willthrill81 wrote:
Mon Dec 30, 2019 1:00 pm
But in reality, I couldn't care less whether we label something as market timing or not. The phrase has become akin to a swear word around here, despite the forum's namesake unquestionably having done it himself in a big way at least once.
He technically didn't really market-time because he never switched back.

He just made a big one-time adjustment to his AA, because he realized his need to take risk had changed.

Yes, he looked at the current market conditions, and said "Jeeze, bonds are returning a lot, and stock prices are really getting high..."

But he also had a health scare, and, at his age, and looking at his portfolio, he realized he had no need to have so much in stocks, so he changed his Asset Allocation.

And he never switched back like a true market-timer would.

He never went back to a high stock allocation later thinking "Now is a better time to bet heavy on stocks".
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Re: Market timers thread

Post by willthrill81 » Mon Dec 30, 2019 1:13 pm

HomerJ wrote:
Mon Dec 30, 2019 1:07 pm
willthrill81 wrote:
Mon Dec 30, 2019 1:00 pm
But in reality, I couldn't care less whether we label something as market timing or not. The phrase has become akin to a swear word around here, despite the forum's namesake unquestionably having done it himself in a big way at least once.
He technically didn't really market-time because he never switched back.

He just made a big one-time adjustment to his AA, because he realized his need to take risk had changed.

Yes, he looked at the current market conditions, and said "Jeeze, bonds are returning a lot, and stock prices are really getting high..."

But he also had a health scare, and, at his age, and looking at his portfolio, he realized he had no need to have so much in stocks, so he changed his Asset Allocation.

And he never switched back like a true market-timer would.

He never went back to a high stock allocation later thinking "Now is a better time to bet heavy on stocks".
Certainly there were many factors at work, but switching from a high stock allocation to a lower one and then back is not the definition of market timing. Bogle clearly thought that stocks were no longer as good of an investment as bonds due to their high valuations. Also, I believe that he may have done exactly what you suggest (i.e. going from high to low and back). He said that he reduced his stock allocation to 35% in 1999, but I believe that he increased this in later years.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

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Re: Market timers thread

Post by watchnerd » Mon Dec 30, 2019 1:16 pm

willthrill81 wrote:
Mon Dec 30, 2019 1:00 pm

But in reality, I couldn't care less whether we label something as market timing or not. The phrase has become akin to a swear word around here, despite the forum's namesake unquestionably having done it himself in a big way at least once.
I hadn't heard about this.

What did Jack do?
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