No. of Recommendations: 94
Moe said:
You were trying lots of things that were a little different then many of us like Reverse Scaling investing and not buying monthly screens.

I'm curious if you have any good lesson learns from the past year (i.e. both good and bad) that you can share with us.
And I though it best to open another thread...

Lessons learned (maybe):
* Margin is the juggling-with-chain-saws of the investing game. Or maybe juggling-with-life-handgrenades. You not only risk losing precious body part of your own, but causing severe collateral damage as well. Many of the market participants of the last couple years blew up in 2000. Bad enough for them, but when the margin clerks starting the indiscriminate selling them out, that drove the stocks even lower. Some of probably remember days when the market took a nosedive 1/2 hr before the market closed----I'm told that is when the margin clerks start writing the sell tickets. The forcee is *never* given a good price in any kind of forced-sale position.

* Friction is a Big Deal! Commissions, spreads, taxes, expense ratios, etc.

* SD (GSD) tells only part of the story. You can also call this "Giving too much credence to the backtest data." The drawdowns (polite term for "losses") don't explicitly show up in the figures.

* Risk management. Repeat 3 times. Huge drawdowns happen. Better have a "Plan B", for when the 100-year flood hits the fan. Preferably, have your exit strategy in place before the "move into two refrigerator boxes" becomes your only available option.

* Reverse scale is a pretty good tactic. It is the formalization of the "don't sell on the way up and don't buy on the way down" maxim. For example, I strictly adhered to RVS with my AMCC holding. I bought it several times in the last couple of years, at higher & higher prices. When it started to collapse, I sold half of it, then sold the other half later.

* It's never too late to sell. Just look at your AMCC or INTC or QCOM or AMZN or EMC or DELL. I first sold some AMCC at 95 and it was like selling my firstborn. Then I sold some more at 60, and the last at 40. Today it's 16. Same for CSCO. When it was falling from 80 to 60 to 50----to 40 to 30 to 20....... Every step of the way, people told themselves it was too late to sell, it couldn't go lower. In at 80, out at 40 hurts. Hurts bad. But it's better than in at 80, out at 15. Or out at 7. Or out at whatever the margin clerk can get for it.

* Check your emotions at the door. I keep looking at my highest balance (4/00) and regretting what might have been ("....if only I had sold all my techs and bought MO...").
I can't get one out of my mind. I went short CSCO at 38 in Feb. Because I *knew* that it was heade lower. Covered a couple of weeks later at 36 for a slight profit. Then CSCO crashed and I could have covered at 28---or 20. I left nearly $20,000 on the table---and I can't get it out of my mind. But Madge is cool about it. She says, "Why are you beating yourself up? Cut it out."

* Hold back money for taxes. Lots of people--myself included--had nice realized profits early in 2000---but huge unrealized losses the rest of the year, and now are having to sell stocks that are way down in order to pay the taxes on the gains. When you realize a profit, put the appropriate capgains tax into a Money Market account.

Ray
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* Risk management. Repeat 3 times. Huge drawdowns happen. Better have a "Plan B", for when the 100-year flood hits the fan. Preferably, have your exit strategy in place before the "move into two refrigerator boxes" becomes your only available option.

Ray, I liked all your lessons except this one, if I understood what you meant. "Exit strategy" sounds awfully like market timing. Risk management isn't about exit strategies. It's about protecting yourself at all times because you are likely not to correctly identify the right time to exit or the right time to re-enter.

I think asset allocation, such as 70% stocks and 30% cash/bonds, with periodic rebalancing, is the answer. When your stocks double, you'd automatically take money off the table into cash. When your stocks get sliced in half you would put cash back in.

Elan
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No. of Recommendations: 33
"I think asset allocation, such as 70% stocks and 30% cash/bonds, with periodic rebalancing, is the answer. "
*****************************
At the www.fidelity.com page, under the "What's New" headline, Peter Lynch discusses the current market environment, and makes several relevant points about diversification being an important lesson to learn from this bear market. He's right, I think, that a trap can await investors who don't diversify by style, asset class, and industry.
He particularly focuses on the industry issue. This is where I think a lot of people got hurt recently, and the dangerous trap that awaits the investor who ignores industry diversification is particularly dangerous for the investor concentrating only in RS-driven Value Line screens.
If you own only RS-driven VL screens, you are sort of like a multi-industry floating version of the masses of Detroit auto workers. They land good jobs at auto companies during boom times, and they buy expensive houses. The auto industry tanks, the jobs get cut, and the home prices plummet. This town-specific kind of recession has played itself out cyclically in many towns where particular industries concentrate. (The SF Chronicle has a story today about this effect in Silicon Valley.)
RS is a powerful but dangerous thing to play with. It is a property of the RS criterion in many of the screens that if one industry does comparatively well, the RS net will trap that industry all over the place. So industry and style diversification are, I think, important things to apply to MI approaches.

Sparfarkle
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(The SF Chronicle has a story today about this effect in Silicon Valley.)
RS is a powerful but dangerous thing to play with. It is a property of the RS criterion in many of the screens that if one industry does comparatively well, the RS net will trap that industry all over the place. So industry and style diversification are, I think, important things to apply to MI approaches.
------------------------------------
Very true. Diversification, both in trading and mutuals is a basic tenat that many investors forget when chasing the hot screen, fund or advisor. I have always spread my mutual fund monies around, to include worlwide (no us stocks), worldwide (with us stocks), growth, small cap and sector (industry/regions/etc.) funds. Some go up, some go up alot and others waddle around like my ducks in the backyard. Those ducks kill my snails and I get pretty flowers. The snails, to me, represent bonds (cash). Stable, easy pickings. Those high fliers remind me of times I go to the beach and see something like 2 pilot whales swimming 20 yards of shore. Very rare, but very powerful experience. Then again, I remember seeing a full grown, 2000+ pound bull elephant seal who had just hauled himself up on to the beach....to die....he had a great white shark bite that took out 25% of his rear flank. Poor guy. That great white shark is the equivalent of the market and the bull elephant seal is the equivalent of an investor who didn't diversify. He's still alive, but bleeding to death.

I trade with my eyes wide open. But, I keep a % of my assets in less dangerous waters. As a matter of fact, 3 weeks ago I completly converted my 401k monies into a bond fund. That fund showed a profit last month. Nothing else did. In this market environment I would be happy with 1% per month.

BTW & OT, sparfarkle, do you live here in the Bay Area? I'm 20 miles north of San Francisco. All the "seashore" sightings were out in Point Reyes National Seashore.

cat
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Another item you could add to your list is that people feel different things at the progressively lower stages of a bear market. Your resolve, for example, can be solid and strong through the first series of down drafts, which may take months to complete, but then, for no apparent reason, the convictions in your original strategy that carried you that far into the bear market begin to ebb away and demoralization sets in until you can somehow find another set of convictions to believe in. This final process of demoralization, reassessment and new direction can take some time, and one wonders how many simply pick up their old banners and reenter the fray with their old convictions reaffirmed. We are certainly getting some refreshing and insightful new perspectives in these last few postings.
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Risk management isn't about exit strategies.... I think asset allocation, such as 70% stocks and 30% cash/bonds, with periodic rebalancing, is the answer.
*********************************
Remarkably bad advice. Just because you doubt your ability to time the market does not mean you should sit with a stock that loses 70% or more of its value. Ray's example indicates a means of dealing with exactly that problem.

Risk management is not the same thing as asset allocation. And if you believe, by the way, in "periodic rebalancing" between cash/bonds/stocks, what is that supposed to be based on if not your view of relative values or risk in each market?

arezi
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<<I went short CSCO at 38 in Feb. >>

Ray .. I recall you arguing vociferously last year that shorting stocks was a stupid and dangerous thing to do.

Yet, now you tell all that you are shorting stocks.

Maybe you could let all those who follow your advice so closely know when it changes.
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When I see advice 70% stocks 30% cash/bonds,
to me it says good bye to margin.
Margin is good think when time is good.

70% in stocks..., I think that is not very good either.
There are times (now) that being out of stocks is best.

How to develop flexibility, is THE question.

What I pray about is clear mind,
being shell shocked is not good for our health.

JanSz

ps. About taxable loses.
Now stocks should be in taxable accounts and cash in IRA and 401k,
until the loses are equal new gains.
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Ray .. I recall you arguing vociferously last year that shorting stocks was a stupid and dangerous thing to do.

Yet, now you tell all that you are shorting stocks.

Maybe you could let all those who follow your advice so closely know when it changes.


Dumb Ray I guess he shouldn't have told :)

BTW if you are really asking Ray for his advice and opinion I hope the intent was the opposite of how it came out.

Moe
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He particularly focuses on the industry issue. This is where I think a lot of people got hurt recently, and the dangerous trap that awaits the investor who ignores industry diversification is particularly dangerous for the investor concentrating only in RS-driven Value Line screens.

Indeed it's a bad idea to be concentrated in one industry. But I don't think that applies generally to the RS screens. Even if we define "tech" as a single industry, which it is not, the RS screens have never been concentrated in that one industry, and the classic tech picks have mostly been washed out of the RS screens for months.

Elan
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the RS screens have never been concentrated in that one industry, and the classic tech picks have mostly been washed out of the RS screens for months.

Elan,

I think you are correct.

However, I ran up against some very bad luck when starting these RS-based MI screens back in September. For instance, on September 8, the CAPRS top 8 were NEWP, BEAS, ITWO, NTAP, SEBL, ORCL, MERQ, and PMCS. [Note: I didn't buy all 8, thank goodness!] The PlowRSW (one of my other selected screens) top 3 picks were ORCL, PMCS, and VRTS. Even trusty PEG had IDTI in it at number three.

I certainly don't refute your general point, but I just wanted to point out that it is possible to have chosen precisely the wrong RS screens at precisely the wrong time, which is exactly what I did. Am I abandoning MI? NO! But I do realize better now its risks.

Regards,

Charles
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* Risk management. Repeat 3 times. Huge drawdowns happen. Better have a "Plan B", for when the 100-year flood hits the fan. Preferably, have your exit strategy in place before the "move into two refrigerator boxes" becomes your only available option.

Ray,

I wonder if you would elaborate a bit on this one. What makes for a good exit strategy, and when does one use it? Are there any "mechanical" criteria one could apply here?

Best,

Charles
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In response to Elan's post of

Risk management isn't about exit strategies.... I think asset allocation, such as 70% stocks and 30% cash/bonds, with periodic rebalancing, is the answer.
*********************************


arezi said:

Remarkably bad advice. Just because you doubt your ability to time the market does not mean you should sit with a stock that loses 70% or more of its value. Ray's example indicates a means of dealing with exactly that problem.

Risk management is not the same thing as asset allocation. And if you believe, by the way, in "periodic rebalancing" between cash/bonds/stocks, what is that supposed to be based on if not your view of relative values or risk in each market?


Arezi, I know Elan can speak for himself, but he hasn't yet, and your post got me curious, so here's my take:

I agree with Elan that a good strategy would be to split assets x % in MI stocks and y % in bonds, and periodically rebalance back to those same percentages. That's mechanical, and not "based on your view of relative values or risk..."

I ran some very rough numbers of what would happen if one did 66.6% x and 33.3 % y in a market that took two successive hits of -30% each, followed by two successive "bursts" of +50% each. Rebalance to the xy percentages after each hit and each burst. No growth in the y portion counted.

With rebalancing:
Stocks Bonds Total
Start $200k $100k $300k
First hit $140 $100k $240k
Rebalance $160k $80k $240k
Second hit $112k $80k $192k
Rebalance $128k $64 $192k
first burst $192k $64 $256k
Rebalance $170k $86k $256k
2nd burst $255k $86k $341k

Without rebalancing:
Start $200k $100k $300k
-30% $140k $100k $240k
-30% $98k $100k $198k
+50% $147k $100k $247k
+50% $220k $100 $320k

Results: a $21k or 6.5% overall improvement in return, top to top, and lots better sleeping.

We haven't had the second half of this process yet. I'm expecting it shortly. I just don't know how soon "shortly" is.

Regards,

Hank


emailed and posted
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I ran a quick and dirty simulation of your rebalancing strategy for the timeframe 1969 through 1988.

Those years were selected because they offer the best case for the strategy (volatile market, high T-bill yields).

The data was the S&P500 annualized return (excluding dividends) and the January rate for each year of the 52 week T-bill.

Here are the results:
(The first row is the full market invested, the second is the rebalance strategy)

$265,800 $283,540
$268,458 $293,019
$297,451 $318,641
$343,854 $327,784
$284,023 $287,687
$199,668 $270,952
$262,564 $354,887
$312,714 $310,821
$276,752 $333,739
$279,796 $320,578
$314,211 $372,696
$395,277 $388,752
$367,608 $372,533
$422,014 $445,679
$495,022 $426,311
$501,952 $464,420
$633,966 $514,121
$726,525 $521,696
$741,055 $530,816
$832,946 $577,073
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<<"Exit strategy" sounds awfully like market timing. Risk management isn't about exit strategies. It's about protecting yourself at all times because you are likely not to correctly identify the right time to exit or the right time to re-enter.>>

I'm thinking more along the lines of a strategy for when the 100 year flood hits. You know, like when Intel, Cisco, Corning, JDSU, Nortel, etc. all start giving conference calls remarking on the fact that all of their customers have either gone belly-up or have cancelled their orders because all of _their_ customers are going belly-up. IMHO, this isn't "market timing", it's taking action when you hear all the smoke alarms in your house go off at once.

BTW, I read a story Friday about $4000 Cisco routers in almost-new condition going for $600. Ditto for Sun servers and EMC disk-farms. Until all that almost-new inventory from crashed dot-coms clears out of the market, the manufacturers are not going to be selling very many new systems.

<<I think asset allocation, such as 70% stocks and 30% cash/bonds, with periodic rebalancing, is the answer. >>
I like this idea, and plan to implement it once my net worth gets high enough. Right now, I am still in the "businessman's risk" stage.

Ray
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<<I recall you arguing vociferously last year that shorting stocks was a stupid and dangerous thing to do.

Yet, now you tell all that you are shorting stocks.
Well, shorting stocks is generally dangerous. Flipping the bird to a pro-football linebacker with a head cold is dangerous and stupid. But if he's inthe gutter with arterial blood gushing out and half his extremities blown away----that's a different picture.

Nonetheless, I controlled my risk by buying puts rather than actually shorting the stock. The [expensive] bid-ask spread is my insurance premium that limits my loss.

Ray



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Hank: I ran some very rough numbers of what would happen if one did 66.6% x and 33.3 % y in a market that took two successive hits of -30% each, followed by two successive "bursts" of +50% each. Rebalance to the xy percentages after each hit and each burst. No growth in the y portion counted....
**********************************

This is all very interesting. But using an arbitrary fixed allocation between stocks and cash/bonds is not a substitute for asset allocation or risk management. It's a fixed allocation, that's all. What I was advocating was to evaluate the relative value of each sector in order to determine whether a particular sector is over or under valued.

A simple application of that idea would be to do this. Compare the yield of cash to the SPX earnings yield. The SPX earnings yield is simply the ratio of estimated earnings for all stocks in SPX divided by the price of the index at that time. Use that in the denominator of a ratio, the numerator of which is the yield on cash, the proxy for which is the 3-mo tbill yield. When that ratio is over 1.25, reduce exposure to stocks. When it's under 0.75, increase exposure. How much you do of either depends on your personal risk perferences and how much you wish to avoid or embrace risk. Personally, I look for stocks to short when the ratio is too high and, conversely, buy stocks on margin when it gets too low. But I take more risk than most.

The above relative value ratio has actually had a gradually rising secular trend over the past 50+ years. So a more sophisticated application would be to do a regression of that trend over the past 50 or so years and measure deviations from the trend in std dev.

I mentioned this idea to a friend of mine recently, and he sent me a beautiful chart of this ratio covering the past several decades. For lack of graphics capability here I cannot post it, but I recommned that anyone interested in this idea calculate it and look at it for yourself. I have been using this idea for quite some time and have been quite pleased with it. Perhaps you will find it helpful too. It's certainly better than an arbitrary fixed allocation.

arezi
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HankDfrmSD Posted:


With rebalancing:
Stocks Bonds Total
Start $200k $100k $300k
First hit $140 $100k $240k
Rebalance $160k $80k $240k
Second hit $112k $80k $192k
Rebalance $128k $64 $192k
first burst $192k $64 $256k
Rebalance $170k $86k $256k
2nd burst $255k $86k $341k
Without rebalancing:
Start $200k $100k $300k
-30% $140k $100k $240k
-30% $98k $100k $198k
+50% $147k $100k $247k
+50% $220k $100 $320k

Results: a $21k or 6.5% overall improvement in return, top to top, and lots better sleeping.

++++++++++++++++++++++++++++++++++++++

Hank,
Interest income from the fixed income portion is a very important element in the asset allocation strategy. Ignoring it can give an incomplete result. Since your example has no time element, I understand somewhat why you presented the results as you did. As to sleeping better, note that the drawdown was to a lower value in the Rebalanced portfolio. The success of the end result in Rebalancing has more to do with "Buying on the Dips" which may or may not continue to be a good thing.

Good Returns
Charley Meng
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"A simple application of that idea would be to do this. Compare the yield of cash to the SPX earnings yield. The SPX earnings yield is simply the ratio of estimated
earnings for all stocks in SPX divided by the price of the index at that time. Use that in the denominator of a ratio, the numerator of which is the yield on cash, the proxy for which is the 3-mo tbill yield. When that ratio is over 1.25, reduce exposure to stocks. When it's under 0.75, increase exposure. How much you do of
either depends on your personal risk perferences and how much you wish to avoid or embrace risk. Personally, I look for stocks to short when the ratio is too high
and, conversely, buy stocks on margin when it gets too low. But I take more risk than most."



Do you calculate the S&P500 yield by using the reciprocal of its P/E?
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I mentioned this idea to a friend of mine recently, and he sent me a beautiful chart of this ratio covering the past several decades.
===================
Any chance of getting the raw data from your friend so we can plot it OR pointing to the sources of the data?
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Chapter twelve of IBD's book "Making Money in the Market" by William O'Neil is as explicit about knowing your exit points before buying stock. I force myself to read that chapter at least once a month. Although I had a diversified portfolio and absolutely "no" margin ever, when my stocks hit 15% below the 52 week week high, (April14, 2000) I put in sell orders on everything without hesitation (O'Neil talks about 8% but that was before technology and 10,000 DOW!

My two motto's pasted over my computer terminal!!!
1. The TREND is your friend
2. When in DOUBT stay out

I am sitting with lots of cash and sleeping very well,
thank you
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Any chance of getting the raw data from your friend so we can plot it OR pointing to the sources of the data?
********************************************

How about this: many of you have Yahoo briefcases that are accessible by everyone. If one of you will respond to this post via email with your email address, I will attach the chart to an email and send it to you. Then you can make it available to all through your briefcase.

arezi
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No. of Recommendations: 15
Funny how the real thing is so much crisper than imagined. While it's true that experience and expectation include many of the same elements, for example data, reasoning and feeling, the fact remains that one is an imagined model and the other is what's happening right here and now, where hypothetical rubber grinds upon sometimes very rough road. The current -3 Sigma event feels like the tires of a 747 screeching on a swiftly passing runway. The absolute necessity of steel-belt protection suddenly becomes inescapably obvious.

Sparfarkle calls for strategic diversification. Sometimes it's called cash management, sometimes asset allocation, sometimes stodgy conservatism, sometimes hoped-for salvation. Perhaps the impetus provided by this current experience can prompt development of strategies that will even more efficiently fulfill the promise of multiplying our loaves and fishes.

While I too feel the acute pain of substantial portfolio shrinkage, I am nevertheless encouraged by the rapid progression of MI development. XG, RRS, DH, Lag, and cluster analyses of sectors and market modes come to mind as major areas of pursuit, all inviting further exploration.

In light of these, I'm fashioning a strategy that employs both screen and sector diversification. I've always found appealing the simple stratagem of shifting money according to recent gains and losses--a la reverse scale investing. I'm leaning towards Elan's spiffed-up LPBV screen counterbalanced with a lagged RRS combination operating on a universe of stocks selected from the highest performing sectors.

Looking at the recent wildness--+3 Sigma followed by –3 Sigma in the blink of an eye--judging from the growing body of evidence offered here, I suspect that such an approach would have capturing the spectacular momentum-based returns achieved during 1999, while preserving resources by effectively shifting to value stocks in the most productive sectors during the past year.

To my mind, the motto of this forum could well be: “Bread cast upon the waters is returned a hundred-fold.” Everyone here wishes good fortune for everyone. Thanks to all for both unflagging goodwill and incomparable collaboration.

~eremon
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arezi,

I just realized an old email address is probably on the header of the previous message. This one should be correct. Sorry about the confusion.

David
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How about this: many of you have Yahoo briefcases that are accessible by everyone. If one of you will respond to this post via email with your email address, I will attach the chart to an email and send it to you. Then you can make it available to all through your briefcase.

**************************************************

Hello Arezi,

http://groups.yahoo.com/group/Mechanical_Investing/files/ <-- this folder is open to everyone

http://briefcase.yahoo.com/bc/_holg_?c&.flabel=fld2&.src=bc <-- this folder is open to everyone

My email address is holger@stargate.linux.org.tw

Cheers!

Holg

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Arezi has kindly mailed the file already and I have uploaded it to both locations:

http://groups.yahoo.com/group/Mechanical_Investing/files/ <-- this folder is open to everyone

http://briefcase.yahoo.com/bc/_holg_?c&.flabel=fld2&.src=bc <-- this folder is open to everyone

Cheers!

Holg


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A simple application of that idea would be to do this. Compare the yield of cash to the SPX earnings yield. The SPX earnings yield is simply the ratio of estimated earnings for all stocks in SPX divided by the price of the index at that time. Use that in the denominator of a ratio, the numerator of which is the yield on cash, the proxy for which is the 3-mo tbill yield. When that ratio is over 1.25, reduce exposure to stocks. When it's under 0.75, increase exposure.

===========

Arezi,

Have you seen my posts 96785, 96663, and 96384, which provide backtests for strategies that are almost exactly what you are suggesting?

The main difference is that I use something called the Yardeni Ratio which is almost the inverse of the ratio you suggest. To see how similar the measures are, compare:

http://www.yardeni.com/public/stkvalu.pdf

with

http://briefcase.yahoo.com/bc/_holg_?c&.flabel=fld2&.src=bc

Your measure seems like it might be easier to implement. JackCade has expressed interest in posting such a ratio in his weekly updates. Could you suggest easy sources for the SPX earnings yield and 3-mo Tbill that he could use to incorporate this ratio easily into weekly report?

Am I understanding you correctly to guess that you are not currently using margin, because you are waiting for your ratio to drop below 0.75? (The Yardeni measure also indicates that the market is fairly valued right now, rather than undervalued.)

Any thoughts about the positive findings regarding SIDM as well?

Any other thoughts on the findings in my posts?

I'm asking for your thoughts, because I think you are one of the most astute observers on the board, and very much appreciate all of your insights.

Regards, Ben
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>>>>>
The main difference is that I use something called the Yardeni Ratio which is almost the inverse of the ratio you suggest. To see how similar the measures are, compare:

http://www.yardeni.com/public/stkvalu.pdf

with
>>>>>

More granual chart is on page 2 of:

http://www.yardeni.com/public/dstock_c.pdf

JanSz
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Remarkably bad advice.

Ouch, that hurts!

Just because you doubt your ability to time the market does not mean you should sit with a stock that loses 70% or more of its value. Ray's example indicates a means of dealing with exactly that problem.

What does asset allocation have to do with holding on to losing stocks or not?

Risk management is not the same thing as asset allocation. And if you believe, by the way, in "periodic rebalancing" between cash/bonds/stocks, what is that supposed to be based on if not your view of relative values or risk in each market?

Asset allocation is a major component, if not the most important component, of risk management. Perhaps you didn't quite understand my suggestion. The periodic rebalancing is targeted to restoring a fixed allocation, so it's not supposed to be based on any current view of the market. It's only based on maintaining a constant allocation consistent with your risk tolerance.

The practical effect of such rebalancing is that you move some money from cash to stocks after a drop in the stock portion, and vice versa. That's tough to do emotionally because our natural tendency is to do the opposite. Witness the clamoring for methods of getting you out of stocks after a big loss.

Elan
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Ben: Your measure seems like it might be easier to implement. JackCade has expressed interest in posting such a ratio in his weekly updates. (1)Could you suggest easy sources for the SPX earnings yield and 3-mo Tbill that he could use to incorporate this ratio easily into weekly report? (2) Am I understanding you correctly to guess that you are not currently using margin, because you are waiting for your ratio to drop below 0.75? (The Yardeni measure also indicates that the market is fairly valued right now, rather than undervalued.)(3)Any other thoughts on the findings in my posts?
*********************************************
Ben, Thanks for the kind words. Let me try to answer these three questions in order.
(1)As a bit of background, this idea was first suggested to me in 1973 by my then current boss. He had been my boss in an earlier job doing research with the Fed. I fiddled with the relative value idea between cash and stocks and came up with this. I was disappointed to learn later that many others had figured this out years before me. Over most of the ensuing thirty years, I had staff who kept the data for me. During the past seven or so years, I have gone back to just keeping a weekly journal of statistics by hand. I get the data for this calculation from Barron's Market Week each weekend. Data for SPX earnings yield is on page MW70 this week, while 3-mo or 13-wk (same thing) tbill yield in on MW73. The dividend yield is currently 4.38%. That is equal BTW to (1/PE)*100 for SPX or (1/22.81)*100. With the 13-wk tbill at 4.20, the relative value ratio as of last Friday's close is 0.96. As for historical data, I would advise that you first look at the graph I sent Holg which he posted on Yahoo. If you want the actual numbers, they can be obtained from Global Financial Data, www.globalfindata.com, for about $25 if you really want them.
(2) Yes, you are correct I am not currently using margin. In fact, I still have a very limited equity exposure. While the ratio is at about neutral, this is almost entirely due to the fact that current SPX earnings estimates have not yet been revised down materially. When they are, as they undoubtedly will be soon, the earnings yield will again fall and the ratio will again jump. What will make the ratio plummet to undervalued is when SPX earnings estimates have already been revised down and begin to be revised up while tbill yields have fallen further. If neither happens, a sharp drop in the market would also do the trick. But any proper combination of the three would work.
(3) As for your earlier posts, I haven't followed them too closely since they seemed to duplicate what I was already doing but in a more cumbersome way. I would add the same caveat that I made in the "Bubble Economics" post, however. It is quite rare for the market to go from highly overvalued to fairly valued without first going to highly undervalued. So barring some compelling reason to do so, I am not in a hurry to jump back in fully into equities. Of course, nor am I short much stock anymore.

I hope this helps.

arezi

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Me: Remarkably bad advice.
Elan: Ouch, that hurts
*********************
My apologies. You are someone for whom I have a great deal of respect. And even if you were not, it was not my intention to make a hurtful comment.

Your points are well taken. And yes, I did misunderstand your rebalancing point. But even if you do periodically rebalance to maintain a fixed ratio, this is not a subsitute for asset allocation or for risk management. I agree with you that the two go hand in hand, that good asset allocation can contribute greatly to good risk management. But for me, good asset allocation means getting out of overvalued assets into the undervalued ones. I think I can hear you saying: "that's OK as long as the rule is mechanical and backtested," so that's what I provided.

Again, sorry for the rude comment.

arezi

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This is all very interesting. But using an arbitrary fixed allocation between stocks and cash/bonds is not a substitute for asset allocation or risk management. It's a fixed allocation, that's all. What I was advocating was to evaluate the relative value of each sector in order to determine whether a particular sector is over or under valued.

I disagree. The fixed allocation is not a substitute, it is risk management. What you're advocating injects an element of market timing into the risk management scheme.

A simple application of that idea would be to do this. Compare the yield of cash to the SPX earnings yield. The SPX earnings yield is simply the ratio of estimated earnings for all stocks in SPX divided by the price of the index at that time. Use that in the
denominator of a ratio, the numerator of which is the yield on cash, the proxy for which is the 3-mo tbill yield. When that ratio is over 1.25, reduce exposure to stocks. When it's under 0.75, increase exposure. How much you do of either depends on your personal risk perferences and how much you wish to avoid or embrace risk. Personally, I look for stocks to short when the ratio is too high and, conversely, buy stocks on margin when it gets too low. But I take more risk than most.


Isn't this exactly the same as Yardeni's measure?

Your personal approach, to short when the ratio is high and use margin when it's low, means that you are embracing a higher than market risk. When you say that you take more risk than most, you are recognizing the risk management aspect that I suggested. Someone more conservative than you would, perhaps, not use margin, and not short any stocks, and might permanently keep part of their portfolio out of the market.

Keeping part of your money out of stocks will, of course, not maximize your long term returns. That's not the goal of risk management.

Elan
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The periodic rebalancing is targeted to restoring a fixed allocation, so it's not supposed to be based on any current view of the market. It's only based on maintaining a constant allocation consistent with your risk tolerance.

So you keep a certain percentage allocation towards stocks, bonds, etc. (or variations in stock strategies)? Do you ever change these fixed allocations?

The practical effect of such rebalancing is that you move some money from cash to stocks after a drop in the stock portion, and vice versa. That's tough to do emotionally because our natural tendency is to do the opposite. Witness the clamoring for methods of getting you out of stocks after a big loss

If there is an extended downturn then you are just throwing money at losing positions. I'd rather get out at a 10-20% loss then having to hold through bigger loss such as we've seen in the past year. As long as there is an effective means of getting back in I don't see this as a bad thing. Granted, as you have stated before diversification would've avoided your entire portfolio going down that much--but perhaps risk strategies might be good for the more volatile screens.

Eric
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arezi:

I get the data for this calculation from Barron's Market Week each weekend. Data for SPX earnings yield is on page MW70 this week, while 3-mo or 13-wk (same thing) tbill yield in on MW73. The dividend yield is currently 4.38%. That is equal BTW to (1/PE)*100 for SPX or (1/22.81)*100.

That word "dividend" that I put in bold - did you mean "earnings"? Not trying to attack you for a typo, just want to confirm my understanding. Thanks,

J
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J: That word "dividend" that I put in bold - did you mean "earnings"? Not trying to attack you for a typo, just want to confirm my understanding. Thanks
***************************************

Yep. My mistake. My only excuse is that I was typing furiously while trying to trade, and if you noticed the market today you can appreciate that it was a little hectic at times. Guess I'd better confine my typing to non-market hours.

arezi
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The periodic rebalancing is targeted to restoring a fixed allocation, so it's not supposed to be based on any current view of the market. It's only based on maintaining a constant allocation consistent with your risk tolerance.
===============================
So you keep a certain percentage allocation towards stocks, bonds, etc. (or variations in stock strategies)? Do you ever change these fixed allocations?


As noted in the previous message, I view a basic or neutral asset allocation as something that doesn't change as a function of market information. It may of course change as a function of your personal situation (not your personal emotions, although sometimes they are difficult to separate).

Any changes in the allocation in response to "market conditions" is by (my) definition market timing.

Elan
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There is gold in the links in your post. The Yardeni ratios are based on data which should be readily available. Yardeni as I understand it defines his stock valuation model as a ratio of the S&P 500 index to I/B/E/S consensus eximates of earnings over the coming 12 months divided by the 10-year Treasury bond yield minus 100. I don't know who IBES might be, but I assume everything here is available readily - either free or at a price and we could always investigate whether in fact that data is available free through a brokerage house, etc.

In any event, this post is a must. It's an aspect of safety management and of mechanical investing which could haved helped immensely to reduce our risk in 1987, 1999-2000, etc.

Read it. It's instructive. Thanks, Jan.


Len
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<<<A simple application of that idea would be to do this. Compare the yield of cash to the SPX earnings yield.>>>

Check out yardeni.com under the stock value section, it does just this. After reading further, I've decided to add this to my market asset allocation model. It's alot easier than giving the bird to an NFL linebacker.

JLC
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The SPX earnings yield is simply the ratio of estimated earnings for all stocks in SPX divided by the price of the index at that time. Use that in the denominator of a ratio, the numerator of which is the yield on cash, the proxy for which is the 3-mo tbill yield.

What's the easiest place to find the current SPX P/E ratio? The historical? I'm having trouble finding this info on Yahoo. Likewise the 3-mo Tbill yield, although I think this works:
http://bonds.yahoo.com/rates.html

Thanks,

Jim
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What's the easiest place to find the current SPX P/E ratio? The historical?

Likewise the 3-mo Tbill yield, although I think this works: http://bonds.yahoo.com/rates.html



From Jim to Jim,

Thanks for the bond rate link.

Here's a load of S&P data, you specify the date:

http://www.barra.com/research/fundamentals.asp


-Jim

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From Jim to Jim,
Here's a load of S&P data, you specify the date:
http://www.barra.com/research/fundamentals.asp


Thanks Jim. Here's another one - not sure how often it's updated though: data are from 3/30:
http://www.spglobal.com/indexmain500_data.html

Regards,

Jim
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>>>>
Likewise the 3-mo Tbill yield, although I think this works: http://bonds.yahoo.com/rates.html


From Jim to Jim,

Thanks for the bond rate link.

Here's a load of S&P data, you specify the date:

http://www.barra.com/research/fundamentals.asp


-Jim
>>>>>>

Wonder if some kind soul could provide summary of the approach, maybe on a Excel spreadsheet.
Imput sources (above).
Formula, ways to calculate it.
Ways to follow it.
Some examples.

JanSz

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Wonder if some kind soul could provide summary of the approach, maybe on a Excel spreadsheet.
Imput sources (above).
Formula, ways to calculate it.
Ways to follow it.
Some examples.


I'll take a stab.

At the bottom of this post is a monthly table of 3-mo T-bill yields compared with S&P500 earnings yields from January 1977 thru last month. I'll email the spreadsheet I used to Holg, so he can post it if he wants.

Arezi mentioned a "secular trend" in this ratio over the last 50 years. I used the Excel "trend" and "growth" functions to extrapolate the next value based on the data I have (which only goes back to 1977). I don't buy the resulting numbers, but here they are:

Date Trend Growth
03/31/01 1.228 1.325
04/30/01 1.230 1.330

In the table below...
"Tbill" = the average daily yield of a 3-mo T-Bill in the month ending on the given day.
SP PE = the PE of the SP500 on the given day.
ErnYld = 1/PE, * 100 to show as a pctg.
Ratio = T-Bill / ErnYld

Note potential source of error: the T-bill yield is the average over a month, while the SP500 PE is as-of the month-end. It would be better if these two stats were as-of the same day, but I couldn't find that info.

Regards,

Jim

Date Tbill SP PE ErnYld Ratio
01/31/77 4.62 10.83 09.23 0.500
02/28/77 4.67 10.55 09.48 0.493
03/31/77 4.60 10.04 09.96 0.462
04/29/77 4.54 10.02 09.98 0.455
05/31/77 4.96 09.78 10.22 0.485
06/30/77 5.02 10.03 09.97 0.503
07/29/77 5.19 09.77 10.23 0.507
08/31/77 5.49 09.53 10.50 0.523
09/30/77 5.81 09.32 10.73 0.541
10/31/77 6.16 08.90 11.24 0.548
11/30/77 6.10 09.10 10.98 0.555
12/30/77 6.07 08.94 11.19 0.543
01/31/78 6.44 08.36 11.96 0.539
02/28/78 6.45 08.14 12.28 0.525
03/31/78 6.29 08.19 12.21 0.515
04/28/78 6.29 08.91 11.22 0.561
05/31/78 6.41 08.92 11.21 0.572
06/30/78 6.73 08.70 11.50 0.585
07/31/78 7.01 09.18 10.89 0.643
08/31/78 7.08 09.40 10.64 0.665
09/29/78 7.85 09.03 11.08 0.709
10/31/78 7.99 08.19 12.21 0.654
11/30/78 8.64 08.30 12.04 0.717
12/29/78 9.08 08.18 12.22 0.743
01/31/79 9.35 08.48 11.79 0.793
02/28/79 9.32 08.17 12.23 0.762
03/30/79 9.48 08.21 12.18 0.778
04/30/79 9.46 08.20 12.20 0.776
05/31/79 9.61 07.98 12.54 0.766
06/29/79 9.06 07.71 12.97 0.698
07/31/79 9.24 07.76 12.88 0.717
08/31/79 9.52 08.17 12.24 0.778
09/28/79 0.26 07.83 12.77 0.020
10/31/79 1.70 07.27 13.75 0.124
11/30/79 1.79 07.59 13.18 0.136
12/31/79 2.04 07.37 13.57 0.150
01/31/80 2.00 07.78 12.85 0.156
02/29/80 2.86 07.76 12.89 0.222
03/31/80 5.20 06.75 14.81 0.351
04/30/80 3.20 07.05 14.19 0.225
05/30/80 8.58 07.38 13.54 0.634
06/30/80 7.07 07.32 13.66 0.518
07/31/80 8.06 07.77 12.87 0.627
08/29/80 9.13 07.81 12.80 0.713
09/30/80 0.27 08.02 12.47 0.022
10/31/80 1.62 08.16 12.26 0.132
11/28/80 3.73 09.02 11.08 0.337
12/31/80 5.49 08.62 11.60 0.473
01/30/81 5.02 08.22 12.17 0.412
02/27/81 4.79 08.30 12.04 0.398
03/31/81 3.36 08.53 11.72 0.287
04/30/81 3.69 08.33 12.00 0.307
05/29/81 6.30 08.33 12.01 0.525
06/30/81 4.73 08.74 11.45 0.413
07/31/81 4.95 08.40 11.90 0.416
08/31/81 5.51 07.90 12.66 0.435
09/30/81 4.70 07.56 13.23 0.355
10/30/81 3.54 07.84 12.76 0.277
11/30/81 0.86 08.12 12.31 0.070
12/31/81 0.85 07.72 12.96 0.066
01/29/82 2.28 07.58 13.19 0.173
02/26/82 3.48 07.11 14.06 0.248
03/31/82 2.68 07.07 14.15 0.189
04/30/82 2.70 07.35 13.60 0.199
05/28/82 2.09 07.07 14.15 0.148
06/30/82 2.47 07.15 14.00 0.176
07/30/82 1.35 06.99 14.31 0.094
08/31/82 8.68 07.79 12.83 0.676
09/30/82 7.92 08.12 12.31 0.643
10/29/82 7.71 09.04 11.06 0.697
11/30/82 8.07 09.37 10.67 0.756
12/31/82 7.94 09.65 10.36 0.766
01/31/83 7.86 09.98 10.02 0.785
02/28/83 8.11 10.20 09.80 0.827
03/31/83 8.35 10.71 09.33 0.895
04/29/83 8.21 11.48 08.71 0.943
05/31/83 8.19 11.35 08.81 0.930
06/30/83 8.79 11.81 08.47 1.038
07/29/83 9.08 11.43 08.75 1.038
08/31/83 9.34 11.58 08.64 1.081
09/30/83 9.00 11.52 08.68 1.037
10/31/83 8.64 11.36 08.81 0.981
11/30/83 8.76 11.79 08.48 1.033
12/30/83 9.00 11.19 08.94 1.007
01/31/84 8.90 11.05 09.05 0.983
02/29/84 9.09 10.05 09.95 0.913
03/30/84 9.52 09.84 10.17 0.936
04/30/84 9.69 09.86 10.14 0.956
05/31/84 9.83 09.25 10.81 0.909
06/29/84 9.87 08.88 11.26 0.877
07/31/84 0.12 08.70 11.49 0.010
08/31/84 0.47 09.61 10.40 0.045
09/28/84 0.37 09.32 10.73 0.034
10/31/84 9.74 09.30 10.75 0.906
11/30/84 8.61 09.14 10.94 0.787
12/31/84 8.06 09.36 10.68 0.755
01/31/85 7.76 10.05 09.95 0.780
02/28/85 8.27 10.15 09.86 0.839
03/29/85 8.52 10.10 09.90 0.860
04/30/85 7.95 10.04 09.96 0.798
05/31/85 7.48 10.59 09.44 0.792
06/28/85 6.95 10.88 09.19 0.756
07/31/85 7.08 10.80 09.26 0.765
08/30/85 7.14 10.68 09.37 0.762
09/30/85 7.10 10.58 09.45 0.751
10/31/85 7.16 11.04 09.06 0.790
11/29/85 7.24 11.75 08.51 0.851
12/31/85 7.10 12.35 08.10 0.877
01/31/86 7.07 12.37 08.09 0.874
02/28/86 7.06 13.24 07.55 0.935
03/31/86 6.56 13.82 07.23 0.907
04/30/86 6.06 13.66 07.32 0.828
05/30/86 6.15 14.39 06.95 0.885
06/30/86 6.21 14.43 06.93 0.896
07/31/86 5.83 13.58 07.37 0.792
08/29/86 5.53 14.53 06.88 0.804
09/30/86 5.21 12.95 07.72 0.675
10/31/86 5.18 13.64 07.33 0.707
11/28/86 5.35 13.91 07.19 0.744
12/31/86 5.53 13.42 07.45 0.742
01/30/87 5.43 15.17 06.59 0.824
02/27/87 5.59 15.69 06.38 0.877
03/31/87 5.59 16.29 06.14 0.911
04/30/87 5.64 15.97 06.26 0.901
05/29/87 5.66 16.07 06.22 0.910
06/30/87 5.67 16.51 06.06 0.936
07/31/87 5.69 17.19 05.82 0.978
08/31/87 6.04 17.81 05.62 1.075
09/30/87 6.40 17.51 05.71 1.121
10/30/87 6.13 13.75 07.28 0.843
11/30/87 5.69 12.51 07.99 0.712
12/31/87 5.77 12.87 07.77 0.743
01/29/88 5.81 13.32 07.51 0.774
02/29/88 5.66 13.81 07.24 0.782
03/31/88 5.70 12.57 07.95 0.717
04/29/88 5.91 12.59 07.94 0.744
05/31/88 6.26 12.57 07.95 0.787
06/30/88 6.46 12.49 08.01 0.807
07/29/88 6.73 12.37 08.08 0.833
08/31/88 7.06 11.87 08.43 0.838
09/30/88 7.24 11.47 08.72 0.831
10/31/88 7.35 11.73 08.52 0.862
11/30/88 7.76 11.46 08.73 0.889
12/30/88 8.07 11.20 08.93 0.904
01/31/89 8.27 11.92 08.39 0.986
02/28/89 8.53 11.51 08.69 0.982
03/31/89 8.82 11.28 08.86 0.995
04/28/89 8.65 14.04 07.12 1.215
05/31/89 8.43 14.33 06.98 1.208
06/30/89 8.15 13.95 07.17 1.137
07/31/89 7.88 15.35 06.52 1.209
08/31/89 7.90 15.48 06.46 1.223
09/29/89 7.75 12.70 07.87 0.985
10/31/89 7.64 12.43 08.04 0.950
11/30/89 7.69 12.65 07.91 0.973
12/29/89 7.63 13.22 07.57 1.009
01/31/90 7.64 12.34 08.10 0.943
02/28/90 7.74 12.42 08.05 0.961
03/30/90 7.90 13.33 07.50 1.053
04/30/90 7.77 12.98 07.70 1.009
05/31/90 7.74 14.16 07.06 1.096
06/29/90 7.73 14.72 06.80 1.138
07/31/90 7.62 14.61 06.84 1.113
08/31/90 7.45 13.21 07.57 0.984
09/28/90 7.36 12.64 07.91 0.931
10/31/90 7.17 12.57 07.96 0.901
11/30/90 7.06 13.30 07.52 0.939
12/31/90 6.74 13.73 07.29 0.925
01/31/91 6.22 14.25 07.02 0.886
02/28/91 5.94 15.19 06.58 0.902
03/28/91 5.91 15.22 06.57 0.899
04/30/91 5.65 15.23 06.57 0.860
05/31/91 5.46 15.78 06.34 0.861
06/28/91 5.57 14.88 06.72 0.829
07/31/91 5.58 15.58 06.42 0.869
08/30/91 5.33 15.92 06.28 0.849
09/30/91 5.22 16.10 06.21 0.840
10/31/91 4.99 16.30 06.14 0.813
11/29/91 4.56 15.64 06.39 0.713
12/31/91 4.07 17.95 05.57 0.730
01/31/92 3.80 17.50 05.71 0.665
02/28/92 3.84 17.56 05.70 0.674
03/31/92 4.04 17.97 05.57 0.726
04/30/92 3.75 18.48 05.41 0.693
05/29/92 3.63 18.54 05.39 0.673
06/30/92 3.66 18.09 05.53 0.662
07/31/92 3.21 18.84 05.31 0.605
08/31/92 3.13 18.56 05.39 0.581
09/30/92 2.91 18.56 05.39 0.540
10/30/92 2.86 18.57 05.39 0.531
11/30/92 3.13 18.74 05.34 0.586
12/31/92 3.22 18.92 05.29 0.609
01/29/93 3.00 18.99 05.27 0.570
02/26/93 2.93 17.81 05.61 0.522
03/31/93 2.95 18.16 05.51 0.536
04/30/93 2.87 17.50 05.72 0.502
05/28/93 2.96 17.41 05.74 0.515
06/30/93 3.07 17.53 05.71 0.538
07/30/93 3.04 17.39 05.75 0.529
08/31/93 3.02 17.74 05.64 0.536
09/30/93 2.95 17.57 05.69 0.518
10/29/93 3.02 17.73 05.64 0.536
11/30/93 3.10 17.84 05.61 0.553
12/31/93 3.06 18.00 05.56 0.551
01/31/94 2.98 18.48 05.41 0.551
02/28/94 3.25 17.40 05.75 0.565
03/31/94 3.50 16.67 06.00 0.583
04/29/94 3.68 16.82 05.95 0.619
05/31/94 4.14 16.45 06.08 0.681
06/30/94 4.14 16.05 06.23 0.664
07/29/94 4.33 16.54 06.04 0.716
08/31/94 4.48 16.73 05.98 0.750
09/30/94 4.62 16.28 06.14 0.752
10/31/94 4.95 16.05 06.23 0.794
11/30/94 5.29 15.11 06.62 0.799
12/30/94 5.60 15.22 06.57 0.852
01/31/95 5.71 15.60 06.41 0.891
02/28/95 5.77 15.31 06.53 0.883
03/31/95 5.73 15.60 06.41 0.894
04/28/95 5.65 15.95 06.27 0.901
05/31/95 5.67 15.69 06.37 0.890
06/30/95 5.47 15.96 06.26 0.873
07/31/95 5.42 16.27 06.15 0.882
08/31/95 5.40 15.58 06.42 0.841
09/29/95 5.28 16.23 06.16 0.857
10/31/95 5.28 16.18 06.18 0.854
11/30/95 5.36 16.56 06.04 0.888
12/29/95 5.14 16.90 05.92 0.869
01/31/96 5.00 17.40 05.75 0.870
02/29/96 4.83 17.68 05.66 0.854
03/29/96 4.96 17.93 05.58 0.890
04/30/96 4.95 18.20 05.49 0.901
05/31/96 5.02 18.33 05.46 0.920
06/28/96 5.09 18.41 05.43 0.937
07/31/96 5.15 17.49 05.72 0.901
08/30/96 5.05 17.49 05.72 0.883
09/30/96 5.09 18.38 05.44 0.935
10/31/96 4.99 18.88 05.30 0.942
11/29/96 5.03 19.73 05.07 0.992
12/31/96 4.91 19.44 05.14 0.955

01/31/97 5.03 20.67 04.84 1.039
02/28/97 5.01 20.81 04.80 1.043
03/31/97 5.14 19.89 05.03 1.022
04/30/97 5.16 21.19 04.72 1.093
05/30/97 5.05 22.50 04.44 1.136
06/30/97 4.93 23.47 04.26 1.157
07/31/97 5.05 25.33 03.95 1.279
08/29/97 5.14 24.10 04.15 1.239
09/30/97 4.95 25.35 03.94 1.255
10/31/97 4.97 24.50 04.08 1.218
11/28/97 5.14 25.69 03.89 1.320
12/31/97 5.16 22.25 04.49 1.148
01/30/98 5.04 22.44 04.46 1.131
02/27/98 5.09 28.36 03.53 1.444
03/31/98 5.03 29.84 03.35 1.501
04/30/98 4.95 30.16 03.32 1.493
05/29/98 5.00 29.57 03.38 1.479
06/30/98 4.98 24.66 04.06 1.228
07/31/98 4.96 24.35 04.11 1.208
08/31/98 4.90 20.61 04.85 1.010
09/30/98 4.61 22.01 04.54 1.015
10/30/98 3.96 24.03 04.16 0.951
11/30/98 4.41 25.79 03.88 1.137
12/31/98 4.39 27.92 03.58 1.226
01/29/99 4.34 29.00 03.45 1.259
02/26/99 4.44 27.60 03.62 1.225
03/31/99 4.44 28.58 03.50 1.269
04/30/99 4.29 29.29 03.41 1.257
05/28/99 4.50 29.10 03.44 1.310
06/30/99 4.57 30.71 03.26 1.403
07/30/99 4.55 29.75 03.36 1.354
08/31/99 4.72 28.66 03.49 1.353
09/30/99 4.68 28.15 03.55 1.317
10/29/99 4.86 29.93 03.34 1.455
11/30/99 5.07 29.54 03.38 1.498
12/31/99 5.20 31.49 03.18 1.638
01/31/00 5.32 29.85 03.35 1.588
02/29/00 5.55 27.57 03.63 1.530
03/31/00 5.69 29.98 03.34 1.706
04/28/00 5.66 28.61 03.50 1.619
05/31/00 5.79 27.16 03.68 1.573
06/30/00 5.69 28.46 03.51 1.619
07/31/00 5.96 27.91 03.58 1.663
08/31/00 6.09 28.70 03.48 1.748
09/30/00 6.00 26.88 03.72 1.613
10/31/00 6.11 26.09 03.83 1.594
11/30/00 6.17 24.00 04.17 1.481
12/31/00 5.77 24.20 04.13 1.397
01/31/01 5.15 24.59 04.07 1.266
02/28/01 4.88 22.65 04.42 1.105
03/31/01
04/30/01
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No. of Recommendations: 0
At the bottom of this post is a monthly table...

Oops!

In the original table I posted, some of the TBill yields are left-truncated (10.26 shows up as 0.26, etc), which messes things up. Sorry about that. Here is the corrected "trend" and "growth" projection:

Date Trend Growth
03/31/01 1.146 1.110
04/30/01 1.148 1.112

And here is the corrected table:

Date Tbill SP PE ErnYld Ratio
01/31/77 4.62 10.83 09.23 0.500
02/28/77 4.67 10.55 09.48 0.493
03/31/77 4.60 10.04 09.96 0.462
04/29/77 4.54 10.02 09.98 0.455
05/31/77 4.96 09.78 10.22 0.485
06/30/77 5.02 10.03 09.97 0.503
07/29/77 5.19 09.77 10.23 0.507
08/31/77 5.49 09.53 10.50 0.523
09/30/77 5.81 09.32 10.73 0.541
10/31/77 6.16 08.90 11.24 0.548
11/30/77 6.10 09.10 10.98 0.555
12/30/77 6.07 08.94 11.19 0.543
01/31/78 6.44 08.36 11.96 0.539
02/28/78 6.45 08.14 12.28 0.525
03/31/78 6.29 08.19 12.21 0.515
04/28/78 6.29 08.91 11.22 0.561
05/31/78 6.41 08.92 11.21 0.572
06/30/78 6.73 08.70 11.50 0.585
07/31/78 7.01 09.18 10.89 0.643
08/31/78 7.08 09.40 10.64 0.665
09/29/78 7.85 09.03 11.08 0.709
10/31/78 7.99 08.19 12.21 0.654
11/30/78 8.64 08.30 12.04 0.717
12/29/78 9.08 08.18 12.22 0.743
01/31/79 9.35 08.48 11.79 0.793
02/28/79 9.32 08.17 12.23 0.762
03/30/79 9.48 08.21 12.18 0.778
04/30/79 9.46 08.20 12.20 0.776
05/31/79 9.61 07.98 12.54 0.766
06/29/79 9.06 07.71 12.97 0.698
07/31/79 9.24 07.76 12.88 0.717
08/31/79 9.52 08.17 12.24 0.778
09/28/79 10.26 07.83 12.77 0.803
10/31/79 11.70 07.27 13.75 0.851
11/30/79 11.79 07.59 13.18 0.894
12/31/79 12.04 07.37 13.57 0.887
01/31/80 12.00 07.78 12.85 0.934
02/29/80 12.86 07.76 12.89 0.997
03/31/80 15.20 06.75 14.81 1.026
04/30/80 13.20 07.05 14.19 0.930
05/30/80 8.58 07.38 13.54 0.634
06/30/80 7.07 07.32 13.66 0.518
07/31/80 8.06 07.77 12.87 0.627
08/29/80 9.13 07.81 12.80 0.713
09/30/80 10.27 08.02 12.47 0.824
10/31/80 11.62 08.16 12.26 0.948
11/28/80 13.73 09.02 11.08 1.239
12/31/80 15.49 08.62 11.60 1.336
01/30/81 15.02 08.22 12.17 1.234
02/27/81 14.79 08.30 12.04 1.228
03/31/81 13.36 08.53 11.72 1.140
04/30/81 13.69 08.33 12.00 1.141
05/29/81 16.30 08.33 12.01 1.357
06/30/81 14.73 08.74 11.45 1.287
07/31/81 14.95 08.40 11.90 1.256
08/31/81 15.51 07.90 12.66 1.225
09/30/81 14.70 07.56 13.23 1.111
10/30/81 13.54 07.84 12.76 1.061
11/30/81 10.86 08.12 12.31 0.882
12/31/81 10.85 07.72 12.96 0.837
01/29/82 12.28 07.58 13.19 0.931
02/26/82 13.48 07.11 14.06 0.959
03/31/82 12.68 07.07 14.15 0.896
04/30/82 12.70 07.35 13.60 0.934
05/28/82 12.09 07.07 14.15 0.854
06/30/82 12.47 07.15 14.00 0.891
07/30/82 11.35 06.99 14.31 0.793
08/31/82 8.68 07.79 12.83 0.676
09/30/82 7.92 08.12 12.31 0.643
10/29/82 7.71 09.04 11.06 0.697
11/30/82 8.07 09.37 10.67 0.756
12/31/82 7.94 09.65 10.36 0.766
01/31/83 7.86 09.98 10.02 0.785
02/28/83 8.11 10.20 09.80 0.827
03/31/83 8.35 10.71 09.33 0.895
04/29/83 8.21 11.48 08.71 0.943
05/31/83 8.19 11.35 08.81 0.930
06/30/83 8.79 11.81 08.47 1.038
07/29/83 9.08 11.43 08.75 1.038
08/31/83 9.34 11.58 08.64 1.081
09/30/83 9.00 11.52 08.68 1.037
10/31/83 8.64 11.36 08.81 0.981
11/30/83 8.76 11.79 08.48 1.033
12/30/83 9.00 11.19 08.94 1.007
01/31/84 8.90 11.05 09.05 0.983
02/29/84 9.09 10.05 09.95 0.913
03/30/84 9.52 09.84 10.17 0.936
04/30/84 9.69 09.86 10.14 0.956
05/31/84 9.83 09.25 10.81 0.909
06/29/84 9.87 08.88 11.26 0.877
07/31/84 10.12 08.70 11.49 0.881
08/31/84 10.47 09.61 10.40 1.006
09/28/84 10.37 09.32 10.73 0.966
10/31/84 9.74 09.30 10.75 0.906
11/30/84 8.61 09.14 10.94 0.787
12/31/84 8.06 09.36 10.68 0.755
01/31/85 7.76 10.05 09.95 0.780
02/28/85 8.27 10.15 09.86 0.839
03/29/85 8.52 10.10 09.90 0.860
04/30/85 7.95 10.04 09.96 0.798
05/31/85 7.48 10.59 09.44 0.792
06/28/85 6.95 10.88 09.19 0.756
07/31/85 7.08 10.80 09.26 0.765
08/30/85 7.14 10.68 09.37 0.762
09/30/85 7.10 10.58 09.45 0.751
10/31/85 7.16 11.04 09.06 0.790
11/29/85 7.24 11.75 08.51 0.851
12/31/85 7.10 12.35 08.10 0.877
01/31/86 7.07 12.37 08.09 0.874
02/28/86 7.06 13.24 07.55 0.935
03/31/86 6.56 13.82 07.23 0.907
04/30/86 6.06 13.66 07.32 0.828
05/30/86 6.15 14.39 06.95 0.885
06/30/86 6.21 14.43 06.93 0.896
07/31/86 5.83 13.58 07.37 0.792
08/29/86 5.53 14.53 06.88 0.804
09/30/86 5.21 12.95 07.72 0.675
10/31/86 5.18 13.64 07.33 0.707
11/28/86 5.35 13.91 07.19 0.744
12/31/86 5.53 13.42 07.45 0.742
01/30/87 5.43 15.17 06.59 0.824
02/27/87 5.59 15.69 06.38 0.877
03/31/87 5.59 16.29 06.14 0.911
04/30/87 5.64 15.97 06.26 0.901
05/29/87 5.66 16.07 06.22 0.910
06/30/87 5.67 16.51 06.06 0.936
07/31/87 5.69 17.19 05.82 0.978
08/31/87 6.04 17.81 05.62 1.075
09/30/87 6.40 17.51 05.71 1.121
10/30/87 6.13 13.75 07.28 0.843
11/30/87 5.69 12.51 07.99 0.712
12/31/87 5.77 12.87 07.77 0.743
01/29/88 5.81 13.32 07.51 0.774
02/29/88 5.66 13.81 07.24 0.782
03/31/88 5.70 12.57 07.95 0.717
04/29/88 5.91 12.59 07.94 0.744
05/31/88 6.26 12.57 07.95 0.787
06/30/88 6.46 12.49 08.01 0.807
07/29/88 6.73 12.37 08.08 0.833
08/31/88 7.06 11.87 08.43 0.838
09/30/88 7.24 11.47 08.72 0.831
10/31/88 7.35 11.73 08.52 0.862
11/30/88 7.76 11.46 08.73 0.889
12/30/88 8.07 11.20 08.93 0.904
01/31/89 8.27 11.92 08.39 0.986
02/28/89 8.53 11.51 08.69 0.982
03/31/89 8.82 11.28 08.86 0.995
04/28/89 8.65 14.04 07.12 1.215
05/31/89 8.43 14.33 06.98 1.208
06/30/89 8.15 13.95 07.17 1.137
07/31/89 7.88 15.35 06.52 1.209
08/31/89 7.90 15.48 06.46 1.223
09/29/89 7.75 12.70 07.87 0.985
10/31/89 7.64 12.43 08.04 0.950
11/30/89 7.69 12.65 07.91 0.973
12/29/89 7.63 13.22 07.57 1.009
01/31/90 7.64 12.34 08.10 0.943
02/28/90 7.74 12.42 08.05 0.961
03/30/90 7.90 13.33 07.50 1.053
04/30/90 7.77 12.98 07.70 1.009
05/31/90 7.74 14.16 07.06 1.096
06/29/90 7.73 14.72 06.80 1.138
07/31/90 7.62 14.61 06.84 1.113
08/31/90 7.45 13.21 07.57 0.984
09/28/90 7.36 12.64 07.91 0.931
10/31/90 7.17 12.57 07.96 0.901
11/30/90 7.06 13.30 07.52 0.939
12/31/90 6.74 13.73 07.29 0.925
01/31/91 6.22 14.25 07.02 0.886
02/28/91 5.94 15.19 06.58 0.902
03/28/91 5.91 15.22 06.57 0.899
04/30/91 5.65 15.23 06.57 0.860
05/31/91 5.46 15.78 06.34 0.861
06/28/91 5.57 14.88 06.72 0.829
07/31/91 5.58 15.58 06.42 0.869
08/30/91 5.33 15.92 06.28 0.849
09/30/91 5.22 16.10 06.21 0.840
10/31/91 4.99 16.30 06.14 0.813
11/29/91 4.56 15.64 06.39 0.713
12/31/91 4.07 17.95 05.57 0.730
01/31/92 3.80 17.50 05.71 0.665
02/28/92 3.84 17.56 05.70 0.674
03/31/92 4.04 17.97 05.57 0.726
04/30/92 3.75 18.48 05.41 0.693
05/29/92 3.63 18.54 05.39 0.673
06/30/92 3.66 18.09 05.53 0.662
07/31/92 3.21 18.84 05.31 0.605
08/31/92 3.13 18.56 05.39 0.581
09/30/92 2.91 18.56 05.39 0.540
10/30/92 2.86 18.57 05.39 0.531
11/30/92 3.13 18.74 05.34 0.586
12/31/92 3.22 18.92 05.29 0.609
01/29/93 3.00 18.99 05.27 0.570
02/26/93 2.93 17.81 05.61 0.522
03/31/93 2.95 18.16 05.51 0.536
04/30/93 2.87 17.50 05.72 0.502
05/28/93 2.96 17.41 05.74 0.515
06/30/93 3.07 17.53 05.71 0.538
07/30/93 3.04 17.39 05.75 0.529
08/31/93 3.02 17.74 05.64 0.536
09/30/93 2.95 17.57 05.69 0.518
10/29/93 3.02 17.73 05.64 0.536
11/30/93 3.10 17.84 05.61 0.553
12/31/93 3.06 18.00 05.56 0.551
01/31/94 2.98 18.48 05.41 0.551
02/28/94 3.25 17.40 05.75 0.565
03/31/94 3.50 16.67 06.00 0.583
04/29/94 3.68 16.82 05.95 0.619
05/31/94 4.14 16.45 06.08 0.681
06/30/94 4.14 16.05 06.23 0.664
07/29/94 4.33 16.54 06.04 0.716
08/31/94 4.48 16.73 05.98 0.750
09/30/94 4.62 16.28 06.14 0.752
10/31/94 4.95 16.05 06.23 0.794
11/30/94 5.29 15.11 06.62 0.799
12/30/94 5.60 15.22 06.57 0.852
01/31/95 5.71 15.60 06.41 0.891
02/28/95 5.77 15.31 06.53 0.883
03/31/95 5.73 15.60 06.41 0.894
04/28/95 5.65 15.95 06.27 0.901
05/31/95 5.67 15.69 06.37 0.890
06/30/95 5.47 15.96 06.26 0.873
07/31/95 5.42 16.27 06.15 0.882
08/31/95 5.40 15.58 06.42 0.841
09/29/95 5.28 16.23 06.16 0.857
10/31/95 5.28 16.18 06.18 0.854
11/30/95 5.36 16.56 06.04 0.888
12/29/95 5.14 16.90 05.92 0.869
01/31/96 5.00 17.40 05.75 0.870
02/29/96 4.83 17.68 05.66 0.854
03/29/96 4.96 17.93 05.58 0.890
04/30/96 4.95 18.20 05.49 0.901
05/31/96 5.02 18.33 05.46 0.920
06/28/96 5.09 18.41 05.43 0.937
07/31/96 5.15 17.49 05.72 0.901
08/30/96 5.05 17.49 05.72 0.883
09/30/96 5.09 18.38 05.44 0.935
10/31/96 4.99 18.88 05.30 0.942
11/29/96 5.03 19.73 05.07 0.992
12/31/96 4.91 19.44 05.14 0.955
01/31/97 5.03 20.67 04.84 1.039
02/28/97 5.01 20.81 04.80 1.043
03/31/97 5.14 19.89 05.03 1.022
04/30/97 5.16 21.19 04.72 1.093
05/30/97 5.05 22.50 04.44 1.136
06/30/97 4.93 23.47 04.26 1.157
07/31/97 5.05 25.33 03.95 1.279
08/29/97 5.14 24.10 04.15 1.239
09/30/97 4.95 25.35 03.94 1.255
10/31/97 4.97 24.50 04.08 1.218
11/28/97 5.14 25.69 03.89 1.320
12/31/97 5.16 22.25 04.49 1.148
01/30/98 5.04 22.44 04.46 1.131
02/27/98 5.09 28.36 03.53 1.444
03/31/98 5.03 29.84 03.35 1.501
04/30/98 4.95 30.16 03.32 1.493
05/29/98 5.00 29.57 03.38 1.479
06/30/98 4.98 24.66 04.06 1.228
07/31/98 4.96 24.35 04.11 1.208
08/31/98 4.90 20.61 04.85 1.010
09/30/98 4.61 22.01 04.54 1.015
10/30/98 3.96 24.03 04.16 0.951
11/30/98 4.41 25.79 03.88 1.137
12/31/98 4.39 27.92 03.58 1.226
01/29/99 4.34 29.00 03.45 1.259
02/26/99 4.44 27.60 03.62 1.225
03/31/99 4.44 28.58 03.50 1.269
04/30/99 4.29 29.29 03.41 1.257
05/28/99 4.50 29.10 03.44 1.310
06/30/99 4.57 30.71 03.26 1.403
07/30/99 4.55 29.75 03.36 1.354
08/31/99 4.72 28.66 03.49 1.353
09/30/99 4.68 28.15 03.55 1.317
10/29/99 4.86 29.93 03.34 1.455
11/30/99 5.07 29.54 03.38 1.498
12/31/99 5.20 31.49 03.18 1.638
01/31/00 5.32 29.85 03.35 1.588
02/29/00 5.55 27.57 03.63 1.530
03/31/00 5.69 29.98 03.34 1.706
04/28/00 5.66 28.61 03.50 1.619
05/31/00 5.79 27.16 03.68 1.573
06/30/00 5.69 28.46 03.51 1.619
07/31/00 5.96 27.91 03.58 1.663
08/31/00 6.09 28.70 03.48 1.748
09/30/00 6.00 26.88 03.72 1.613
10/31/00 6.11 26.09 03.83 1.594
11/30/00 6.17 24.00 04.17 1.481
12/31/00 5.77 24.20 04.13 1.397
01/31/01 5.15 24.59 04.07 1.266
02/28/01 4.88 22.65 04.42 1.105

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No. of Recommendations: 0
The historical data posted in #97724 and methodology supplied by arezi in post #97900 is the most useful information that I have seen anywhere.

Thanks arezi

W Smith
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No. of Recommendations: 0
My previous post had a typo. Sorry for any inconvience. This is correct.

The historical data posted in #97724 and methodology supplied by arezi in post #97750 is the most useful information
that I have seen anywhere.

Thanks arezi

W Smith
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No. of Recommendations: 3
When that ratio is over 1.25, reduce exposure to stocks. When it's under 0.75, increase exposure. ... So a more sophisticated application would be to do a regression of that trend over the past 50 or so years and measure deviations from the trend in std dev.

I used much less data than arezi recommends (only from 1977 and only monthly, instead of 50 years worth of weekly data to do a regression), so my signals may well be bogus. But...

The bad news: this gives a "reduce exposure" signal starting on 12/31/1998 and continuing thru 11/30/2000. So you miss all of 1999. Is that right, arezi?

No signal on 9/30/1987, as the ratio was only 1.12. Less than 1 sd over the regression line.

Jim
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No. of Recommendations: 1
"The bad news: this gives a "reduce exposure" signal starting on 12/31/1998 and continuing thru 11/30/2000. So you miss all of 1999."

True, but if your strategy called for being either fully invested (no taking profits) or fully in cash, based on that signal you would be ahead right now.
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No. of Recommendations: 1
"The bad news: this gives a "reduce exposure" signal starting on 12/31/1998 and continuing thru 11/30/2000. So you miss all of 1999."
============================
True, but if your strategy called for being either fully invested (no taking profits) or fully in cash, based on that signal you would be ahead right now.


That certainly wouldn't be true in my case. My MI portfolio is still up more than 150% from the end of 1998.

Elan
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No. of Recommendations: 0
"The bad news: this gives a "reduce exposure" signal starting on 12/31/1998 and continuing thru 11/30/2000. So you miss all of 1999."
============================
True, but if your strategy called for being either fully invested (no taking profits) or fully in cash, based on that signal you would be ahead right now.

"That certainly wouldn't be true in my case. My MI portfolio is still up more than 150% from the end of 1998."


Excellent for an active trading portfolio. And I suspect, atypical. My observation was based on using the QQQ's or SPY's as as proxy of return for most investors.
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No. of Recommendations: 1
That certainly wouldn't be true in my case. My MI portfolio is still up more than 150% from the end of 1998.

======

Elan,

How is that?

What did you do so differently from the rest of the market, and from the rest of us with diversified MI screen blends who are now below where they were back then?

Have you been using a monthly SOS-Elan during that time?

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No. of Recommendations: 1
That certainly wouldn't be true in my case. My MI portfolio is still up more than 150% from the end of 1998.

======

Elan,

How is that?


I dunno. Luck? ;-) I just followed the screens.

What did you do so differently from the rest of the market, and from the rest of us with diversified MI screen blends who are now below where they were back then?

What I did different from the market is to follow MI. I think many if not most MI screens are up substantially since the end of 1998.

Have you been using a monthly SOS-Elan during that time?

Since this question has been asked often, someone was good enough to assemble the related messages at #19858 on the FW board.

Elan
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No. of Recommendations: 1
I ran a Jan. '99 - Apr. '01 backtester trading simulation for the RS screens; using a 5 stock monthly strategy with a 28%/5% Federal-State tax base, paid quarterly, (all other parameters left at default).

$10,000 start:

RS4 $11,224.00
RS13 $21,611.00
RS26 $15,286.00
RS52 $23,309.00
RS52/26 $10,267.00
RSCAP $11,195.00
RSFOG $20,597.00
RSIBD $16,657.00
RSW $20,253.00
RSWEPS $10,472.00

None nominally lost money. 4 of the ten were no better than an interest instrument.


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No. of Recommendations: 9
What I did different from the market is to follow MI. I think many if not most MI screens are up substantially since the end of 1998.

Have you been using a monthly SOS-Elan during that time?

Since this question has been asked often, someone was good enough to assemble the related messages at #19858 on the FW board.

=======

Elan,

Your kidding right? My standard Killer Portfolio (without any margin, options or other "juice"), the performance of which has been reported weekly during that entire time, is just about where it was at the end of 1998.

In 1999, it held PEG, KeyEPS, Spark and BSP; in 2000 it held PEG-Overlap, PEG-Annual, Plowback, Key100, and Spark; in 2001 it held a PEG/RS Switch, CAPRS, PEG, RSCAP, Plowback, and LPBV. The returns by year were +55%, -25%, and -18% YTD, leaving me at about 2% higher than at the end of 1998. I followed the screens verbatum.

You expect me to look through a string of more than a dozen posts identified in the link above to get a thumbnail response to why your results are so different? Thanks alot!
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No. of Recommendations: 5
In 1999, it held PEG, KeyEPS, Spark and BSP; in 2000 it held PEG-Overlap, PEG-Annual, Plowback, Key100, and Spark; in
2001 it held a PEG/RS Switch, CAPRS, PEG, RSCAP, Plowback, and LPBV. The returns by year were +55%, -25%, and -18% YTD, leaving me at about 2% higher than at the end of 1998. I followed the screens verbatum.


Well, I followed the screens and had returns of 172%, 19%, and -16.75% for 1999, 2000 and YTD.

You expect me to look through a string of more than a dozen posts identified in the link above to get a thumbnail response to why your results are so different? Thanks alot!

I don't expect you to do anything. As you can see from that message, I've already answered such questions at least a dozen times. Actually a lot more. And I've never gotten such a rude response when pointing someone to an existing answer.

Elan
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No. of Recommendations: 8
The appearance of Trolls used to mark our market bottoms. Now, hopefully, it will be the petty sniping amongst our more respected regulars that will signal the turn-around. We are all affected by what is happening and a little irritated.
BAGoldmann:
1999, it held PEG, KeyEPS, Spark and BSP; in 2000 it held PEG-Overlap, PEG-Annual, Plowback, Key100, and Spark; in
2001 it held a PEG/RS Switch, CAPRS, PEG, RSCAP, Plowback, and LPBV. The returns by year were +55%, -25%, and -18% YTD, leaving me at
about 2% higher than at the end of 1998. I followed the screens verbatum.
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Elann:
Well, I followed the screens and had returns of 172%, 19%, and -16.75% for 1999, 2000 and YTD.
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BAGoldmann:
You expect me to look through a string of more than a dozen posts identified in the link above to get a thumbnail response to why your results are so
different? Thanks alot!
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Elann:
I don't expect you to do anything. As you can see from that message, I've already answered such questions at least a dozen times. Actually a lot more. And
I've never gotten such a rude response when pointing someone to an existing answer.


I think that I can settle this.
My returns agree with BAGoldmann. There are simple explanations for the difference. You will notice that we are all doing about the same in 2001. In 1999, my returns were hurt about I was 50% MI and 50%RB-RM (which underformed). Ben did a lot of yearlys while Elann traded more often. 1999 was the year of JDSU, QCOM, TTN and getting into these stocks at the beginning of their run can account for the entire difference.
In 2000, it was a different story. Remember, all of our portfolios peaked March 10th. Elann didn't peak until September. The 1st 2 1/2 months of the year, we were up 30-35%. Between Mid-March and June we lost it all back, and then rallied about 20-25% till September, when everything fell apart for everyone. I rember this time distinctly, beacause it caused me to switch from Ben's approach to a SOS approach.
Between Mid-March and June all the Peg and RS screens started to lose their big Tech movers (NEWP, SDLI etc.). When the market started to rally, these stocks and others of its kind went up 50-100% ( check the boards at that time for all the moans and groans at that time). People using traditional Peg, RS, and overlaps were stuck in stocks which were stagnant. Anyone in an SOS still had these stocks in their portfolio.

That is the entire difference, gentlemen.

Now, can we all please just get along.

piranha1
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No. of Recommendations: 3
In addition to the reasons I posted on reply #98103, for Elann's out-performance, there is one other factor.
When we were getting run over by the freight train with agressive approaches, he became more conservative and incorporated LPB into his portfolio.
That is the valuable lesson I learned.

piranha1
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Your arezi ratio report is a high quality, you should have IMHO an MBA

http://www.aetheling.com/MI/AreziRatio.html


If you want to access the database i am holding you can check all variables here

http://www15.brinkster.com/plarmuseau/Generic.asp?SQL=SELECT%20*%20FROM%20Ticker%20WHERE%20Ticker='AFL'


and you can post any kind of SQL query in that SQL box...

example
SELECT * FROM (SELECT * FROM (SELECT * FROM (SELECT * FROM (SELECT * FROM [Ticker] WHERE tim>=left('12',1) and tim<=right('12',1)) WHERE cpe>0) WHERE cfl>0) WHERE peg>=0) WHERE pri/h52>.90

which is the translation of that query
http://www15.brinkster.com/plarmuseau/zoekSB.asp?SB=SBm89020101T12XcpeG0XcflG0XpegGE0XpriDh52G.90

which is direct translatable in Jamies backtest engine
http://www.backtest.org/SBm89020101T12XcpeG0XcflG0XpegGE0XpriDh52G.90
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