Financial

Congress renews tax breaks in year-end legislation

December 29, 2015
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The Protecting Americans from Tax Hikes Act of 2015 was signed into law on December 18, 2015. The law renews a long list of tax breaks known as "extenders" that have been expiring on an annual basis. This legislation makes some of the rules effective through December 31, 2016. Others are effective through 2019, and…

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How “Robust” is the ITA Wealth Momentum Strategy? – Part 3

July 8, 2015
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How “Robust” is the ITA Wealth Momentum Strategy? – Part 3

Using Pseudo Price Profiles in lieu of Additional In-Sample Data Testing We have emphasized, many times, the dangers of (over) optimization when considering the results of back-tests to determine the “best” values to use when choosing parameters for a system designed for forward trading/investment. In Part 2 of this study we presented the results of a…

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Using Tranching to Mitigate “Timing Luck”

July 7, 2015
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Using Tranching to Mitigate “Timing Luck”

  Using Tranching to Mitigate “Timing Luck” 7/6/2015 Ernie Stokely ITA Wealth members are hopefully now all aware of the effect over time of the choice of the rebalancing (checkup) date on portfolio return. Some check dates give better results than others, and there is no way to know a priori what “good” dates will…

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Tranche Investing: A Rebalancing Model to Reduce Luck

July 6, 2015
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Tranche Investing: A Rebalancing Model to Reduce Luck

Physics of Hotwheels – circa 1970. Tranche is a French word meaning “to slice or section.”  When I see this term I immediately think of Fidelity Investments as this is exactly what they did with their mutual funds in the 1980s when they created their select funds.  The idea was to divide the market into…

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Biggs and Boston Brass: CD Recommendation for Week of 7 June 2015

June 7, 2015
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Biggs and Boston Brass:  CD Recommendation for Week of 7 June 2015

The Antiphonal Music of Gabrieli is my classical music recommendation this week.  Grab this CD if you can find any available, particularly if you like early music.  Giovanni Gabrieli (1557 – 1612) spans the period from early music into the Baroque Era.  Just in case this CD is unavailable, a good substitute is Arcangelo Corelli’s…

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Bullish Percent Indicators: 6 June 2015

June 6, 2015
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Bullish Percent Indicators:  6 June 2015

The following Bullish Percent Indicator data butts up against my intuition as I thought the markets would show greater decline than what is actually reported below.  Granted, most of the strength is showing up in tech stocks or the NASDAQ.  However, the Dow Jones Transportation Average (DJTA) shifted from defense over to offense.  That is…

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When to Exit an Existing Position when the Market Turns South?

June 4, 2015
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When to Exit an Existing Position when the Market Turns South?

The subject of this Post is one we all face at some point in our portfolio management experience – and there isn’t a simple answer – but this Post describes some of the things I look at when making this decision. Regular readers of my Posts will know that I like to hedge my portfolios…

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Preparing for Kepler Review

June 4, 2015
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Preparing for Kepler Review

In preparation for the Kepler portfolio update, due tomorrow, I decided to take a look at the Efficient Frontier and current ETF rankings to see if any securities need to be sold.  A few changes are recommended for the Kepler as readers will see from the ETF ranking table. Kepler Efficient Frontier:  Since the last…

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Look-Back Periods With Bogleheads Three

June 2, 2015
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Look-Back Periods With Bogleheads Three

In his Dual Momentum book, Gary Antonacci makes a major issue of the 12-month look-back period.  In the SAS 7.1.x spreadsheet we use a shorter look-back and it is a combination of 91- and 182-calendar days plus a 20% weight assigned to volatility.  These are the default settings and they can be adjusted.  In this…

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Dual Momentum Sector Plus Model

June 1, 2015
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Dual Momentum Sector Plus Model

Balanced Rock in Arches National Park near Moab, Utah It is best to ride the horse in the direction it is already going. “My favorite dual momentum strategy is one that rotates among the strongest U.S. stock market equity sectors.”  This statement by Gary Antonacci led me to consider the “Sector Plus” model.  As yet,…

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