That’s what I get for saying a new high was on the horizon. Down 0.8% for the week. Stock Volatility is quite low, and bonds are not, which is why the Portfolio keeps moving more into socks over the last few weeks. Sometimes this pattern doesn’t end well for stocks (Jan 2018, Oct 2018), but…
What is the Expected Return?
Everyone agrees on the expected values at the extremes – it’s the middle that confuses people. For a single period, the expected value is the arithmetic average. Over a very long time (infinite), the expected value is the geometric average. But in-between the expected value becomes less obvious. Let’s shed some light on this problem.…
Portfolio on 11.1.19
Good week, up 1.4%. The strategy is nearly at a new all time high (less than a tenth of a percent to go). So while the S&P 500 set new highs this week, geometric balancing followed right there with it. Of course my high was set in early September, not late July. These concepts really…
Portfolio on 10.25.19
Up half a percent for the week. Slow steady gains, and slowly moving more into equities. On October 25th, 2019, the portfolio rebalanced to: 56% SPY , 32% TLT , 12% GLD
Randomness in Momentum Everywhere
Randomness explains much of the “Momentum Effect” in stocks. Yes, you read that correctly, much of the evidence for momentum can actually be explained through randomness. In part 2 of my evaluation of momentum, I’m going to show you how. Randomness (and Rebalancing) Hiding In Plain Sight In my post on when you eat matters…
Portfolio on 10.18.19
Up 0.15% for the week. Pretty tame week. Volatility has come down across the board and now the portfolio is now pretty close to average. On October 18th, 2019, the portfolio rebalanced to: 52% SPY , 32% TLT , 16% GLD
Portfolio on 10.11.19
Down two thirds of a percent for the week. All asset’s have higher than average volatility right now. On October 11th, 2019, the portfolio rebalanced to: 47% SPY , 25% TLT , 18% GLD , 10% CASH
Portfolio on 10.4.19
Thanks to a strong close, Geometric Balancing gained 0.4% for the week. Bonds are becoming more correlated with stocks. So they provide less benefit to the portfolio, and gold comes back in. Since nearly everything is increasing in volatility, cash comes back in as well in order to control potential draw down. On October 4th,…
Stochastic Efficiency is Real and It’s Spectacular.
Have you ever read something, and instantly thought, that just blew my mind. Well this post is about one of those moments for me, and hopefully it will be the same for you as well. I’m also going to introduce you to the brilliance of Ole Peters and Alexander Ademou and their work on Ergodicity.…
Portfolio on 9.27.19
Down 3/4th of a percent for the week. Only bond up for the week, and not that much. September hasn’t been the best month but – as I said a few weeks ago – after the great august, I expected it to cool off for a bit. On September 27th, 2019, the portfolio rebalanced to:…