Hello Robert, Have you ever looked into Universa (Mark Spitznagel/Nassim Taleb) tail hedging fund? According to them you could beat the market by simply investing 96.67% into S&P 500 + 3.33% Universa Tail Hedge (CAGR 11.5% vs S&P 500's 7.9% since inception in 2008 March). What's more, that caught my attention, were claims that this beats S&P 500 diversified with Hedge Fund Index or CTA Index: What's your take on this? Could this mean there is a simpler way to achieve superior returns and active management is just a "mug's game"?
Yesterday evening I noticed that there's no usual email when Sunday evening trading should start, tried to connect - the trading computer was frozen solid.. A very rare occurrence, but it happened maybe once or twice before in the last couple of years. My UPS can control it's power outlets, and it's available remotely over 2 independent physical routers (one regular connection, the other is 4g), so I can reboot the infrastructure remotely like that, still there's probably some possibility that multiple things could freeze and I loose the access while away for several weeks.. But in the grand schema of things, I can probably treat it as just another minor risk among others..
You could set it to reboot every weekend, so even if you are lost in the desert for a few months, the most it would be offline is one week.
I'm reading "Stocks on the move", and the strategy described there seems really good! At least for someone like me who also has a long-only portfolio. It's a simple stock momentum strategy. We just rank stocks according to their momentum and buy the top-performers. + there are several additional rules: we never go short and we have a simple regime filter - the parent-index (from which we select the stocks) should be above it's 200-day moving average to open new positions. I.e. we don't buy new stocks in bear markets. There's also of course some simple position-sizing rules based on volatility of each stock, and a simple stop loss rule - if the stock goes below it's 100-day moving average, gaps 15% or gets excluded from the index - we sell it (recent gaps also disqualify new stocks from being bought - we like steady performers, not wild swings). The results are simply awesome: every metric (return, max drawdown..) is ~2 times better comparing to buy-and-hold the same index (which I'm doing right now, though, in a more diversified manner). We're not talking about +20% every year of course, but it appears to beat the index with a wide margin. Also, the strategy isn't doing anything that could be "really wrong" - i.e. we're buying multiple stocks from a large index. I mean yes, sometimes we're staying in cash while the index is tanking, so we might miss on a big recovery, but that saves us from some risk.. So it appears that at least re-allocating a certain portion of a long-term portfolio to this strategy seems like a no-brainer. Apart from needing to do some coding to implement all of this, which in my case is actually a positive thing, as I was looking for something fun to do . The book was written in 2015, so first of all I'm going to backtest this strategy all the way to the current date and see how it performed out of sample, but from the general principles, this seems to be a strategy that relies on broad fundamental things and should probably work "forever". Also, the actual technical details of the strategy seem quite simplistic, maybe because the book was written for a very wide audience who might be easily scared by words like standard deviation, so maybe there's some room for improvement there, g.e. instead of 200-day moving average on the index, we could use the combined forecast form the existing futures trading system on the corresponding index-futures (i.e. only but the individual stocks if the combined index-future forecast is > 0 ). Also, maybe try to diversify across time with multiple rules for determining individual stock-momentum, instead of using just one 90-day lookback.. I also heard of a research which suggested excluding the most recent (1 month?) history when estimating stock momentum, because stocks actually tend to mean-revert more than trend in this time-frame (which actually might suggest adding another small counter-trend rule to the mix, which buys recent pullbacks..). Also, I wander what indexes are the best candidates to do this, regular S&P500, or maybe a wider (world-stocks) index, or maybe a small-cap one, specifically from the perspective of combining this with the a regular diversified buy-and-hold portfolio.. But mostly I'm interested if there are any reasons for NOT doing this (i.e. replacing a part of a long-only well-diversified (20%world bonds, 75% world stocks 5%gold) portfolio with such a stock-momentum strategy)?
Some of them were, from Sunday evening until Monday noon time (US time zone). Then halted until 5PM and re-opened, to continue the overnight trading until Tuesday. So you had something which looks like an extended overnight session. Trading volume was low, like any overnight session.