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Category: Avoid the Losers

Alternative Time Windows for Evaluating Performance

Dec 22, 2011

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by

tom_anichini

in Asset Allocation, Avoid the Losers, Dynamic Asset Allocation, Managing Volatility, Portfolio Risk, Reconstructed Return, SMA rule

Dynamic Trading Rules: Change the Time Window and a Different Picture Emerges Further examining a 200-day Moving Average (200MA) strategy for mitigating downside risk, I was recently examining how the picture changes when you alter the time window for assessing these strategies. Below is a scatterplot of a dynamically managed strategy using 200MA (vertical…
Market Timing or Dynamic Risk Management?

Dec 12, 2011

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by

tom_anichini

in Asset Allocation, Avoid the Losers, Dynamic Asset Allocation, Managing Volatility, Portfolio Risk, Stocks for the Long Run, Uncertainty

Institutional investors have long been indoctrinated with the notions of stocks for the long run and the importance of remaining fully invested. As I touched on stocks for the long run in an earlier post, in this one I will address remaining fully invested. The argument in favor of remaining fully invested went like…