March 2018 Performance Report

Industry Benchmark Performance Due to the holiday, equity performance has not yet been updated. We will post industry performance as soon as it is available. Futures posted minor losses in March, similar to our own performance. This will also be updated. Blogs and Recent Publications Find this at the end of this report. We post new interviews and reference new articles each month. March … [Read more...]

February 2018 Performance Report

Industry Benchmark Performance We would like to see futures profitable when the stock market drops, but that’s not yet the case. If equities keep moving lower, futures programs will short the equity index markets and, with leverage, produce enough profits to offset stock losses. That doesn’t happen at the start of a sell-off, and we have no reason to believe (yet) that the sell-off will … [Read more...]

January 2018 Performance Report

Industry Benchmark Performance In the table below, January’s returns are shown in the left column, and the 2017 returns to the right. A good start for 2018, especially for futures. Equity hedge funds gained from 1.93% to 3.37% for program similar to ours, although ours were up by 6% to 8% in January. Also, one of the best starts in futures for the industry, ranging from 4% to 6%, but falling … [Read more...]

December 2017 Performance Report

Industry Benchmark Performance Another good month for the hedge fund index, but lagging 10% behind the S&P. Long-only equities did a bit better while other equity funds posted good, but lower returns. We understand that the purpose of the funds is to have steady returns and protect against drawdowns. If that works, then a lower profit in 2017 is easy to accept. CTAs ended, on average, … [Read more...]

What Are the Odds That You’ll Survive the Next Price Shock?

Don’t you wonder, when you invest in the stock market, “What are the odds that I’ll be successful?” and “What are the odds that I’ll be wiped out by some price shock?” Actually, it sounds better when it’s in a positive way, but it’s just the other side of the old “risk of ruin.” If there is a 25% chance of reaching the maximum you are willing to risk, then there is a 75% chance of achieving your … [Read more...]

Living Off Profits

Our daughter trades, but she needs to make enough to live on. That bothers me because withdrawals constantly drain the account and makes it impossible to compound the returns, the key to accumulating wealth. I’m sure she’s not the only trader with that problem. The question that I ask is, “how much can you withdraw and still keep trading?” Let’s take a simple example, using the SPDR SPY from … [Read more...]

History Matters, A Primer for Controlling Systematic Risk

I am always impressed by the detailed analysis of the TV financial commentators about yesterday’s market action. But then I remind myself that it was yesterday, not today or tomorrow. I read a lot of articles on forecasting, admittedly a difficult task. But there are some forecasts that are better than others. Recently, an attempt to forecast the lows in a popular stock was based on comparing … [Read more...]

Low Volatility — High Returns?

It doesn’t seem possible and defies most financial theory. We’ve always learned that higher returns require higher risk. How is it possible to get more from less? But during the past few months there have been two articles that have gotten publicity, Moreira and Muir, Volatility Managed Portfolios (Yale, 2016), and Bilello, The volatility cycle (Proactive Advisor Magazine, May 18, 2016). Price … [Read more...]

Matching the Markets to the Strategy

At the risk of being too “geeky,” not all markets will be profitable with all systems. Part of being successful trading is to know which strategies to apply to which markets. We can never be perfect because economics and supply/demand can change, but most markets can be put into a category that favors one trading method over another. For example, if you’re a macrotrend trader, holding positions … [Read more...]

Dogging the DOW, Debunking Myths

Besides showing a new trading strategy, we'll look at why these statements aren't true: Large companies cannot grow at the same rate due to their own weight Dogs of the Dow are a good investment because company performance rotates Arbitraging using only DOW stocks is a fool’s errand Analysts seemed to have looked at the Dow Industrials (DOW) in every way imaginable, trying to eke out … [Read more...]

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