Quant Macro Investing

Risk Taking Disciplined

Tactical Asset Allocation Based on the Yield Curve

Check it out:

Tactical Asset Allocation Based on the Yield Curve




November 23, 2009 Posted by | Case Study | Leave a comment

Automated trading champ (ATC)

Have you developed something quant model to trade?  If you are good, people will beat the path to your door.  Apparently there is a competition ATC – see below:



Technical Profiles of Gold vs Silver, the US Dollar vs Gold and the US Dollar with highlights from an interview with the winner of the 2008 Automated Trading Championship

November 19, 2009 Posted by | ABCs for Quant | 4 Comments

Bond market

Jim Rogers sees the only obvious bubble to him now is the government bond market.  There are reports that when it collapses, it would just be very fast.  Would be helpful to see what happened historically…


From FT about JGBs – see the video below time around 2.05-2.20 mins:



Also, check out what Prof Steven Cheung said earlier:





November 15, 2009 Posted by | Case Study | Leave a comment

Tracking China bubble (if any)

See the post

Chanos bearish on China


How to track if China is a bubble?  How to explain the following?  Would it just be a time lag between car sales  and gasoline sales?

(Politico.com) Gordon Chang, author of “The Coming Collapse of China,” wrote in Forbes at the end of October. “More important, it is unlikely that [third-quarter] expansion was anywhere near the claimed 8.9 percent.”


Chang argues that inconsistencies in Chinese official statistics — like the surging numbers for car sales but flat statistics for gasoline consumption — indicate that the Chinese are simply cooking their books. He speculates that Chinese state-run companies are buying fleets of cars and simply storing them in giant parking lots in order to generate apparent growth.

November 15, 2009 Posted by | Case Study | 1 Comment


Today HKEJ (p.11)

I wonder what info we can get on QDII investment (their top stock holdings?).  How frequent would the info be available (monthly?).




November 10, 2009 Posted by | Indicator setup | 2 Comments

Protected: FT – The herd vs the reward, or in praise of contrarian investing

This content is password protected. To view it please enter your password below:

November 5, 2009 Posted by | Uncategorized | Enter your password to view comments.

Protected: FT: Fake handsets threaten brands

This content is password protected. To view it please enter your password below:

November 5, 2009 Posted by | Internal Research | Enter your password to view comments.

Market Folly portfolio ranked No.1 in …

I wonder what the others are doing (rank No.2, 3, 4, etc).

Full text



We have some fantastic news to report in that our very own Market Folly custom ‘hedgefundesque’ portfolio is ranked #1 on Alphaclone’s leaderboard for all fund strategies! Upon checking out their leaderboard, we discovered that if you select the ‘max’ date-range and search for 50% hedged strategies, our clone is ranked #1 out of all the various funds they track with a total return of 878.3%, an annualized return of 26.1%, and Alpha of 23.4 all since January of 2000. This of course is the portfolio we post updates on each month. The portfolio takes positions from 3 handpicked hedge funds we’ve selected and combines them into a cohesive hedgefundesque clone by taking the top 3 holdings of each fund, equal weighting them, and then employing a 50% market hedge.

Read more: http://www.marketfolly.com/2009/11/market-folly-custom-portfolio-ranked-1.html#ixzz0Vtg7L4UQ

November 4, 2009 Posted by | Indicator setup | Leave a comment

The Best Simple Gold Indicator Around



By Dr. Steve Sjuggerud

Just over 2% per year… that’s all gold has gained since the end of 1979.

Gold sure hasn’t done much.

If you look over the last 41 years, gold performed better… about 8% per year. It did well in the 1970s because of inflation fears – similar to fears we have now. Then gold did nothing for the 1980s and 1990s.

Today, I’ll share with you an incredibly simple gold indicator that does an amazing thing… It captures the upside in gold, and it actually makes money when gold does nothing.

For the conclusion up front, this chart tells the story… The gold line is the price of gold, and the black line is the simple gold indicator. If you invested $10,000 using this indicator, it turned into $1.28 million.

As you can see, the gold indicator kept up with the price of gold in the 1970s… Then when gold went to sleep for 20 years, this indicator kept making money. And now that gold is going again, you’re making big money.

The indicator is incredibly simple, too… It requires less than an hour of work a year to follow. Yet, since 1968, when this indicator said “buy,” the price of gold rose at a compound rate of over 17% per year. And when this indicator said “move to cash,” gold fell at a compound rate of worse than 2% per year.

The indicator is simple. You look at the price of gold once a month. You buy (or keep holding) if the price of gold is above its nine-month average. And you move to cash if it’s below its nine-month average.

There’s nothing magical about the nine-month average, by the way… You can use the eight-month, 10-month, and 11-month averages for “buy” signals, too. Same goes for the “move to cash” signals.

Testing this indicator since the end of 1979 gives similarly good results. In “move to cash” mode, the price of gold lost about 3% compounding per year. And in “buy” mode, gold gained around 7.5% compounding per year.

While 7.5% compound annual gains in buy mode since the end of 1979 doesn’t sound as sexy as 17% a year since 1968, keep this in mind: Without this indicator, gold has only compounded at 2.3% a year since the end of 1979.

I’ve loaded you up with numbers here, but the concept is actually simple…

Own gold when it’s above its nine-month average. Move to cash (earning interest) when it’s below its nine-month average. Doing this simple thing since 1968 would have turned $10,000 into $1.28 million – for a compound annual gain of 12.5%.

The secret to the indicator, of course, is that it limits the pain of your bad years.

Consider this table of the 10 worst 12-month periods for the price of gold compared to how the simple indicator performed during those 12-month periods. Gold lost over 30% in every case. The worst the indicator performed was a 3% loss. Take a look (bottom):

I can’t take credit for this simple indicator. My friend Mebane Faber wrote about a similar system in his book, The Ivy Portfolio. In that book, Meb describes why it works:

“When markets are declining people become more fearful and use a different part of their brain than during periods when markets are going up,” he writes. So the reason it works is “rooted in human psychology.”

Meb says it’s “simple” and “timeless.” And he’s right.

You can make it a lot more complicated. But simple is elegant. A few minutes a year turned $10,000 into $1.28 million over 41 years, without any number gymnastics. Why make it more complicated?

Right now, the simple gold indicator says “buy.”

Good investing,


End of 12-month period                                                                                   Simple Gold Indicator             Gold

3/31/1982 14% -37%
9/30/1981 -3% -36%
8/31/1976 5% -36%
6/30/1981 -3% -34%
11/30/1981 7% -34%
7/31/1981 3% -34%
8/31/1981 2% -32%
5/31/1982 13% -32%
7/30/1976 5% -32%
12/31/1981 14% -32%

November 4, 2009 Posted by | Case Study | 4 Comments

Protected: Global growth surprise index

This content is password protected. To view it please enter your password below:

November 4, 2009 Posted by | Internal Research | Enter your password to view comments.