Archive for April, 2012

Measuring the Performance of the Ivy Portfolio

Courtesy of Doug Short.

I’ve been posting a monthly moving average update for the five ETFs in featured in Mebane Faber and Eric Richardson’s Ivy Portfolio since the spring of 2009, when I featured my review of the book.

In addition to the monthly updates, I made a couple of generic studies of momentum investing with moving averages.

Learning from the S&P 500 Monthly MAs
Learning from the Nikkei Monthly MAs

Investing strategies are not the primary focus of my research, and I don’t personally track the performance of the Ivy Portfolio other than to highlight the monthly signals. For ETF performance tracking and backtesting, I use ETFReplay.com, an excellent website for analyzing the performance of individual ETFs and ETF portfolios based on customized moving-average strategies. There are many free tools on ETFReplay.com. However performance backtesting of portfolios does require a paid subscription.

The image below illustrates my research on the Ivy Portfolio since 2007. If you click the image, you’ll open a HUGE version that also shows the monthly performance over the complete range as compared to SPY (SPDR S&P 500 Index). For cash, I’ve used SHY (Barclays Low Duration Treasury (2-yr).

 

 

Now, the portfolio in this illustration doesn’t *exactly* match the Ivy five. I picked 2007 as my starting point to show the performance from before the market peak in the Fall of that year. Thus I was forced to make one substitution for the Ivy ETFs — EFA (iShares MSCI EAFE Index Fund) in place of VEU (Vanguard FTSE All-World ex-US ETF), which was launched in early 2007 and didn’t produce a 10-month signal until December of that year. But the substitution presumably understates the all-Vanguard IVY portfolio: I make this assumption because VEU monthly outperformed EFA from the March 2009 monthly close to the latest sell signal (64.9% versus 54.1%).

For anyone interested in researching momentum investing with ETFs, the ETFReplay.com website is an outstanding resource, one that I’m pleased to include in my dshort Favorites.


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The Decline And Fall Of Suburbia

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

As Arch Daily notes, for decades the suburbs and the American Dream went hand-in-hand but the age-of-sprawl is ending; people are leaving the suburbs and once again flocking to cities in search of a better way of life. Whether Suburbia can be saved or not, this useful infographic looks at the key factors (from Poverty to Transportation costs to Generation Y’s preferences) with a view to reinventing Suburbia as a sustainable alternative to urban life.

(h/t Greg Fielding)





China Manufacturing Continues To ‘Contract-And-Expand’ Even As April PMI Misses Expectations

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

The topsy-turvy world of Chinese macroeconomic data continues to provide the Schrodinger-prone unreality that we have come to expect in this keep-’em-guessing Central Bank-driven fiat-fest we are experiencing. For 9 of the last 10 months, HSBC’s China Manufacturing PMI has been in a contraction (sub-50) regime, while China’s own Manufacturing PMI saw only 1 dip below the apocryphal 50-level (in Nov11) and has miraculously expanded for the last six months. The latest data from China (HSBC reports their final number tomorrow – as opposed to the Flash data already reported) showed the highest level of expansion for Chinese manufacturing in 13 months but missed economist’s expectations – notably the first miss since November 2011 – as the divergence between HSBC and China remains near record levels. Of course, this makes perfect sense given this evening’s 2nd worst three-month plunge in Australian Manufacturing since January 2009 (which seems to fit with the HSBC data as opposed to the ‘strength’ of the Chinese data). It seems tough for anyone to try to justify expectations of a Chinese stimulus given the country’s own indication of its performance – check back to you Ben.

HSBC Manufacturing PMI vs China’s ‘special’ version…

The first miss of expectations (lower pane) for China’s version of the Manufacturing PMI since November 2011 (when the two series started to diverge)…

And perhaps tonight’s dismal miss and plunge in Aussie PMI is a better reflection of a real-time sensitive-to-China growth indicator…

 

Charts: Bloomberg





Biderman On The Fed: “They Control The Market, We Play With Their Money”

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

The pastel-wearing President of TrimTabs proffers an entirely non-perfunctory prose explaining why he believes we are now due for a stock market decline. Echoing our thoughts, Charles notes that "It's the Federal Reserve that controls the market, it's their money, they're the boss, we play with their money that they print or stop printing".

Sadly true (especially for all the highly-paid economists and strategists out there), the pre-2009 drivers of equity performance (specifically new or excess savings) are no longer so; since the initial QE1 this has not been the case and providing us with a thoughtful history of equity market valuations relative to the various QE-efforts over the past few years – especially when compared to income growth and/or macro-economic data – provides just the color required to comprehend this essentially a obvious thread of reality that merely  four years ago would have been denigrated to the tin-foil-hat-wearers of the world. Real-time data says that wages and salaries are barely growing above inflation, Europe is a disaster, and the emerging nations are seeing slowing growth; without the Fed's new money where will cash come from to drive stock prices higher?

 

 

And for a little more clarity – here is our overlay of the three stimuli from The Fed so far – showing the similar paths and the April tops in each series… It seems clear now that the self-limiting process of money-creation stalls out in the same periodicity as liquidity spills out into unintended places and 'governs' any real-economy growth expectations via margin compression for corporates (raw materials/energy) or consumer-spending (energy/food)… The similarities in both size and speed of move post Fed stimulus is incredible.

Chart: Bloomberg





Bin Laden: Everyone Is Missing the Big Picture

Courtesy of ZeroHedge. View original post here.

Submitted by George Washington.

 

Obama and Romney Are Both Ignoring the Real Issue with Killing Bin Laden

The anniversary of Bin Laden's death is big news.

Obama is bragging about how he whacked Bin Laden, accusing Romney of being too soft to take out bad guys.

Romney supporters accuse Obama of "spiking the football" and inappropriately showing off to score political points.

Both sides are missing the big picture.    Specifically, we noted last year:

I’m as happy as the next red-blooded American that Bin Laden is dead.

 

For more than a decade, the government has said that Bin Laden is the world’s worst terrorist, a terrorist kingpin, the head of the worst terrorist group in the world.

 

But if we captured and interrogated him, he could have spilled a lot of beans which would help prevent future terrorist attacks.

Right?

 

But as the Atlantic reports today:

There’s one option the administration appears to have never seriously considered: taking bin Laden alive.

 

***

 

The administration had made clear to the military’s clandestine Joint Special Operations Command that it wanted bin Laden dead, according to a senior U.S. official with knowledge of the discussions. A high-ranking military officer briefed on the assault said the SEALs knew their mission was not to take him alive. ***

And Gareth Porter reported yesterday that the U.S. didn’t even consider capturing Bin Laden as part of its Afghanistan war strategy:

The absence of any military planning to catch bin Laden was a function of Bush’s national security team, led by Vice-President Dick Cheney and Secretary of Defence Donald Rumsfeld, which had firmly opposed any military operation in Afghanistan that would have had any possibility of catching bin Laden and his lieutenants.Rumsfeld and the second-ranking official at the Pentagon, Paul Wolfowitz, had dismissed CIA warnings of an al Qaeda terrorist attack against the United States in the summer of 2001, and even after 9/11 had continued to question the CIA’s conclusion that bin Laden and al Qaeda were behind the attacks.

 

Cheney and


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Yale’s Shiller: World in a ‘Late Great Depression’

The global economy is mired in a "late Great Depression" despite central bank stimulus policies, says Yale economist and author Robert Shiller.

"Our whole economy has been affected by variations in confidence. Central banks are sort of trusted, but the actions they have often affect people’s confidence by appearance rather than substance. We’re not in the most trusting mood now,” Shiller tells CNBC.

The Federal Reserve, the European Central Bank, the Bank of Japan and the Bank of England have propped up their respective economies via liquidity injections known as quantitative easing, tools designed to spur recovery but dubbed by critics as printing money out of thin air.

He says the world is in a “new age of austerity.” 

Keep reading:  Yale’s Shiller: World in a 'Late Great Depression'.





As Europe’s Most Pathological Liar Departs, Questions About Europe’s Band-Aid Union Reemerge

Courtesy of ZeroHedge. View original post here.

Submitted by Tyler Durden.

We doubt many tears will be shed over the now official departure of Europe’s most embarrassing political figurehead: the head of the Euro-area finance ministers, one Jean-Claude Juncker, whose presence did more documented damage to the credibility of Europe than… well, we would say virtually anyone else, but then again since everyone else in the European pantheon is a shining example of DSM IV-level sociopathology, we are kinda stuck. But anyway: Juncker is finally gone “he’s tired of Franco-German interference in managing the region’s debt crisis.” And while the decision was known for a while, the ultimate catalyst is rather unexpected, and exposes just how frail the entire Eurozone is: “They act as if they are the only members of the group,” Juncker said today at a podium discussion in Hamburg.” If this is coming from the man who admittedly lies for a living, we can’t imagine just how bad the truth about the internal fissures within the Eurozone must be. Actually, we can.

As a reminder, from exactly one year ago:

On Friday the misinformation floated about the Greek expulsion event hit a fever pitch: while we correctly speculated that nobody would be expelled from the Eurozone, the amount of conflicting info was at an all time record, with glaring inconsistencies between various quoted authoritarians. Now, courtesy of the WSJ blog, we learn that, for the first time in history, a spokesman for Jean Claude Juncker, the PM of Luxembourg, and the head of the Eurogroup council of eurozone finance ministers, admits openly to having lied to media outlets. “In a phone call and text messages with two reporters for Dow Jones and the Wall Street Journal, Mr. Schuller repeatedly said no meeting would be held. He apparently said they same to other news outlets; at least one more moved his denials on financial newswires. Of course, there was a meeting–although not, apparently, to talk about Greece quitting the currency, which would be an extreme step to say the least. Mr. Juncker even said a few words to reporters who had hustled to Luxembourg to stake out the gathering. So why the lie? “I was told to say there was no meeting,” said Mr. Schuller, reached by telephone Monday. “We had certain necessities to consider.”


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Stiglitz – Politics Is At the Root of the Problem

Courtesy of Jesse's Cafe Americain 

Where Stiglitz refers to 'free markets' here, he means the 'efficient markets hypothesis.' That is, if markets are left entirely to their own devices they will manage themselves, honestly and efficiently.

Government and regulation are the problem, and they distort markets. Therefore if you 'free' markets from the influence of imperfect supervision, the natural efficiency of the market will prevail. 

This model of the markets assumes that most market participants, people, are naturally good and almost perfectly rational, that information disperses equally among those participants, and that fraud becomes quickly known to all and is shunned, so that no participant will be encouraged to engage in it. 

One of the things that will be reconsidered in the aftermath of this crisis, besides the perennial tendency of academic theories to act as handmaidens to thugs and gangsterism, is how to maintain a market based economy with effective regulation, so that when the unscrupulous come to tear down the protections erected by previous generations, to lure the foolish and gullible with their siren songs of progress and freedom, they might be seen for what they really are: the old familiar frauds come back to rob again.

I am a strong believer in a market based economy, where the rules encourage fairness and transparency, and decision making is broadly dispersed amongst a large number of well-informed participants.  Monopolies, corruption and fraud are inimical to such a system.  

An excess of planning and regulation, on the other hand, leads to a concentration of power in few hands, which is a form of monopoly or cartel which is the same abuse that occurs with too little transparency and regulation.  

It takes hard work and an alert public to maintain the balance of justice, and it is hardly natural.   For the affairs of all men do not naturally tend to virtue, alas, but from a minority of the lawless there is the tendency to selfish and short term thinking, and entropy from temptation, and the concentration of power in unworthy hands.  

Such is the tendency of the world as it is, not naturally good, but imperfect and fallen.  And this is not only the theme, but the force of history, the recorded actions of people,  the continuing struggle between moderation and excess, between good and evil.  Without it, history would be merely the progression of happiness and contentment, and that is not the condition of this world, but…
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The Market Calls BS on Spain’s Efforts to Cover Its Toxic Banking Debt

Courtesy of ZeroHedge. View original post here.

Submitted by Phoenix Capital Research.

In a previous article I began delving into the toxic sewer that is the Spanish banking system. At the root of the problem is the previously unregulated Spanish cajas or regional/ local banks which own as much as 56% of all Spanish mortgages.

To give you an idea of how bad things are with the cajas, consider that in February 2011 the Spanish Government implemented legislation demanding all Spanish banks have equity equal to 8% of their “risk-weighted assets.” Those banks that failed to meet this requirement had to either merge with larger banks or face partial nationalization.

The deadline for meeting this capital request was September 2011. Between February 2011 and September 2011, the number of cajas has in Spain has dropped from 45 to 17.

Put another way, over 60% of cajas could not meet the capital requirements of having equity equal to just 8% of their risk-weighted assets. As a result, 28 toxic caja balance sheets have been merged with other (likely equally troubled) banks or have been shifted onto the public’s balance sheet via partial nationalization.

The markets are well aware that this policy has only spread the toxic garbage, not fixed it. Case in point, take a look at the chart for Banco Sabadell which was merged with toxic Caja de Ahorros del Mediterráneo or CAM for short.

The merger increased Banco Sabadell’s size by 75%… and the market saw this as a good thing for a total of two weeks: shares are now down 30% from their merger levels.

Banco Popular, which acquired failing caja Banco Pastor, has experienced a similar fate, falling to a new low soon after the merger:

My point with all of this is that merging one garbage bank with another larger slightly less garbage bank doesn’t solve anything. The market knows this, which is why we see these banks continuing to collapse despite being merged.

Having addressed all of this, I firmly believe that no one, not even the Spanish Government has a clue how much toxic garbage debt exists in the Spanish banking system.

Moreover, it’s not as though the Spanish Government is heavily incentivized to come clean about the true nature of the Spanish banking system even if it did know the facts.

Case in point, the Government just admitted that…
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Spain’s Idea of Merging One Garbage Bank With Another Won’t Stop Its Banking System From Collapsing

Courtesy of ZeroHedge. View original post here.

Submitted by Phoenix Capital Research.

In a previous article I began delving into the toxic sewer that is the Spanish banking system. At the root of the problem is the previously unregulated Spanish cajas or regional/ local banks which own as much as 56% of all Spanish mortgages.

 

To give you an idea of how bad things are with the cajas, consider that in February 2011 the Spanish Government implemented legislation demanding all Spanish banks have equity equal to 8% of their “risk-weighted assets.” Those banks that failed to meet this requirement had to either merge with larger banks or face partial nationalization.

 

The deadline for meeting this capital request was September 2011. Between February 2011 and September 2011, the number of cajas has in Spain has dropped from 45 to 17.

 

Put another way, over 60% of cajas could not meet the capital requirements of having equity equal to just 8% of their risk-weighted assets. As a result, 28 toxic caja balance sheets have been merged with other (likely equally troubled) banks or have been shifted onto the public’s balance sheet via partial nationalization.

 

The markets are well aware that this policy has only spread the toxic garbage, not fixed it. Case in point, take a look at the chart for Banco Sabadell which was merged with toxic Caja de Ahorros del Mediterráneo or CAM for short.

 

 

The merger increased Banco Sabadell’s size by 75%… and the market saw this as a good thing for a total of two weeks: shares are now down 30% from their merger levels.

 

Banco Popular, which acquired failing caja Banco Pastor, has experienced a similar fate, falling to a new low soon after the merger:

 

 

My point with all of this is that merging one garbage bank with another larger slightly less garbage bank doesn’t solve anything. The market knows this, which is why we see these banks continuing to collapse despite being merged.

 

Having addressed all of this, I firmly believe that no one, not even the Spanish Government has a clue how much toxic garbage debt exists in the Spanish banking system.

 

Moreover, it’s not as though the Spanish Government is heavily incentivized to come clean about the true nature of the Spanish banking system even…
continue reading





 
 
 

Zero Hedge

Philly Fed Unexpectedly Soars To Second Highest On Record

Courtesy of ZeroHedge View original post here.

Anyone expecting the coronavirus pandemic to hit regional Fed surveys following the recent plunge in the Chicago PMI was in for a disappointment this week, when first the NY Fed's Empire State mfg survey unexpectedly printed at the highest since mid-2018, and then moments ago the Philly Fed blew it out of the ballpark with a massive surge in its business outlook survey, where the current general activity rose nearly 20 points this month to 36.7, smashing expectations of a drop from 17.0 to 11.0, and the highest index reading since February 2017. More importantly, this was th...



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Phil's Favorites

Why Trump's post-impeachment actions are about vengeance, not retribution

 

Why Trump's post-impeachment actions are about vengeance, not retribution

President Trump fired Army Lt. Col. Alexander Vindman for testifying in his impeachment trial. AP Photo/Susan Walsh, File

Courtesy of Austin Sarat, Amherst College

Since the end of his Senate impeachment trial, President Donald Trump has carried out a concerted campaign against ...



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Biotech & Health

Deep learning AI discovers surprising new antibiotics

 

Deep learning AI discovers surprising new antibiotics

A colored electron microscope image of MRSA. NIH - NIAID/flickr, CC BY

Courtesy of Sriram Chandrasekaran, University of Michigan

Imagine you’re a fossil hunter. You spend months in the heat of Arizona digging up bones only to find that what you’ve uncovered is from a previously discovered dinosaur.

That’s how the search for antibiotics has panned out recently. The relatively few antibiotic hunters out there ...



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The Technical Traders

WATCH THE USD/GOLD RELATIONSHIP

Courtesy of Technical Traders

Chris Vermeulen joins me to share the levels he is watching on the charts. If the USD hits a rough patch and rolls over that could be another driver for the PMs to run much higher. We also touch on the small (for now) bounce in natural gas and the trading opportunity Chris is playing.

Get Chris’ trade alerts complete with price targets, and stop-loss levels.

...



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Kimble Charting Solutions

King Dollar Going To Lose Strength Here? Gold & Silver Hope So!!!

Courtesy of Chris Kimble

Is King$ and the Euro facing important breakout/breakdown tests at the same time? It looks like it in this chart!

The US$ trend remains up, as it has created a series of higher lows since the start of 2018. The opposite can be said for the Euro, as it has created a series of lower highs since early 2018.

The US$ is currently testing the top of its 18-month rising channel, as the Euro is testing the bottom of its falling channel.

What King$ and...



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Insider Scoop

The Daily Biotech Pulse: Heron Pain Drug Review Extended, Disappointment For Teva In Tourette Syndrome Study

Courtesy of Benzinga

Here's a roundup of top developments in the biotech space over the last 24 hours.

Scaling The Peaks

(Biotech Stocks Hitting 52-week highs on Feb. 19)

  • Adverum Biotechnologies Inc (NASDAQ: ADVM)
  • Akebia Therapeutics Inc (NASDAQ: AKBA)
  • Ana...


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Digital Currencies

Altcoin season 2.0: why bitcoin has been outgunned by crypto rivals since new year

 

Altcoin season 2.0: why bitcoin has been outgunned by crypto rivals since new year

‘We have you surrounded!’ Wit Olszewski

Courtesy of Gavin Brown, Manchester Metropolitan University and Richard Whittle, Manchester Metropolitan University

When bitcoin was trading at the dizzying heights of almost US$2...



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ValueWalk

What US companies are saying about coronavirus impact

By Aman Jain. Originally published at ValueWalk.

With the coronavirus outbreak coinciding with the U.S. earnings seasons, it is only normal to expect companies to talk about this deadly virus in their earnings conference calls. In fact, many major U.S. companies not only talked about coronavirus, but also warned about its potential impact on their financial numbers.

Q4 2019 hedge fund letters, conferences and more

Coronavirus impact: many US companies unclear

According to ...



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Chart School

RTT browsing latest..

Courtesy of Read the Ticker

Please review a collection of WWW browsing results. The information here is delayed by a few months, members get the most recent content.



Date Found: Tuesday, 01 October 2019, 02:18:22 AM

Click for popup. Clear your browser cache if image is not showing.


Comment: Wall of worry, or cliff of despair!



Date Found: Tuesday, 01 October 2019, 06:54:30 AM

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Comment: Interesting.. Hitler good for the German DAX when he was winning! They believed .. until th...



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Members' Corner

How to Stop Bill Barr

 

How to Stop Bill Barr

We must remove this cancer on our democracy.

Courtesy of Greg Olear, at PREVAIL, author of Dirty Rubles: An Introduction to Trump/Russia

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Lee's Free Thinking

Why Blaming the Repo Market is Like Blaming the Australian Bush Fires

 

Why Blaming the Repo Market is Like Blaming the Australian Bush Fires

Courtesy of  

The repo market problem isn’t the problem. It’s a sideshow, a diversion, and a joke. It’s a symptom of the problem.

Today, I got a note from Liquidity Trader subscriber David, a professional investor, and it got me to thinking. Here’s what David wrote:

Lee,

The ‘experts’ I hear from keep saying that once 300B more in reserves have ...



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Mapping The Market

How IPOs Are Priced

Via Jean Luc 

Funny but probably true:

...

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Promotions

Free eBook - "My Top Strategies for 2017"

 

 

Here's a free ebook for you to check out! 

Phil has a chapter in a newly-released eBook that we think you’ll enjoy.

In My Top Strategies for 2017, Phil's chapter is Secret Santa’s Inflation Hedges for 2017.

This chapter isn’t about risk or leverage. Phil present a few smart, practical ideas you can use as a hedge against inflation as well as hedging strategies designed to assist you in staying ahead of the markets.

Some other great content in this free eBook includes:

 

·       How 2017 Will Affect Oil, the US Dollar and the European Union

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About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

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