Category Archives: Asset Allocation

Rebalancing, Modified Asset Allocation, and Analysis

Small portfolio – substantial changes, see below Hedge fund portfolio – substantial changes, see below Futures portfolio – no changes I have changed the asset allocation schemes by collapsing the US and international equities asset classes into a single class … Continue reading

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Constructing the new futures portfolio

In applying the cybernetic trading system to the futures portfolio, much of the system is the same as that used for the ETF portfolios (small and hedge fund), but there are some differences. Like the ETF portfolios, an asset allocation … Continue reading

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Applying the Cybernetic System to Futures

The progress of the cybernetic system for the two unleveraged ETF portfolios is meeting my expectations. I was aiming for 15% annual return with <10% maximum drawdown. Both portfolios are a little below 15% with drawdowns substantially below 10% (see … Continue reading

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Discretion and Mechanical Trading Systems

While reading and thinking about trading systems, I wrote some notes at the beginning of the year based on an interesting discussion in the Trading Blox forum. Trading Blox is a company that produces software for testing mechanical trading systems, … Continue reading

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Position updates for October 1, 2010

Position updates for the small portfolio are: cover short position in EFA, buy 87 shares cover short position in RJI, buy605 shares cover short position in SPY, buy 42 shares cover long position in UUP, short 211 shares Position updates … Continue reading

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Selecting asset class components – International equities

Selecting components for the sixth and final asset class, international (non-US) equities, was straightforward. There are a number of international equity ETFs. I chose an equal weighting of VWO and SCZ. The stated goal of VWO is: “Vanguard Emerging Markets … Continue reading

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More about creating a commodities index

There was an interesting article yesterday on Seeking Alpha about the perils of choosing a broad commodities index, a topic I covered yesterday. The author, Indexuniverse.com,  rightly ridicules the  S&P GSCI index due to its severe over weighting of oil … Continue reading

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