I’m moving my S&P500 Volatility Timing Model officially into Beta testing. I’ve been backtesting my model for a bit now and plan to compile a list of aggregate rates of return, draw downs, etc.
Looking back through 2005, the timing model has returned a nice profit, +33%. I can’t wait to see what the returns are like during the Dot Com implosion. :)
[tags]Excel, DataMining, NeuralNets, S&P500, Volatility, 401k, Trading, Investing[/tags]
The iShares MSCI Mexico Index (EWW) ETF has been on fire since June 2006 and I actually rode this bad boy for a week. I was “test” trading my prototype ATS and made a little money that week. I could’ve made a lot more if I held it longer.
Woulda, coulda, shoulda. :)
[tags]EWW, Mexico, ETF, 401k, Investing, Trading, ATS[/tags]
I’m still long EURUSD and the pain is getting bearable now. Last I checked, the pair was trading above $1.34 again so my Euro model may still be vindicated. Despite my fascination (preoccupation) with the Euro, two notable flips happened in the currency market last week; the Australian Dollar flipped to STRONG UP and the British Pound flipped to RANGE.
The trends as calculated from Friday’s closing data:
[tags]EUR, USD, Dollar, Euro, Pound, Trends, Currency, Forex, Trading[/tags]
Some trends go up, some go down. ProFunds UltraShort Emerging Markets is a mutual fund that shorts the Bank of New York Emerging Markets index. One day when the emerging markets sell off like hot cakes and keeps going down, this fund will reward its investors handsomely. In the meantime its investors have to hold the bag and bleed.
The investment seeks daily investment results that correspond to twice the inverse of the daily performance of the Bank of New York Emerging Markets 50 ADR index. The fund invests at least 80% of assets to financial instruments with economic characteristics that, in combination, should be inverse to those of the index. It typically employs leveraged investment techniques in seeking its investment objective. The fund invests assets which are not invested in equity securities or financial instruments in debt instruments or money market instruments. It is nondiversified. [via Google Finance]
[tags]Ultrashort, MutualFund, UVPSX, EmergingMarkets, Investing, 401k[/tags]
I owned Cisco Systems (CSCO) through the dot com years and made a lot of money. I got too greedy and figured the sell off in early 2001 was over blown. Little did I know that I would ride CSCO all the way down to the $20′s. The elation you feel when your on the right side of a trend can’t compare to the gut wrenching horror you feel when your on the wrong side of it. :)
My guess is that CSCO will pop higher if it can break through that pesky $29.40 resistance area but then again who really knows? CSCO’s trend has been dead for years.
[tags]CSCO, Cisco, Stocks, Trends, DotCom, Web1.0[/tags]
This week’s trend thoughts focuses on an industry that I’m very familiar with, infrastructure. I’ve been thinking about the global aspect of this topic since I read an article about how General Electric is poised to capture some of the explosive construction growth internationally.
We were once the global leader in infrastructure in the early part of the 20th century but have since fallen on dark times. The American Society of Engineers Infrastructure Report Card gives our infrastructure an overall grade of “D†and estimates that we will need about $1.6 Trillion dollars to fix, upgrade, and revitalize it.
I can’t begin to quantify just how big the domestic and international market for infrastructure is, but I’m very interested in investing in it! Since Monday, I’ve come across a few ETF’s and Stocks that warrant my further research in this emerging new trend and I’m sure I’ll spend some time over the coming weeks doing some due diligence on them. Please remember to do your own due diligence before investing in these companies.
Further Reading:
Disclosure: I own GE stock.
[tags]Infrastructure, Engineering, Construction, GE, URS, GII, JXI, VWO, ETF, Stocks[/tags]
I ran my bond yield model with a Gaussian regression learner and came up with a different non-linear relationship between the S&P500 and 10 Year T-Notes from what I posted earlier.
Despite the difference in the results and different charts, both say that with a bond yield of 5.10%, the S&P500 should be trading a lot lower than the level its at today!
[tags]S&P500, Learners, AI, NeuralNets, Gaussian, Regression, Bonds, Yields[/tags]
I held this mutual fund (ARTIX) in my former employer’s 401k plan. Too bad I had to sell my holdings when I transferred the account, this one was a great performer for me.
Fund Summary from Google Finance:
The (fund) investment seeks long-term capital growth. The fund invests primarily in developed markets but also may invest up to 20% in emerging markets. It typically holds securities representing at least 18 countries. The maximum investment in any single country is 30% of net assets at market value at the time of purchase, in any single industry is 25% of net assets, and no more than 5% may be invested in securities of a single issuer. Normally, no less than net assets at market value in stocks of foreign companies and maintains cash ratio no more than 5% of net assets.
[tags]MutualFund, International, Investing, 401k[/tags]
Michael Baker Corporation (BKR) was a small but growing competitor of my old firm. I didn’t realize how aggressive they were until they moved in next door to us in downtown Newark and started winning projects. In fact, quite a few of my colleagues from different engineering firms, defected to them over the past few years.
They definitely have a nice little trend going.
[tags]BKR, Engineering, CivilEngineering, Construction, Design[/tags]
I’ve started using my S&P500 Volatility Timing Model to make “buy” decisions for our 401K’s. I move money into various mutual funds when the indicator spikes and should skim off profits when its low.
Typically, and in times of low volatility, the model stays around -0.4. However, the model has been very active recently and the indicator has crossed the 0.00 level two times in the past week (second time yesterday). I took advantage of those spots to add small amounts to our accounts because the markets sold off that day.
I’ve been employing this type of strategy for several years now and I will move larger amounts of money into the market the higher the indicator goes (financial Armageddon starts around 0.6 for the indicator).
To highlight how I use my indicator, I’m posting the following PDF file: gspc_vol-daily_060707. It has two charts that readers might be interested in reviewing and commenting on, which are for the S&P500′s Thurday’s close last week.
The first chart has the volatility indicator (in green) overlaid with a line close of the S&P500 (in blue). You can easily pick out the recent spikes in the indicator vs the S&P500 and see the “dip buying” opportunities. The second chart is the indicator again with its 10 day Standard Deviation.
[tags]Volatility, S&P500, 401k, Investing[/tags]
Everybody knows by now that the bond market sold off like crazy yesterday. The 10 Year T-note’s yield peaked at 5.25% before closing at 5.248% and the 30 Year peaked at 5.362% before settling at 5.356%. Who knows what the exact cause for this reason but I suspect it could be a combination of the following:
Maybe its some other undiscovered reason but the one thing I can predict, without a neural net, is that we will be in for another round of US Real Estate pain.
[tags]Bonds, Yields, RealEstate, Investing, Currencies, Asia, Inflation[/tags]
If you’ve read my Build Your Blog Traffic Using Excel & Data Mining post, then you should be able to figure out what your busiest day is, what your most popular category is, and your optimal posts per day by now. If you haven’t read it, I highly suggest that you do because what you learn here today builds on that information.
In this post I want to talk about how to maximize your Adsense earnings and at the same time minimize your marketing costs in the event you use Adwords or a similar web advertising vehicle using Data Mining. Data mining let’s you find that perfect relationship between your marketing dollars spent and your revenues collected.
Finding out this relationship is as simple as adding two more columns to your spreadsheet from our previous post, just create a Marketing and Revenue column and paste in your marketing costs and your Adsense earnings. Re-run the model when your done and view the results!
To highlight this simple but powerful data modeling, I did a quick analysis of this blog’s current Adword marketing costs and Adsense earnings and found out that certain type of posts yield more Adsense earnings. Interestingly enough, the second category example would benefit from more marketing dollars spent.
Our first example is a category 5 post, which are posts related to Quantitative topics such as Data Mining, Yale, and Excel. From the chart on the left, I should spend no more than $2 a day to max out my Adsense earnings.
Conversely, for any topics related to Mutual Funds (category 8), I could spend anywhere in excess of $3.50 per day to maximize my Adsense earnings!
From these two examples I can fine tune my marketing costs, build a stronger reader base, and make some money to boot! As always, if you have any questions on how to do this, please feel free to leave me a comment.
[tags]Adsense, Earnings, Monetize, Blogging, Adwords, Costs, Revenues, Marketing, Advertisement, DataMining[/tags]