Unfortunately we lost the series of posts recording the progress of the GLD Option positions used as a possible inflation hedge when we “cleaned up” the site a few weeks ago. This position was opened about a year ago, when GLD was trading at ~$153: Since then GLD moved up to a high of ~$194 […]
Rutherford Portfolio Review (Tranche 5) – 12 March 2021
It was a bullish week in the US Equity markets with the S&P 500 closing the week ~2.6% higher than last week’s close and at all-time highs: The closes on the last 2 days were also outside the Expected Move (EM) for the week and volatility has dropped. We will now wait to see whether […]
Dirac Portfolio Review: 26 February 2021
The Dirac portfolio is the only portfolio reviewed on this site that is built from individual stocks, rather than from Funds of stock, and the recent high volatility and pullback in US equity prices has taken it’s toll on the portfolio as numerous Trailing Stop Loss Orders (TSLOs) were hit over the last few weeks. […]
Dirac Portfolio Review – 31 August 2020
I’m reviewing the Dirac Portfolio mid-day today so as to avoid severe overload of information as End-Of-Month (EOM) reviews become due. We’ll start with a quick look at the Dirac Portfolio quiver that is comprised of 40 stocks (rather than ETFs) that are considered for inclusion in the portfolio: At the present time the portfolio […]
Rutherford Portfolio Review (Tranche 3) – 3 January 2020
To date, performance of the Rutherford Portfolio looks like this: with strong performance over the past month or so as we’ve rotated into US Equities. The first review of the Rutherford Portfolio in 2020 takes a look at Tranche 3: that is currently holding positions in VTI (US Equities), VEA (International Developed Market Equities) and […]
Absolute Acceleration
Members occasionally ask for more information on how the the Absolute Acceleration value used in the Kipling SS’s is calculated. This post should answer this question. The Calculation The intent of the absolute acceleration (AA) calculation is to provide an indication of whether momentum is increasing (accelerating) or decreasing (decelerating – negative acceleration) at the […]
How “Robust” is the ITA Wealth Momentum Strategy? – Part 5
Reducing Uncertainty by Tranching In the first 4 parts of this study we have focused on the optimization and robustness of the primary parameters necessary to apply the ITA Wealth Momentum Strategy – the appropriate look-back periods to measure momentum (Rate Of Change – ROC) and Volatility and the appropriate weights to apply to these […]
Expectancy
I have mentioned the concept of “expectancy” a number of times on this site and a Platinum Member recently asked me for a reference to a post on the subject. The references are somewhere in the comments sections of various posts so I thought it might be more useful for me to dedicate a short, […]