想像有一個大家族 除了年老與幼童 每個人都有一份工作並各司其職 在大家分工合作之下 這個大家族 在食衣住行上自給自足 即使經歷短暫的天災 生活也不於匱乏
大家族內有三個男丁負責稻米的生產收穫 有一天家族內某個人發明了更有效的耕作方式 結果只需兩名男丁即可負責原有的工作 其中一名男丁則失去了工作 這名男丁因沒有工作則只能分配到較少的物品 畢竟這男丁仍是家族的一分子 所以他並不會因為失去工作而餓死或失去住所
當然另一種結果也可能發生 就是生產更多的稻米 將多餘的稻米在市場交換回更多物品 但前提是有人要跟他交換 如果市場上稻米已經供過於求 則很難換到適當的物品
前面所謂更有效的工作方式 包括 稻作技術的改良 採用更有效率的機器 外包給外面的勞工(只要符合經濟效益)
技術的改良與機器的發明對經濟影響最大 長久下來很容易造成供過於求 畢竟一般人對食衣住行的基本消費在生活達到一定富足的水準後很難再有大幅度的成長 所以在這方面對勞工的需求會逐漸減少 失去工作的勞工就等於是對社會失去他的附加價值 如果他這時沒有適當的積蓄則會生活困難
這時只有靠新的行業來吸收失去工作的勞工 而這些的行業可能多會是在於娛樂與服務業 因為社會的進步意味著個人花費在生產民生必需品的時間越來越少 例如在越進步的國家 基本食物的消費成本占工作收入的比例會越來越少 同樣農業就業人口比例也逐漸降低
農業人口比例 在美國(0.6%) 日本(4.6%) 台灣(5.3%) 服務業方面 美國(76.8%) 日本(67.7%) 台灣(57.9%) 而中國農業人口比例約為38.1% 服務業約為34.1%
12/28/2011
12/19/2011
美國的全民健保政策
美國是先進國家中唯一沒有全民健保的 Obama 好不容易建立了全民健保的基石 卻有不少人想利用司法體制推翻它
健保是人民的基本需求 健保不是奢侈品 很多人還是搞不清楚
全民健保也許有不公平之處 但不能因咽廢食
其實美國是有公營健保 例如 Medicare 或公務員健保 公務員能買公家保險 為什麼老百姓不能
舉凡 Medicare, Social Security, 失業金, FDIC, SIPC 都是公眾的保險 在設立這些保險之前 也有不少人持反對立場 畢竟這些保險還是利多於弊
有不少美國人認為 政府應少管閒事 讓老百姓自己對自己負責 事實上 人沒有那麼聰明 也沒有那麼多時間去注意到那麼多細節 你存錢到銀行 還要先研究銀行的財務報表嗎
許多反對全民健保的政客 大多以權利鬥爭為出發點發表一些愚民的言論 這就是美國凡事以利益優先考量的弊病之一
試問這些政客 利之所趨的"利"是誰的利呢
健保是人民的基本需求 健保不是奢侈品 很多人還是搞不清楚
全民健保也許有不公平之處 但不能因咽廢食
其實美國是有公營健保 例如 Medicare 或公務員健保 公務員能買公家保險 為什麼老百姓不能
舉凡 Medicare, Social Security, 失業金, FDIC, SIPC 都是公眾的保險 在設立這些保險之前 也有不少人持反對立場 畢竟這些保險還是利多於弊
有不少美國人認為 政府應少管閒事 讓老百姓自己對自己負責 事實上 人沒有那麼聰明 也沒有那麼多時間去注意到那麼多細節 你存錢到銀行 還要先研究銀行的財務報表嗎
許多反對全民健保的政客 大多以權利鬥爭為出發點發表一些愚民的言論 這就是美國凡事以利益優先考量的弊病之一
試問這些政客 利之所趨的"利"是誰的利呢
12/18/2011
歐債問題
目前歐債問題在於大家擔心高負債的國家無法如期償還其債務 所以很多人建議乾脆將歐元一分為二 讓那些高負債的南歐國家用南歐元
事實上 歐債問題的源起於 德法的銀行貪圖利率而做出不負責任的貸款給其他國家 試問今天如果台灣債券違約 德法會在意嗎 當然不會 因為她們應沒擁有太多台灣的債券吧
也有人建議乾脆叫希臘走路離開歐元區 這更是荒謬 美國有些縣市政府或個人破產 難道你也叫她們離開美元區嗎
如果希臘真的還不出來 你叫她離開歐元區 她也還不出來 離開歐元區只不過徒增困擾吧了
個人的淺見是就讓希臘去自己決定 她有本事賴帳不還 她就得承擔後果 總之如果你覺得她信用不好 就不要再借錢給她就是了
另外一個癥結點在於有人覺得若歐洲央行出手救希臘或義大利 那對大多數的其他國家不公平 而且德國人是很節儉的 所以德國的政策很難傾向於花大錢救希臘
而且德國人不喜歡以政府的力量去救私人企業 所以為了救銀行而去救希臘 這可是違反德國人的價值傳統 誰這麼做就別想再執政
其實要解決這問題再簡單也不過 要救大家一起被救 就不會不公平了 一次把德國 法國 及其他歐元區的國債按人口比例一併解決 大家日子都好過
事實上 歐債問題的源起於 德法的銀行貪圖利率而做出不負責任的貸款給其他國家 試問今天如果台灣債券違約 德法會在意嗎 當然不會 因為她們應沒擁有太多台灣的債券吧
也有人建議乾脆叫希臘走路離開歐元區 這更是荒謬 美國有些縣市政府或個人破產 難道你也叫她們離開美元區嗎
如果希臘真的還不出來 你叫她離開歐元區 她也還不出來 離開歐元區只不過徒增困擾吧了
個人的淺見是就讓希臘去自己決定 她有本事賴帳不還 她就得承擔後果 總之如果你覺得她信用不好 就不要再借錢給她就是了
另外一個癥結點在於有人覺得若歐洲央行出手救希臘或義大利 那對大多數的其他國家不公平 而且德國人是很節儉的 所以德國的政策很難傾向於花大錢救希臘
而且德國人不喜歡以政府的力量去救私人企業 所以為了救銀行而去救希臘 這可是違反德國人的價值傳統 誰這麼做就別想再執政
其實要解決這問題再簡單也不過 要救大家一起被救 就不會不公平了 一次把德國 法國 及其他歐元區的國債按人口比例一併解決 大家日子都好過
4/23/2011
Retirement Investing: Withdrawal Strategy
Retirees depend on the investment income from their portfolio. A good withdrawal strategy for their retirement portfolio can make their life a lot easier and better.
How to withdraw the money from your retirement portfolio to meet your living expense? How to guarantee you would not run out of your fund before your expected date?
There are several withdrawal strategies available today, but most of them can not guarantee you can reach your goal with a 100% rate. The one that guarantees may leave a lot of money on the table, it’s safe but too conservative. People can google for “safe withdrawal rates” and “withdrawal methods” for related information.
Here we introduce a simple method that shows how we can better utilize the money in our fund and can have a confident withdrawal approach to meet our expected date.
Let’s start with an example. We want to make a 30 year withdrawal plan for a portfolio. So let’s divide the portfolio into 30 lots first.
If the annualized return of the portfolio is 0%, we can set each lot as 1/30th of the portfolio. So for each year we get 1/30th from the fund, and we withdraw all the money after 30 years.
* * * Fixed Annual Return * * *
What if the return is fixed at 5% each year and we want to get a fixed amount every year? The ratio of the 30 lots would be like 1: 1/1.05: 1/1.05^2: 1/1.05^3: …: 1/1.05^29. Because the total should be adjusted to 1, after a little calculation, it would be like 0.061954: 0.059004: 0.056194: …: 0.015051.
So the first year we get 0.061954, it’s about 6.2%. The second year we can 0.059004*1.05 = 0.061954, the same as the first year. The third year and the following years we can all get the same amount, 0.061954. It’s like an annuity.
* * * Variable Annual Return * * *
For a fund with variable annual returns, we use the same approach. The major issue is how to determine the ratio of the lots by the annualized return of the fund.
As we look into the results, we would know that the amount withdrawn each year is the ratio of the lot multiplied by the total return of the fund in that period. For example, if we divide the portfolio with the factor 1.05 and the return of the portfolio for the first two years are 0.04 and 0.06.
The first year, we will withdraw 0.061954 * 1.04 = 0.06443216. It’s about 6.44% of the equivalent value of the original portfolio.
The second year, we will withdraw 0.059004 * 1.04 * 1.06 = 0.06504601. It’s about 6.5% of the equivalent value of the original portfolio.
For each year n, it’s like we withdraw a certain ratio X(n), such that
X(n) = ( (calculated total return of the portfolio for year n since inception)/1.05^n) * f, f is a constant.
We can see that if the annualized return of the portfolio is closer to 1.05, the withdrawal ratio X(n) is smoother. Basically we can use the annualized compound return of the portfolio to determine the ratio that is used to divide the portfolio. We will give some examples in the following paragraphs to show how the different ratios impact the results of the withdrawal rates.
Here we have to notice that we withdraw the percentage of the equivalent value of the “original” portfolio. It’s more like we cut the original portfolio into 30 chunks and invest them separately. Then each year we get one chunk from the portfolio.
* * * Inflation Rate * * *
Basically the money withdrawn from the portfolio should provide retirees almost the same living standards each year, so we have to take the expected inflation rate into account.
With considering the inflation rate, we will use the real return of the portfolio to determine the ratio rather than the nominal return of the portfolio.
How to withdraw the money from your retirement portfolio to meet your living expense? How to guarantee you would not run out of your fund before your expected date?
There are several withdrawal strategies available today, but most of them can not guarantee you can reach your goal with a 100% rate. The one that guarantees may leave a lot of money on the table, it’s safe but too conservative. People can google for “safe withdrawal rates” and “withdrawal methods” for related information.
Here we introduce a simple method that shows how we can better utilize the money in our fund and can have a confident withdrawal approach to meet our expected date.
Let’s start with an example. We want to make a 30 year withdrawal plan for a portfolio. So let’s divide the portfolio into 30 lots first.
If the annualized return of the portfolio is 0%, we can set each lot as 1/30th of the portfolio. So for each year we get 1/30th from the fund, and we withdraw all the money after 30 years.
* * * Fixed Annual Return * * *
What if the return is fixed at 5% each year and we want to get a fixed amount every year? The ratio of the 30 lots would be like 1: 1/1.05: 1/1.05^2: 1/1.05^3: …: 1/1.05^29. Because the total should be adjusted to 1, after a little calculation, it would be like 0.061954: 0.059004: 0.056194: …: 0.015051.
So the first year we get 0.061954, it’s about 6.2%. The second year we can 0.059004*1.05 = 0.061954, the same as the first year. The third year and the following years we can all get the same amount, 0.061954. It’s like an annuity.
* * * Variable Annual Return * * *
For a fund with variable annual returns, we use the same approach. The major issue is how to determine the ratio of the lots by the annualized return of the fund.
As we look into the results, we would know that the amount withdrawn each year is the ratio of the lot multiplied by the total return of the fund in that period. For example, if we divide the portfolio with the factor 1.05 and the return of the portfolio for the first two years are 0.04 and 0.06.
The first year, we will withdraw 0.061954 * 1.04 = 0.06443216. It’s about 6.44% of the equivalent value of the original portfolio.
The second year, we will withdraw 0.059004 * 1.04 * 1.06 = 0.06504601. It’s about 6.5% of the equivalent value of the original portfolio.
For each year n, it’s like we withdraw a certain ratio X(n), such that
X(n) = ( (calculated total return of the portfolio for year n since inception)/1.05^n) * f, f is a constant.
We can see that if the annualized return of the portfolio is closer to 1.05, the withdrawal ratio X(n) is smoother. Basically we can use the annualized compound return of the portfolio to determine the ratio that is used to divide the portfolio. We will give some examples in the following paragraphs to show how the different ratios impact the results of the withdrawal rates.
Here we have to notice that we withdraw the percentage of the equivalent value of the “original” portfolio. It’s more like we cut the original portfolio into 30 chunks and invest them separately. Then each year we get one chunk from the portfolio.
* * * Inflation Rate * * *
Basically the money withdrawn from the portfolio should provide retirees almost the same living standards each year, so we have to take the expected inflation rate into account.
With considering the inflation rate, we will use the real return of the portfolio to determine the ratio rather than the nominal return of the portfolio.
3/14/2011
Trading Strategy and Actual Results
We have been reading a lot of excellent trading strategy on Internet and articles. Is it really working as advertised? It would be hard to know the actual results if it's not applied in the real market.
A couple of strategies have been tested in the real market, so we can know if it's as good as it's advertised.
A. the CANSLIM system (CANGX MidCap Growth).
an article by Larry Swedroe provided more details.
B. the Value Line system (VLIFX MidCap Growth).
an article by Larry Swedroe provided more details.
C. the NoLoadFUNDX system (FUNDX MidCap Growth).
D. the quant fund from Vanguard Institutional (VSGPX LargeCap Growth).
Possible causes for the under-performance, a) these are open-end funds, so it's hard to manage the daily inflow and outflow, b) it's hard to execute the enter/exit strategy by not moving the market, slippage occurs, c) transaction costs.
A couple of strategies have been tested in the real market, so we can know if it's as good as it's advertised.
A. the CANSLIM system (CANGX MidCap Growth).
CANGX | IJK | |
| 1-Year | 23.84 | 36.91 |
| 3-Year | 6.74 | 9.69 |
| 5-Year | 2.32 | 7.07 |
B. the Value Line system (VLIFX MidCap Growth).
VLIFX | IJK | |
1-Year | 30.06 | 36.91 |
3-Year | (-5.34) | 9.69 |
5-Year | (-2.99) | 7.07 |
C. the NoLoadFUNDX system (FUNDX MidCap Growth).
FUNDX | IJK | |
1-Year | 20.51 | 36.91 |
3-Year | (-2.44) | 9.69 |
5-Year | 2.01 | 7.07 |
D. the quant fund from Vanguard Institutional (VSGPX LargeCap Growth).
VSGPX | JKE | |
1-Year | 24.15 | 21.69 |
3-Year | 3.85 | 3.59 |
5-Year | 3.82 | 2.94 |
for more details at bloomberg.
Possible causes for the under-performance, a) these are open-end funds, so it's hard to manage the daily inflow and outflow, b) it's hard to execute the enter/exit strategy by not moving the market, slippage occurs, c) transaction costs.
2/25/2011
Trend Following.5 - Day Trading
We used an intra-day 1-minute chart to trade. Using Exponential Moving Average(15) as the indicator. Different stocks may use different EMA number. We can add another chart for reference or comparison. For example, if we want to trade IWM, we can use SPY as a reference for the entry/exit signal.
For each day of trading, we can try different EMA number to find a better fit. Just remember that the EMA number is not fixed, it should be tuned due to different trading conditions.
For each day of trading, we can try different EMA number to find a better fit. Just remember that the EMA number is not fixed, it should be tuned due to different trading conditions.
Trend Following.4 - Reverse a Losing Strategy
A simple trading strategy will give a serial crossover signals, such as +-+-+-+-. (+) is for price crossing up the trend line, (-) is for down.
For a long only strategy, it will be like (buy-sell) pairs, we buy at (+) and sell at (-).
For a short only strategy, it will be like (sell-buy) pairs, we sell short at (-) and buy cover at (+).
For each trade, we can get the max drawdown and the return. Then we can get the cumulative return, and compare it with a simple buy-and-hold strategy.
If a strategy is a losing strategy in the long run, we can reverse the trade to see if it's profitable.
Say the cumulative return of strategy A is the product of ReturnA.i. The return of the reverse strategy B is the product of ReturnB.i.
ReturnA.i = (1+a.i)
ReturnB.i = (1+b.i) = (1-a.i)
so ReturnA.i * ReturnB.i = (1+a.i)(1-a.i) = 1- a.i2 < 1
The product of (ReturnA.i * ReturnB.i) will approach zero in the long run.
Say X = product of (ReturnA.i * ReturnB.i) = product of ReturnA.i * product of ReturnB.i
If X < product of ReturnA.i, then product of ReturnB.i < 1.
If strategy A is a losing strategy and the product of ReturnA.i > X, then the reverse strategy is also a losing strategy.
For a long only strategy, it will be like (buy-sell) pairs, we buy at (+) and sell at (-).
For a short only strategy, it will be like (sell-buy) pairs, we sell short at (-) and buy cover at (+).
For each trade, we can get the max drawdown and the return. Then we can get the cumulative return, and compare it with a simple buy-and-hold strategy.
If a strategy is a losing strategy in the long run, we can reverse the trade to see if it's profitable.
Say the cumulative return of strategy A is the product of ReturnA.i. The return of the reverse strategy B is the product of ReturnB.i.
ReturnA.i = (1+a.i)
ReturnB.i = (1+b.i) = (1-a.i)
so ReturnA.i * ReturnB.i = (1+a.i)(1-a.i) = 1- a.i2 < 1
The product of (ReturnA.i * ReturnB.i) will approach zero in the long run.
Say X = product of (ReturnA.i * ReturnB.i) = product of ReturnA.i * product of ReturnB.i
If X < product of ReturnA.i, then product of ReturnB.i < 1.
If strategy A is a losing strategy and the product of ReturnA.i > X, then the reverse strategy is also a losing strategy.
Trend Following.3 - Programming (Ruby)
Using a simple programming language Ruby to do the analysis. We can verify the results (Entry and Exit) with Excel. A free book of Ruby is at SapphireSteel Software.
A simple program to find
1.the entry and exit
2.the max drawdown
3.the return of each Entry/Exit pair
4.the total return
Strategy:
1. If Crossover(+), then Entry.
2. If Crossover(-), then Exit.
3. If status is Entry and Max Drawdown is over than the stop loss limit, then Exit.
The process:
1. Assign the data array for Stock Price and Filter(moving average parameters)
2. Set up the Stop Loss ratio
3. Define state variables such as current status (in Entry or Exit)
4. Loop through each data (stock price)
a.Calculate Filtered data
b.If the status is in "Entry"
Calculate the Drawdown and update the Maxdrawdown if necessary.
If Maxdrawdown is over the stop loss limit
Change status to "Exit"
Calculate total return.
Print out results.
End If
End If
c.If Crossover happens
If Up
Change status to "Entry"
Set Entry Price
Reset Maxdrawndown
Else
If status is in "Entry"
Change status to "Exit"
Calculate total return.
Print out results.
End If
End If
End If
d.Update status variables.
End Loop
5. Print out the total return.
A simple program to find
1.the entry and exit
2.the max drawdown
3.the return of each Entry/Exit pair
4.the total return
Strategy:
1. If Crossover(+), then Entry.
2. If Crossover(-), then Exit.
3. If status is Entry and Max Drawdown is over than the stop loss limit, then Exit.
The process:
1. Assign the data array for Stock Price and Filter(moving average parameters)
2. Set up the Stop Loss ratio
3. Define state variables such as current status (in Entry or Exit)
4. Loop through each data (stock price)
a.Calculate Filtered data
b.If the status is in "Entry"
Calculate the Drawdown and update the Maxdrawdown if necessary.
If Maxdrawdown is over the stop loss limit
Change status to "Exit"
Calculate total return.
Print out results.
End If
End If
c.If Crossover happens
If Up
Change status to "Entry"
Set Entry Price
Reset Maxdrawndown
Else
If status is in "Entry"
Change status to "Exit"
Calculate total return.
Print out results.
End If
End If
End If
d.Update status variables.
End Loop
5. Print out the total return.
2/22/2011
Trend Following.2
Entry when the crossover(+) happens between price and trend line. Exit when the crossover(-) happens between price and trend line.
The Long(buy low/sell high) is 40 percent profitable.
The Long(buy low/sell high) is 40 percent profitable.
2/17/2011
Working on the Trading System - Trend Following.1
Get FIR filter parameters from TFilter.
Get RUT, SPX, NASDAQ historical data.
Design Entry and Exit Method.
Entry:
1. Up Trend Confirmation
2. Crossover between Price and Trend Curve.
Exit:
1. Trail Stop
2. Stop Loss
3. Crossover between Price and Trend Curve.
Calculate Max drawdown and cumulative returns.
Note:
1. Inverting a losing strategy might not make it profitable.
Get RUT, SPX, NASDAQ historical data.
Design Entry and Exit Method.
Entry:
1. Up Trend Confirmation
2. Crossover between Price and Trend Curve.
Exit:
1. Trail Stop
2. Stop Loss
3. Crossover between Price and Trend Curve.
Calculate Max drawdown and cumulative returns.
Note:
1. Inverting a losing strategy might not make it profitable.
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