An article by John F. Carlucci on dshort.com mentioned a market indicator using OEX stocks above the 200 day moving average, $OEXA200R, with the other indicators as buy/sell signals for the general US market. The introduction of the methodology is here.
You can find the daily update of the $OEXA200R by Michael E. Pitre.
I created and monitored the OEX portfolio at finance.yahoo.com. For S&P500 at current level 1380, if it drops another 3.5+%, bulls should be cautious according to the methodology mentioned before.
4/09/2012
4/08/2012
技術進步 產能過剩 與失業
技術越進步 效率越高 生產一件物品的人力需求與成本就會越來越低 而人類的需求成長隨著經濟發達也會逐漸降低 也就是 長期而言需求成長會變緩 如果生產效率成長比需求成長快 就會造成產能過剩 而造成企業裁員 如果沒有新的需求與新的企業來吸收失業的人口 失業問題就不容易解決
當遇到經濟萎縮時 也會遇到類似因需求驟減所導致失業的問題
另一方面 如果因自由貿易 企業將工作機會外移到國外成本較低的國家 也會造成國內失業的問題 這問題有點像機器人取代人力的問題
人類的基本消費可分 食衣住行 健保 教育與娛樂等 在先進的國家 一般食衣住行的消費 都成長不高 生活進步後 人們就會比較重視健保教育與娛樂 而在開發中國家 很多多以改進生活中的食衣住行基本消費為主 經濟較好的家庭則會多注重健保教育與娛樂
但整體而言 要增加食衣住行的基本消費 並不容易 例如人一天平均攝取 2000 大卡 很難說要再每年成長5% 一個家庭擁有一棟房子 如果要每年成長 5% 也不容易 行也是如此 總而言之 不可能為了消費成長而消費
在先進國家 也許食衣住行在量的方面不容易提升 但也是可以在質的方面提升 但畢竟有其界限
當量的問題解決 再過來就是質的問題 當質的問題也解決 要再有所謂的進步就難了 就好像考試一樣 從六十進步到七十比較容易 要從九十再進到一百就較難了
失業的問題 在於人對社會的貢獻的問題 你的薪資代表你從貢獻給社會的價值中所得到的回報 當然沒有工作並不意味著沒有價值 例如花草樹木 飛禽走獸 太陽也沒工作 但她們還是有價值 只不過從某個角度而言 她們可以不需要工作 或說不需要替人類工作來獲得報酬
有很多人都曾嘗試盡量過著自給自足的生活 例如 The New Good Life: Living Better Than Ever in an Age of Less
一書的作者 John Robbins 就與她的妻子小孩在加拿大過著近乎自給自足的生活 Early Retirement Extreme
一書的作者 Jacob Lund Fisker 嘗試盡可能早退休 利用之前工作所儲蓄的收入做投資 以輕便的方式過生活 當然他最近又回去職場工作 不過要提早退休 達到經濟上完全的自主性 還是要靠智慧與儲蓄
個人與家庭如何解決民生的問題 與一個國家社會如何解決其民生的問題 相去不遠 一味追求經濟成長而犧牲掉居住的環境 家庭的生活 人民的健康是沒有太大意義的
當遇到經濟萎縮時 也會遇到類似因需求驟減所導致失業的問題
另一方面 如果因自由貿易 企業將工作機會外移到國外成本較低的國家 也會造成國內失業的問題 這問題有點像機器人取代人力的問題
人類的基本消費可分 食衣住行 健保 教育與娛樂等 在先進的國家 一般食衣住行的消費 都成長不高 生活進步後 人們就會比較重視健保教育與娛樂 而在開發中國家 很多多以改進生活中的食衣住行基本消費為主 經濟較好的家庭則會多注重健保教育與娛樂
但整體而言 要增加食衣住行的基本消費 並不容易 例如人一天平均攝取 2000 大卡 很難說要再每年成長5% 一個家庭擁有一棟房子 如果要每年成長 5% 也不容易 行也是如此 總而言之 不可能為了消費成長而消費
在先進國家 也許食衣住行在量的方面不容易提升 但也是可以在質的方面提升 但畢竟有其界限
當量的問題解決 再過來就是質的問題 當質的問題也解決 要再有所謂的進步就難了 就好像考試一樣 從六十進步到七十比較容易 要從九十再進到一百就較難了
失業的問題 在於人對社會的貢獻的問題 你的薪資代表你從貢獻給社會的價值中所得到的回報 當然沒有工作並不意味著沒有價值 例如花草樹木 飛禽走獸 太陽也沒工作 但她們還是有價值 只不過從某個角度而言 她們可以不需要工作 或說不需要替人類工作來獲得報酬
有很多人都曾嘗試盡量過著自給自足的生活 例如 The New Good Life: Living Better Than Ever in an Age of Less
一書的作者 John Robbins 就與她的妻子小孩在加拿大過著近乎自給自足的生活 Early Retirement Extreme 一書的作者 Jacob Lund Fisker 嘗試盡可能早退休 利用之前工作所儲蓄的收入做投資 以輕便的方式過生活 當然他最近又回去職場工作 不過要提早退休 達到經濟上完全的自主性 還是要靠智慧與儲蓄個人與家庭如何解決民生的問題 與一個國家社會如何解決其民生的問題 相去不遠 一味追求經濟成長而犧牲掉居住的環境 家庭的生活 人民的健康是沒有太大意義的
4/03/2012
Ed Thorp and Fortune's Formula - Part I
Ed Thorp and etc. wrote an article, "How does the Fortune's Formula-Kelly capital growth model perform?", which is published on The Journal of Portfolio Management, summer 2011.
Kelly capital growth model is a constant rebalanced portfolio strategy. An article, "Dynamic Strategies for Asset Allocation", by Perold and Sharpe gives you a comparison of pros and cons of different investment strategies. Investors can get a simple idea about in which environment people can get some advantages from rebalancing their portfolio periodically.
From Ed Thorp's point view, the Kelly strategy is good for long term investing. Just investors have to choose a suitable factor to control the risks. A full Kelly strategy is very risky for the short term. Their article shows the results of different scenarios using full, 3/4, 1/2, 1/4, and 1/8 Kelly strategies. Actually we don't have to run such simulations to get the sense of how Kelly strategies perform, we can just use a spreadsheet with simple calculations that would give you a better idea how Kelly strategies work and how Log utility works.
Investors should know that when we talk about the performance of an investment, it's a multidimensional thing. We have to consider the risks, rewards, liquidity, taxes, transaction fees, and etc. No matter how, we need to consider at least two components, risks and rewards.
An interesting point is how to compare (risks, rewards) together. Some economists use Utility to describe human's behavior such as risk neutral or risk averse. The utility curve of (risks, rewards) is different to different investors due to their preferences. By the way, people should notice that Utility is not the only approach and it's not perfect.
The other thing to consider is when we say a strategy A is better than the strategy B. What do we really mean? Do we mean the expected return of A is better than the expected return of B? Do we mean the chance of A's final asset larger than B's final asset is greater than 1/2? Do we mean the expected growth rate of A's portfolio is better than the expected growth rate of B's portfolio?
Kelly capital growth model is a constant rebalanced portfolio strategy. An article, "Dynamic Strategies for Asset Allocation", by Perold and Sharpe gives you a comparison of pros and cons of different investment strategies. Investors can get a simple idea about in which environment people can get some advantages from rebalancing their portfolio periodically.
From Ed Thorp's point view, the Kelly strategy is good for long term investing. Just investors have to choose a suitable factor to control the risks. A full Kelly strategy is very risky for the short term. Their article shows the results of different scenarios using full, 3/4, 1/2, 1/4, and 1/8 Kelly strategies. Actually we don't have to run such simulations to get the sense of how Kelly strategies perform, we can just use a spreadsheet with simple calculations that would give you a better idea how Kelly strategies work and how Log utility works.
Investors should know that when we talk about the performance of an investment, it's a multidimensional thing. We have to consider the risks, rewards, liquidity, taxes, transaction fees, and etc. No matter how, we need to consider at least two components, risks and rewards.
An interesting point is how to compare (risks, rewards) together. Some economists use Utility to describe human's behavior such as risk neutral or risk averse. The utility curve of (risks, rewards) is different to different investors due to their preferences. By the way, people should notice that Utility is not the only approach and it's not perfect.
The other thing to consider is when we say a strategy A is better than the strategy B. What do we really mean? Do we mean the expected return of A is better than the expected return of B? Do we mean the chance of A's final asset larger than B's final asset is greater than 1/2? Do we mean the expected growth rate of A's portfolio is better than the expected growth rate of B's portfolio?
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