Posts

Finding value in Singapore Pools Of all places, this is the last place I expect to find value. But I found it - supposedly! I compared the Singapore Pools Odds against Fivethirtyeight blog probabilities of teams’ winning various leagues. The spread in Singpore Pools is often insane. In a typical 1X2 game, the odds is around 15% - as compared to a spread of 3% in overseas betting houses - which btw is illegal in Singapore.

Does sector rotation - momentum strategy work? Faber sector rotation strategy is touted as a superior Tactical Asset Allocation strategy that could generate positive Alpha. This is evident in the post here http://stockcharts.com/school/doku.php?id=chart_school:trading_strategies:sector_rotation_roc. The strategy is pretty simple. Here is how it works, First, you choose 9 sectors Second, compute the 6 month returns Third, you only ‘trade’ once a month. For simiplicity I choose end of the month Fourth, you invest in 3 sectors with the highest past 6 month returns.

Analysis of Market Cap to GDP Warren Buffett, the world’s greatest investor once remarked that Country’s Total Market Capitalization to GDP ratio is a good indicator to measure the ‘temperature’ of the market. My wild guess is - he draws his inspiration from P/E ratio where price correspondes to the Total Market Cap and GDP to Earnings. Key points By historical standards, the Market Cap to GDP ratios are currently way above the average, 5-year and 10-year averages This may spell some bad news in the near term.

An all weather portfolio Based on the literature, permanent portfolio is an investment strategy that is able to yield moderate returns and relatively low volatility. Investor is recommended to invest equally (25%) into GLD, Index, Bond and Cash and rebalance it back to this proportion on regular intervals. This approach is something that I’m keen to adopt for a portion of my portfolio. To investigate the feasibility, I simulated a portfolio starting at $300 on Nov 2004.

I simply adapted the code in this post here (https://www.r-bloggers.com/backtesting-a-simple-stock-trading-strategy/) for the following momentum strategy. This is a momentum based strategy: Long if current day is <50 days of 200 days high. Nil position otherwise. Returns are pretty impressive for Singapore market. That being said, it will be useful to try it with different parameters and different markets! #Inspired by the blog post here-->https://www.r-bloggers.com/backtesting-a-simple-stock-trading-strategy/ #http://etfprophet.com/days-since-200-day-highs/ #Simple momentum strategy rm(list = ls(all = TRUE)) library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.