Podcasts I Listen To

June 6, 2015

I love to listen to a good podcast while driving. Following are the audio podcasts that I subscribe to:

Investing/Trading Related

Better System Trader With Andrew Swanscott: Link

Masters in Business with Barry Ritholtz: Link

Top Traders Unplugged With Niels Kaastrup-Larsen: Link

Trend Following with Michael Covel: Link

General Interest

The James Altucher Show: Link

The Tim Ferriss Show: Link

Marketing

Under The Influence By Terry O’Reilly: Link

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“There’s a lot of randomness in the decisions that people make.” Daniel Kahneman

My ETF momentum trading in May produced a satisfactory return of 1.0%. Five ETF’s were held through the month.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to the performance of a passive global ETF strategy.

Pure Momentum Passive Global ETF

The passive global portfolio is constructed with ETF allocations as per the table below.

ETF Passive Global Portfolio

The basis for the composition of this global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

 Pure Momentum vs All ETF

Had I invested $100,000 equally in the ETF’s that I select from I would have a gain of $3,378 versus the $9,925 gain that my momentum strategy generated. So far, it is fair to say that my momentum strategy is adding value.

Finally, I compare my performance against a professionally managed fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

 Pure Momentum vs Cambria Global Momentum

These are indeed early days for my ETF strategy but for a system that requires trading only once per month it has done very well.

You can always check on the performance of Pure Momentum by going here. To my Collective2 subscribers, I hope you are pleased with my trading results and are able to overcome investing’s greatest challenge – sticking to a strategy.

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We think, each of us, that we’re much more rational than we are. And we think that we make our decisions because we have good reasons to make them even when it’s the other way around. We believe in the reasons, because we’ve already made the decision.” Daniel Kahneman

My ETF momentum trading in April produced a very respectable return of 4.6%.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to the performance of a passive global ETF strategy.

Pure Momentum Passive Global ETF

The passive global portfolio is constructed with ETF allocations as per the table below.

ETF Passive Global Portfolio

The basis for the composition of this global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

 Pure Momentum vs All ETF

Had I invested $100,000 equally in the ETF’s that I select from I would have a gain of $3,912 versus the $9,165 gain that my momentum strategy generated. So far, it is fair to say that my momentum strategy is adding value.

Finally, I compare my performance against a professionally managed fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

 Pure Momentum vs Cambria Global Momentum

You can always check on the performance of Pure Momentum by going here. To my Collective2 subscribers, I hope you are pleased with my trading results and are able to overcome investing’s greatest challenge – sticking to a strategy.

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“We’re blind to our blindness. We have very little idea of how little we know. We’re not designed to know how little we know.” Daniel Kahneman

My trading in March produced an essentially flat return of -0.1%.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to the performance of a passive global ETF strategy.

Pure Momentum Passive Global ETF

The passive global portfolio is constructed with ETF’s with allocations as per the table below.

ETF Passive Global PortfolioThe basis for the composition of this global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

Pure Momentum vs All ETF

Had I invested $100,000 equally in the ETF’s that I select from I would have a loss of $97 versus the $4,255 gain that my momentum strategy generated. Five months is a meaningless time period to perform an evaluation over but I like what I see here.

Finally, I compare my performance against a professionally run fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

Pure Momentum vs Cambria Global Momentum

Again, the time period is very short but at the very least I am keeping pace with a professionally managed fund.

You can always check on the performance of Pure Momentum with statistics provided by Collective2 by going here.

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