Thanks Georg… and Steve. I’ll go back and search for those related discussions.
Hi Andreas,
thanks for the perspective and I mostly agree. I’ve been following what they say for a while, and still learning how to interpret what they say. It seems to me they trumpet victories and are quiet when things go against them, so it’s hard to gauge. I was following their downward call on interest rates for over a month and the 10yr was steadily moving upward the entire time, at or near the top end of their risk range, sometimes blowing through it - but today or yesterday they make a big deal tweeting victory because 10yr finally moved downward. I think bottom line is I don’t understand how to utilize what they’ve done except in very broad perspective which I think they’ve been more right than wrong on.
When my trial period expired I didn’t subscribe, but am still interested and pay attention to some tweets. If I can get a better feel for interpreting and balancing the overall picture I might subscribe at some point.
Within a macro framework, much of the discussion seems to focus on the daily up/down long/short pics they seem to advocate which seems largely based on technical trends of lower highs and lower lows for shorts, (or reverse that for longs). It’s seems a very trade intensive approach with lots of short positions which doesn’t really fit my mostly retirement account funds. Right now they’re still very bearish on emerging mkts and Europe, and cautious and waiting to go short on US.
I did find it frustrating during my trial period to incorporate their interest rate views when rates did nothing but go straight up for about 30bp over the course of a month when their model called for lower rates/overweight fixed income. Probably bad timing for the trial period in that case, but it highlights difficulty of incorporating a macro view on top of a systematic investment approach. It’s a bad feeling to buy defensive securities, and watch them drop like a rock. I decided I’ll just stick with defensive cash until I can better manage it 
I agree I think there’s something interesting there. but still learning how to interpret it. What they’re saying is definitely different than what Jerome Powell said in his press conference a day or two ago - so I’m watching w/ interest. Powell sounded pretty confident in his economic outlook for the U.S.
yes they got the rates thing wrong
the call to short EM was right though (Jan 2018)
Overall I like their framework on what works in what environment
I do not trade on it, just use it to avoid (trying) a Desaster like 2008
I would also not trade their calls, since they do not show
a captital curve on it, their risk ranges would be much to short term
trading for me.
the thing with my system is, that it works in almost all environments
it only does not work if the market is really, really dire
the most important thing for me is the capital curve of my
micro cap value momentum systems, if it does a lower low I am out
that has not happned since 2008 (backtest - 2011 and
realtime test from 2011 on.
even 2011 and 2015 my system worked fine,
so I will stay patient.
the only thing I will do is that if we are in quad 1-2 again (gdp rising, inflation falling, gdp rising, inflation rising)
I might put an industry filter on my system (tech etc.)
Also they might help me with what to hedge (like now short VWO)
But overall its more an intellectual fun part for me, I do not incooperate
it into my systematic trading aproach.
at the end of the day the p123 is the way to go.
I can backtest and I have a realtime test since 2011 on hundreds of
modells and the Modell I found and trade sometimes feels like the
wholy grail. so I am thankfull and trade it
Regards
Andreas
Andreas, thanks for the thoughts. I’m mostly leaning toward utilizing it as you mention - as sortof a guidepost of things to be cautious about.
re EM and DM. Yes, they’ve been very accurate in EM and Europe. That was an impressive contrarian call at the time. I had already reduced my EM exposure earlier in the year, but their macro discussions helped clarify some of the issues. My ADR models have done poorly this year - I would’ve done good to just avoid international mkts this year.
I sometimes bottom-fish EM, and luckily I’ve avoided some of the worst of it by reducing size earlier in the year, but I’d would have done better if I’d have know of their process and moved faster at the start of the year. That said - I do want to get long EM with size at some point (due to relative and absolute valuation levels), but am being more patient now than I might otherwise be after being exposed to their thought process.
I find it interesting that you’re having good success with momentum factor. I wasn’t able to find good use for it in my models.
On sector constrained models. I did build a utility sector model, but wonder if I might be better just using XLU to express a defensive viewpoint. I’ve also looked a healthcare models to express defensive view for quad 4, but when I look at the healthcare stocks so many of them look so very expensive to me. I wonder if healthcare stocks will behave like defensive stocks normally would in quad 4?
I reiterated my bull case #secularbullmarketUSA
Yes, Performance has been not good (15.44% since Jan 2018) and the DDs have been tough (22% on 12/24/2018) and the Performance
of value Momentum small caps have been terrible.
But I think the next 1.5 Years are going to be much, much better (so this is a cyclical call!)
I got a 30 Point check list, Nothing, Nothing is red, only 4 Points are yellow.
And most important: my strats (> 25) made over 100% in a 3 Years (also from 2007 - 2009 with no market timing!) time Frame the last 20 Years, and today it is only up 15% - 30 %, my take is, there will be a snap back (up)!
You might tell me, this must not be the case, it could stay difficult, the backtest does not count but the probability is: it is going to be better in the next 1.5 Years!
So if you are Long and your strat tells you so. Be Patient and follow it!
Best Regards
Andreas
https://imarketsignals.com/bci/
https://www.portfolio123.com/fed_model.jsp
https://stockcharts.com/h-sc/ui?s=%24NYAD&p=D&yr=0&mn=6&dy=0&id=p67700809413&a=203320456
The macrocharts one is interesting.
My guess is that the Black Swan event for emerging markets (which China is still lumped in with) is Trump’s trade war. It was totally unexpected and like any war, economic or military, will have, in the future, unexpected twists and turns. No one expected in 1935 that Germany would be economically wiped off the map just 10 years later in 1945. Will this current trade war have similar devastating consequences for either the current players or other currently unassociated countries? Adam Smith wrote the Wealth of Nations in 1774 to talk about trade wars and their terrible consequences. History is repeating itself. Emerging markets are the canary in the coal mine for this. I don’t think we have seen the true consequences yet for US or other countries earnings.
Hi Andreas,
In what I’m tracking for economic indicators I have several things flashing yellow and overall am in a cautious but invested state. But do have one component that’s in the “red zone” right now: Intermodal Rail Traffic. It’s been maxed out since May for me.
Probably the #2 factor that’s at a middling concern level is Industrial Production
But lots of other things look fine, so there’s positives balancing things out too.
edit: added image of what the econ tracker looks like now
Watch the Unemployment Rate, currently 3.7%.
If the November rate is 3.9% (to be reported on 12/6/2019) then my UER model will signal the next recession.
Since 1948, for 11 recessions, the signal would have provided a max lead time of 21 weeks, and a minimum lead of -13 weeks (late signal), and an average lead of 2 weeks.
https://seekingalpha.com/article/4290145-unemployment-rate-signal-recession-update-september-5-2019
So I am not so sure about a “Pretty cool bull case!”.
Andreas, your own Beta indicator (when Hi-Beta stocks perform better than Lo-Beta stocks the model signals investment in the stock market, otherwise investment in bonds) is currently in fixed income since 8/12/2019.
This indicator was brought to our attention by Andreas Himmelreich who noticed that it correlated well with his 5-stock portfolios, e.g. when high beta stocks were doing well, his portfolios went up in value, and otherwise it under-performed. (It’s all on the forum if you care to search.) So how is this portfolio performing lately?
high beta 5 Stock ports are doing very badly 
a 0.2% uptick in unemployment would be a huge miss and of cause a big hit to nearcasting recession modells…
Lets see how things develop, so far Iam Long and my strat is adding stocks…
Thanks Andreas keeping us informed. Your high beta model’s performance confirms the Beta-Timer’s signal.
Hi Georg and Andreas,
From Georg’s reference to Andreas’ High-Beta model, I wonder if this is a publicly viewable model? If so, I would appreciate a link. I couldn’t find it from searching. Thank you.
Also, I am curious why the email links for all members have disappeared from our profiles? For years, one P123 member could contact another privately to ask a basic question such as the one I just asked. It seems rather wasteful – in terms of space and distraction from the primary subject – to use a forum post to ask a simple question like the one I just asked when it could be asked privately (and the thread can stay on the subject).
When we could contact one another, I always welcomed messages from other P123 members – and that capability actually enabled the formation of some excellent, long-term friendships that I value highly. Please bring it back (or let us know a good reason why it was removed)! Thank you.
Chris
This will be fixed on Monday. The removal was inadvertent.
ATHs, Just saying
ok, lets get real:
hedgeye calls quad3 (gdp slowing, Inflation rising) for the 4th quater 2019.
Those guys are Pretty good, recommend the Webcast.
Also they helped me in bettering my trading Systems.
I put Quality in my ranking System and at the same time Industry Momentum and I got to tell you
it worked “Wonders”, especially I was able to add to the volumne filter (e.g. the System now picks more
liquid stocks even with better Performance then my old one with less liquidity).
https://www.youtube.com/watch?v=ht8BeyhQKPc&feature=emb_logo
Very good video on why we are mid cycle and why the best is in front of us!!!
So if (and only if) your modells tell you to stay long, be brave 
Best Regards
Andreas
Best Regards
Andreas
Some interesting data comparisons in his charts. We shall see in 2029 how much they are worth
Andreas,
For Industry Momentum, I been exploring PE expansion. For me it’s Momentum expressed via Sentiment.
Here are a couple of possible implementations;
-
FMedian(“PEExclXorTTM”,#Industry)/FMedian(“PEExclXorPTM”,#Industry)
-
FMedian(“PEExclXorTTM/PEExclXorPTM”,#Industry)
I use the first expression.
You may also want to experiment with;
FMedian(“ProjPENextFY”,#Industry)/FMedian(“ProjPECurFY”,#Industry)
Walter
PS Higher is better when used in a ranking system
Hi Walter,
I try it out, thank you!!!
Best Regards
Andreas
ATHs, just teasing