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22 hours ago, explo said:

Although solars had a nice recent run the TAN is still in the process of recovering the loss from the last high printed intraday on May 19, 2008.

Yes, it's hard to believe solars have spent TEN YEARS (and counting) wandering in the financial wilderness, so to speak.  Back then, I certainly thought I'd be financially independent by now.

Well, let's see what the next 10 years bring (chuckle)!

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On 2/21/2019 at 4:29 PM, solarpete said:

Yes, it's hard to believe solars have spent TEN YEARS (and counting) wandering in the financial wilderness, so to speak.  Back then, I certainly thought I'd be financially independent by now.

Well, let's see what the next 10 years bring (chuckle)!

Although out solars I have some Chinese young guns in the portfolio. I think CN stocks have been leading both solars and my portfolio lately. Thus the strangely correlated outperformance between my portfolio and solars past month. 

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On 2/21/2019 at 4:29 PM, solarpete said:

Yes, it's hard to believe solars have spent TEN YEARS (and counting) wandering in the financial wilderness, so to speak.  Back then, I certainly thought I'd be financially independent by now.

Well, let's see what the next 10 years bring (chuckle)!

Hold on my friend, TAN has formed a 9 year accumulation base circa 18 USD. It is unlikely that the sector will revisit the lows again, next hurdle is the 2018 highs at 26 once we clear that level the secular bull trend will be confirmed providing large returns over the coming years. And by large returns I mean 300-500% if we pick the winners.

I am betting on the largest returns coming from China and EU players.

Edited by tupapa

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On ‎2‎/‎4‎/‎2019 at 1:18 PM, SCSolar said:

Interesting chart with segment breakouts. You have 25% in what I view as the growth segments of Tech and Healthcare. These segments have outperformed the markets for the past several decades. They are my 2 primary segments that I look to to aid in outperforming the overall markets.

 

You have consumer discretionary as your largest market segment holding. Consumer discretionary does well when consumer confidence is good and under performs when confidence is week. Does this mean you are bullish on the overall economies going forward? Some of the market sentiment is weakening with higher interest rates and global economic growth slowing.

In an effort to reduce correlations in my stocks basket I've added a lot international stocks which has more than doubled the share of stocks outside US and China. As a consequence of this my exposure to IT and Health Care increased and the exposure to Consumer Discretionary decreased which should be a positive based on you view above. Another consequence was that the large cap bias was reduced from 77% to 68% by moving more into mid caps.

Current profile of the stocks basket:

market_caps.thumb.png.bb0e9c40902ad7dc53a1f30fe6e65cd8.pngcountries.thumb.png.6c9a3f5aa31e70e251356931c26cb713.pngsectors.thumb.png.fd49fc59b917e8f2578286e37d4d893b.pngindustries.thumb.png.8eca5103a9e168ff7175822e48f48bf5.png

Edited by explo

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Nicely timed Beta pullback to form the right-side inverse shoulder. Meanwhile Alpha printed a new high yesterday extending the Alpha vs Beta and Portfolio vs Benchmark divergence.

growth.pngsources.png

Edited by explo

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On ‎3‎/‎3‎/‎2019 at 6:13 PM, explo said:

In an effort to reduce correlations in my stocks basket I've added a lot international stocks which has more than doubled the share of stocks outside US and China. As a consequence of this my exposure to IT and Health Care increased and the exposure to Consumer Discretionary decreased which should be a positive based on you view above. Another consequence was that the large cap bias was reduced from 77% to 68% by moving more into mid caps.

Current profile of the stocks basket: 

market_caps.thumb.png.bb0e9c40902ad7dc53a1f30fe6e65cd8.pngcountries.thumb.png.6c9a3f5aa31e70e251356931c26cb713.pngsectors.thumb.png.fd49fc59b917e8f2578286e37d4d893b.pngindustries.thumb.png.8eca5103a9e168ff7175822e48f48bf5.png

In a further effort to enable growth sector focus I went through and qualified all large and mega cap stocks listed on NYSE and Nasdaq of American companies (after doing that for all international mid, large and mega caps listed there) and found a couple of dozen strong stocks to add to my pool of 250 stocks from which an automated mean-variance optimization typically allocates 100 stocks.

The only part of the US listed stocks universe not fully searched now is the American mid caps. Those have so far been opportunistically searched. This will be the last big effort to hone my stocks pool. I don't consider small or less caps. I use fund managers to find Alpha among small caps, since my allocation strategy requires more reliability (low failure rate) than is offered by smaller companies. I don't consider non-US listed stocks either, since it's too much work and not fully as accessible as US listed and I think that the US exchanges have a decent set of direct or ADR listing of international stocks, i.e. NYSE and Nasdaq has already done most of the work for me to weed out weak international stocks.

The consequence of adding more American large caps to the pool was naturally that USA and large caps got higher allocation again. More interesting is that the strengthened pool allowed me tune the automatic allocation to focus on higher risk/reward without breaching diversification requirements. This had the effect that SCSolar mentioned, i.e. that IT and Health Care and Communications Services sectors dominance increased further and Consumer sectors shrank further (Staples is almost wiped). 

Current profile of the stocks basket:

market_caps.pngcountries.pngsectors.pngindustries.png

Edited by explo

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4 hours ago, explo said:

In a further effort to enable growth sector focus I went through and qualified all large and mega cap stocks listed on NYSE and Nasdaq of American companies (after doing that for all international mid, large and mega caps listed there) and found a couple of dozen strong stocks to add to my pool of 250 stocks from which an automated mean-variance optimization typically allocates 100 stocks.

The only part of the US listed stocks universe not fully searched now is the American mid caps. Those have so far been opportunistically searched. This will be the last big effort to hone my stocks pool. I don't consider small or less caps. I use fund managers to find Alpha among small caps, since my allocation strategy requires more reliability (low failure rate) than is offered by smaller companies. I don't consider non-US listed stocks either, since it's too much work and not fully as accessible as US listed and I think that the US exchanges have a decent set of direct or ADR listing of international stocks, i.e. NYSE and Nasdaq has already done most of the work for me to weed out weak international stocks.

The consequence of adding more American large caps to the pool was naturally that USA and large caps got higher allocation again. More interesting is that the strengthened pool allowed me tune the automatic allocation to focus on higher risk/reward without breaching diversification requirements. This had the effect that SCSolar mentioned, i.e. that IT and Health Care and Communications Services sectors dominance increased further and Consumer sectors shrank further (Staples is almost wiped). 

Current profile of the stocks basket:

market_caps.pngcountries.pngsectors.pngindustries.png

Have you ever looked at American Tower(AMT?) in the communications sector. They started buying wireless towers from the Telcos back in the early 90's. They lease the towers back to all the Telcos and others. They dominate this sector. They are dividend paying and a nice sustained market cap growth.

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5 hours ago, SCSolar said:

Have you ever looked at American Tower(AMT?) in the communications sector. They started buying wireless towers from the Telcos back in the early 90's. They lease the towers back to all the Telcos and others. They dominate this sector. They are dividend paying and a nice sustained market cap growth.

I have looked at them. There is a problem with the chart during the dot-com bust that prevents it from getting allocated. If they were listed after that they would get allocated. It's a know flaw with strategy.

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Now that we are in 2019 I'm re-incepting the portfolio as of January 1st 2019 since there were major changes to the portfolio end of 3Q18 when the massive diversification of both stocks and funds was introduced.

Since the funds basket is no longer completely different during its initial period I can now break down the return not only by the risk streams but also by the asset streams of the portfolio. Further I'm breaking it down by the capital streams too now.

growth.thumb.png.285387e8b599e3dbb1307c6eaee30763.pngrisks.thumb.png.1bd2f6cb385d93ce41df018e18e5de95.pngcapital.thumb.png.6e1a20d7aa8a2d9d304cbcad42a2e795.pngassets.thumb.png.0a0f940834a089bbbe01bbcd2b0976a8.png

I'm also changing the illustration of the portfolio allocation to be a more simple high level view.

portfolio.thumb.png.ffd644f2f5741be75a613863fbe73d74.png

 

Edited by explo

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2019Q1 Return Volatility
Portfolio 36.74% 16.97%
Benchmark 12.71% 13.52%
Difference 24.03% 3.45%

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57 minutes ago, explo said:
2019Q1 Return Volatility
Portfolio 36.74% 16.97%
Benchmark 12.71% 13.52%
Difference 24.03% 3.45%

Nice, blows the doors off my returns of 18.5%, 16.6% and a retirement accounts return of  12.7%.  I am only 80% invested so actual returns are more.

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25 minutes ago, SCSolar said:

Nice, blows the doors off my returns of 18.5%, 16.6% and a retirement accounts return of  12.7%.  I am only 80% invested so actual returns are more.

Thanks. Your returns were likely achieved with lower volatility. On a risk-adjusted return basis it was still a very nice benchmark beat for me during Q1.

I'm by my 2x leverage target around 200% invested, but with a reasonable Beta value target of 0.9. The volatility target is 25%, which is 150% of the average market volatility, but with more normally distributed returns (less volatile short-term volatility) than the market.

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14 hours ago, SCSolar said:

Nice, blows the doors off my returns of 18.5%, 16.6% and a retirement accounts return of  12.7%.  I am only 80% invested so actual returns are more.

 

13 hours ago, explo said:

I'm by my 2x leverage target around 200% invested, but with a reasonable Beta value target of 0.9.

Although the leverage target is fixed the actual leverage is opportunistically flexible, but its level at any given time is rules based (to buy when relative prices are low) not by discretionary macro or other speculative decision. During Q1 it averaged 2.36x. I've let it naturally grow a little to avoid excessive costs during recent reconstruction as I expanded the asset allocation pool and increased the volatility target (but not the leverage target). If I were invested with your 0.8x lever my return would be almost 3 times lower at 12.45%. So my return on assets was below all of your returns, but likely with less volatility. When I recently increased my volatility target (thanks for you tip leading me to examine that path again after changing the allocation pool) more IT and Healthcare was allocated at the expense of Consumer like we discussed before. I think your asset allocation might still be more growth aggressive than mine and dominate your volatility (dampened by your low leverage) while my volatility is still quite low for the total asset allocation and is more dominated by the high leverage.

Since the period above is short and the return is high the risk-free return is negligible which means return on risk can be normalized simply by dividing with the volatility (normally the risk-free return should be deducted first). Since I'm still in the build up phase while you are closer to the tapping phase one cannot say that one level of volatility would be correct for both of us.

My new higher risk target remains to be tested by time. The December volatility spike was a good test for my previous volatility target and caused a drawdown depth of 25% compared to the market 20% as correlations spiked simultaneously but ended much more quickly than the market.

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2 hours ago, explo said:

 

 If I were invested with your 0.8x lever my return would be almost 3 times lower at 12.45%. So my return on assets was below all of your returns, but likely with less volatility. When I recently increased my volatility target (thanks for you tip leading me to examine that path again after changing the allocation pool) more IT and Healthcare was allocated at the expense of Consumer like we discussed before. I think your asset allocation might still be more growth aggressive than mine and dominate your volatility (dampened by your low leverage) while my volatility is still quite low for the total asset allocation and is more dominated by the high leverage.

 

Yes I would  consider the account with the 18.5% return as a high risk as of now. It is 20% of my investments in the markets and thus I consider it a relative low risk to the overall value. It is heavily weighted to foreign China, healthcare, and growth stocks.  The portfolio has benefited by a large gain in my core investment in a China ETF that has gained 27% this year. I entered into that fund Dec 12 in my rebalance  after reading that China was going to be looking to increase the RMB stength and the US was touting positive trade talks. That fund while a large portion of the one portfolio is only around 5% of my total market investments. If you looks at all foreign market investments I am about 8-9% in total. I consider that moderate risk exposure to the foreign markets. My other core holdings are Intel and MSFT have pushed 20% for the year. I consider those not volatile but MSFT has an index of 25.6%

 

The account with 16.6% returns is a moderate risk portfolio. It is 50% of my investments in the markets.  It has benefited from an increase in value in Marijuana stocks this year(got dusted last year) and from my core INTC/MSFT holdings. It has benefited from some short term trades in solar this year including a recent investment in TAN  after the earnings pullback.

 

Breakdown of investments 18.5% returns YTD

Cash 16% currently

Individual Stocks are INTC 5%, MSFT 5%

Funds/ETFs – SNP 10.3%, midcapGrwth 10.8%, CN 30%, Software 9.75%, Healthcare 12.3%

 

.Breakdown of investments 16.6% returns YTD

cash at 18.8% currently

Large Cap is 48.3%, mid/small cap is 14.6%, international 3.6%

Individual Stocks are MSFT 14%, INTC 6%,   Marijuana stocks @ 5%

Funds/ETFs - 2xDOW(DDM)11%, Heathcare 5%, SnP 7%, Software 5%, Nasd 11%, Solar 3%,

 

Retirement – SnP index fund thus the market match.

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Since your accounts have quite different holdings your total risk-adjusted return is likely higher than the average of the individual accounts. Diversification offers a free lunch when investing. This can maximize returns when combined with leverage to achieve the desired risk level. It sounds like you have a good setup for your risk comfort zone. It's cheaper to lever down than up.

Edited by explo

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On ‎3‎/‎14‎/‎2019 at 8:30 AM, explo said:

More interesting is that the strengthened pool allowed me tune the automatic allocation to focus on higher risk/reward without breaching diversification requirements. This had the effect that SCSolar mentioned, i.e. that IT and Health Care and Communications Services sectors dominance increased further and Consumer sectors shrank further (Staples is almost wiped).

My increased Health Care exposure took some beating last week. The previous exposure dominator Consumer Discretionary continues to soar. The new dominator IT is not disappointing.

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3 hours ago, explo said:

My increased Health Care exposure took some beating last week. The previous exposure dominator Consumer Discretionary continues to soar. The new dominator IT is not disappointing.

As I was heading out of town for several weeks, I pulled half my holdings and put a short the market with 1/3rd my holdings to reduce volatility exposures. As a result the total portfolios were down 1% this past week and remain up 15.5% for the year. Of the 3 holdings, my 401K that funds that track the  SnP market is +12%. Account A is up 18% and account B is up 16.78% while the overall market are up 15%. 

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5 hours ago, SCSolar said:

As I was heading out of town for several weeks, I pulled half my holdings and put a short the market with 1/3rd my holdings to reduce volatility exposures.

Prudent.

5 hours ago, SCSolar said:

As a result the total portfolios were down 1%

Same here.

6 hours ago, SCSolar said:

and remain up 15.5% for the year

I stand at 42.6%. I fear what will happen when the market goes south. The market has done nothing but going up since I increased my risk allocation a few months ago so I have no indication on what the behaviour will for a similar volatility spike as we saw in December.

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Approaching 50% return less than 4 months into the year. Nothing special in solar world, but this time my capital preservation strategy is better. After a long time of focus on asset allocation optimization and verification of Alpha and Beta return attribution I've recently focused more on return contribution analysis in order to verify that the allocation does not contain any poor contributors due to flawed strategy or tactic. I think that this continuous qualification of the strategy and tactic is key to long-term performance success.

---

Goal

Financial independence by 2030

Objective

15% annual return 25% volatility

Strategy

Rebalance optimal allocation

Tactic

Buy the dips and hold the rips

 

Allocation

allocation.thumb.png.50b8fe32ed77c298c499eebc826b596b.png

Return

return.thumb.png.e0bdd628a1f6ed25699ed44086cdece9.pnghigh_level_attribution.thumb.png.db7c2f4a4e356a3ff667f7614bc764da.pnglow_level_attribution.thumb.png.fa3a0175ae3065e542996c228bcd9078.pnghigh_level_contribution.thumb.png.eef17a562cfe3467dc33de3f3399aeb2.pngmedium_level_contribution.thumb.png.816f971a2b1962876919da44343b7a18.pnglow_level_contribution.thumb.png.481ac16d2561f441114e0cfebda4fe91.png

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On ‎4‎/‎28‎/‎2019 at 2:14 AM, explo said:

I think that this continuous qualification of the strategy and tactic is key to long-term performance success.

I think that's spot-on.  The simple buy-and-hold strategy that is still touted by so many "experts" simply does not work in a cyclical industry like solar, especially where the troughs can actually wipe out entire players.  True, the track record of active managers is even worse--leading to the persistence of the buy-and-hold advice--but I think that's because the vast majority of "active" managers don't take the time to perform the depth of analysis you do.

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On ‎4‎/‎28‎/‎2019 at 10:14 AM, explo said:

Approaching 50% return less than 4 months into the year.

Breached 50% the last day of April and marked the third double digit monthly return this year (March was mid single digits). Incredible point of time for the launch of the new less risk averse strategy..

return.thumb.png.b22440c903d9f2960f3e809b772b22ae.png

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On 5/1/2019 at 4:05 AM, explo said:

Breached 50% the last day of April and marked the third double digit monthly return this year (March was mid single digits). Incredible point of time for the launch of the new less risk averse strategy..

return.thumb.png.b22440c903d9f2960f3e809b772b22ae.png

Just curious how your portfolio is handling this down trend from the peak? Is it losing less than the uptrend?

 

I am still sitting on the side with

one account at 100% cash

one account 90% stocks 10% cash

One account at 80% cash

One account at 61% cash with protective short the market at 80% of invested

Retirement account at 90% invested in index funds

 

 

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5 hours ago, SCSolar said:

Just curious how your portfolio is handling this down trend from the peak? Is it losing less than the uptrend?

 

I am still sitting on the side with

one account at 100% cash

one account 90% stocks 10% cash

One account at 80% cash

One account at 61% cash with protective short the market at 80% of invested

Retirement account at 90% invested in index funds

 

 

It is losing. I had another management cost distorting the week as a hedge fund which is my largest investment is closing (similar to a buyout for stocks) so I had to reoptimize and reallocate a lot of captial. I put in around 40 orders during the weekend. It’s not a good time when the market moves a lot. The buys filled on Monday, but the sells have not filled yet. I can update when the week is final as it is the first sign of negative action this year.

Congrats on good cash allocation timing.

Edited by explo

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On ‎5‎/‎9‎/‎2019 at 10:53 PM, explo said:

I can update when the week is final as it is the first sign of negative action this year.

Here's the ugly picture of the week:

return.thumb.png.7f52b9da5815479ea17595536f338218.pnghigh_level_attribution.thumb.png.8549eb4f0491a442ce5e67c0bd222970.png

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