Technical Analysis

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  • 1.  Tail Risk Mitigation by Gary Antonacci

    Posted 03-31-2023 20:50

    Here is a nice summary article about momentum and trend-following by Gary Antonacci. I met Gary at AAII Houston in 2016, I was privileged to have him sign my copy of his 2015 book, "Dual Momentum Investing".

    "Tail risk is the probability that an asset performs far below or far above its average past performance. Tail risk is an investor's worst enemy. Extreme market moves can lead to changes in our risk preferences and cause us to act based on emotion rather than reason. We might buy when we would be better off selling, and sell when we should be buying. Gregg Fisher of Quent Capital said, 'We don't have people with investment problems. We have investments with people problems.' "

    AAII Houston TX Member

  • 2.  RE: Tail Risk Mitigation by Gary Antonacci

    Posted 04-02-2023 13:32

    Thanks, Peter, for providing this information to consider.

    I overlooked the awkward timing of a post on April Fool's Day and took your suggestion at face value. I read your link provided and then followed other links to additional materials on this topic.

    I concluded that a dynamic momentum strategy -- trading on patterns in variations detected in evolving trends - is way above my financial and emotional skill sets.

    I see this opportunity as trading one set of "known, familiar" risks for another set of "known unknown, unfamiliar" risks as Bob McNamara would say.

    I did enjoy reading the educational materials you steered me to. Thank you for taking time to help us improve our skill sets.

    However, I have enough cookies on "Cookie Tray" now just managing ... 

    a buy-and-hold strategy using

    ·      low-ER (lowers costs), high-AUM (higher liquidity) ETFs to

    ·      allocate beaten growth and value equities,

    ·      aligned and rebalanced by broad sector "momentum" to

    ·      historical changes in the phases of the larger business cycle as it

    ·      transmogrified by the residual impacts Fed monetary policy and

    ·      the capricious vicissitudes of Executive Branch fiscal/debt policy.

    That "tragic comedy" entertains me enough.

    I am more than comfortable with the positive imbalances in my current return/risk profile (as described above). The return factor continues to scale with an acceptable slope and the risk factor continues to scale at a much lower slope, both within the range of variation my risk profile dictates.

    I barely have enough time to keep my golf score in line with my age. That is a return/risk problem that challenges me greatly.