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« Candidates and Fuel Prices | Main | Sell in May? »

May 04, 2008

Comments

oldprof

Mike - We have considered various commodity approaches. For the characteristics of our model and our validation process, we have not found the additions to be useful. Without going into a lot of information about our research, there were always better sector choices.

One limitation for us is the need to do extensive testing over multiple market cycles and still preserve plenty of out-of-sample data.

Others with a different approach to development might be successful, as Bill's comment suggests.

Thanks for the idea.

Jeff

Bill aka NO DooDahs!

Hmm, a system that tracks ETFs for all asset classes, including subsets of commodities, bonds, foreign countries, REITs, currencies, and domestic industries.

Novel idea!
http://billrempel.com/category/systems/systems-rotational/

Mike C

Have you considered testing/applying your system to the various pure commodity ETFs? Maybe it provide a superior result to many of the passive commodity indices like the Dow Jones AIG index.

It is now possible to get a pretty fine level of granularity at the individual commodity level. You've got USO for oil, UNG for natural gas, UGA for gasoline, DBA for agriculture, GLD for gold, SLV for silver, etc. At any given point in time, it seems like there are a few individual commodities outperforming and underperforming the passive index by a wide margin (look at oil, gasoline, and NG over the past 1-2 months versus gold and silver).

My commodity exposure the past 4 years has always been to the passive index via the PIMCO Commodity Real Return Fund which has provided quite good returns and diversification and non-correlation to stocks, but I've wondered if some type of rotational system across the individual commodities would be superior.

Saeid Nourizadeh

Hello, Could you please send me this report?

Thanks

"Interested readers can get a report via email on participating in our weekly trading program for individual investors."

Bill aka NO DooDahs!

MOO?

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