Comments for CSSA https://cssanalytics.wordpress.com new concepts in quantitative research Thu, 10 Apr 2025 08:18:53 +0000 hourly 1 http://wordpress.com/ Comment on Understanding the Link Between Volatility and Compound Returns by Lori W https://cssanalytics.wordpress.com/2012/03/12/understanding-the-link-between-volatility-and-compound-returns/#comment-116159 Thu, 10 Apr 2025 08:18:53 +0000 http://cssanalytics.wordpress.com/?p=2634#comment-116159 Thhanks for writing this

]]> Comment on The Growth and Inflation Sector Timing Model by david varadi https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116157 Mon, 31 Mar 2025 21:13:10 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116157 In reply to BT.

Hi BT, thanks for your comments they are quite valid. I get similar results using multiple methods including just comparing the relative strength of one portfolio to the other (Po/SMAn-1) or even (Po/Pn-1. The ratio was just meant to create a simple time series, and you can also subtract one portfolio’s returns from the others as well which creates a bit more drag than the ratio. best regards, David

]]> Comment on The Growth and Inflation Sector Timing Model by BT https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116156 Fri, 28 Mar 2025 23:24:10 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116156 In reply to david varadi.

i believe the way the indicator inflation curve was constructed assumes a ratio of 1 at the initiation of the data in 1990. This may be a lucky point to start the curve but I think it is misleading since it suggests the expected positive vs negative inflation portfolios were in a ‘neutral’ state at that time. It may be better to use the same data ratio but calculate the rate of change over a previous ( 1 year? ) period. I’m still investigating.

]]> Comment on The Growth and Inflation Sector Timing Model by david varadi https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116155 Tue, 25 Mar 2025 02:41:04 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116155 In reply to KG.

KG, the inflation indicator curve is the total return series of the expected positive beta inflation portfolio divided by the expected negative beta portfolio. best regards, David

]]> Comment on The Growth and Inflation Sector Timing Model by KG https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116154 Mon, 24 Mar 2025 23:31:20 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116154 Were total returns used in the modeling or just price returns? I am getting a different relative strength curve…

]]> Comment on The Growth and Inflation Sector Timing Model by Recent Quant Links from Quantocracy as of 03/23/2025 - Quantocracy https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116153 Mon, 24 Mar 2025 05:30:14 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116153 […] The Growth and Inflation Sector Timing Model [CSS Analytics] […]

]]> Comment on The Growth and Inflation Sector Timing Model by Thomas Pasturel https://cssanalytics.wordpress.com/2025/03/20/the-growth-and-inflation-sector-timing-model/#comment-116151 Fri, 21 Mar 2025 05:02:07 +0000 http://cssanalytics.wordpress.com/?p=4301#comment-116151 Excellent. Have you talked to the guys at Cayas?

]]> Comment on Permanent Portfolio Derivation and Historical Performance by The Growth and Inflation Sector Timing Model | CSSA https://cssanalytics.wordpress.com/2012/11/01/permanent-portfolio-derivation-and-historical-performance/#comment-116149 Thu, 20 Mar 2025 20:00:54 +0000 http://cssanalytics.wordpress.com/?p=2845#comment-116149 […] Capital to create an “All-Weather Portfolio”, and also referenced by Harry Browne (Permanent Portfolio), Geoffrey Moore at NBER, and Sam Stovall from Standard and Poor’s. The trends and/or momentum in […]

]]> Comment on The “All-Weather” Portfolio Derivation by The Growth and Inflation Sector Timing Model | CSSA https://cssanalytics.wordpress.com/2012/11/07/the-all-weather-portfolio-derivation/#comment-116148 Thu, 20 Mar 2025 20:00:51 +0000 http://cssanalytics.wordpress.com/?p=2864#comment-116148 […] matrix using real GDP and CPI was popularized by Ray Dalio from Bridgewater Capital to create an “All-Weather Portfolio”, and also referenced by Harry Browne (Permanent Portfolio), Geoffrey Moore at NBER, and Sam Stovall […]

]]> Comment on Business Cycle Sector Timing by The Growth and Inflation Sector Timing Model | CSSA https://cssanalytics.wordpress.com/2023/08/12/business-cycle-sector-timing/#comment-116147 Thu, 20 Mar 2025 20:00:47 +0000 http://cssanalytics.wordpress.com/?p=4065#comment-116147 […] the Business Cycle Sector Timing Model, I presented a simple sector rotation model that used the S&P500 as a proxy for expected […]

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