Unpublished - By Subject, then Most Recent
b. My Practice
4. Talks / Articles
5. Personal (Scott's Thesis)
Updated Sample Pivot Table for Allocation Work Allocation Pivot Sample.xls
Earlier and more detailed information about allocation is below. To put your own data in a pivot table, you may download this example, edit a row in the Master worksheet maintaining the formulas, and then delete the remained illustrative rows.
Realistic Financial Projections
January 12, 2006. Realistic Financial Planning2.pdf
This looks like a predecessor paper to the work on Monte Carlo. While the first page or so might be worth putting in with general client admonitions documents, the calculations might be a bit much for most.
Decide Allocation on Volatility or Probability?
3/21/2006 Volatility or Probability.pdf
Pretty thorough nine pages with lots of charts going over the old thing about opportunity costs of low-risk investing. Looks like it might have been the precursor to my Monte Carlo work.
Looks like the html version was posted for 4 days and then pulled in favor of the pdf above. Decide Allocation on Volatility
Update on Stock Selection
April 4, 2014. Update on Stock Selection.pdf
The first page gives a current overview of how I select stocks. The next two pages list principles and conclusions I have formed about investing in the context of current markets.
June 15, 2010 Research Process.pdf
A summary 4 page outline of assumptions, detailed research steps and observations was written at the end of a process doing stock selection research for three or four weeks. It was presented to the Twin Cities Chapter of AAII's Systematic Investing Special Interest Group on June 15, 2010. The resulting data and selected screens are available, but not prepared such as to make sense as stand-alone documents.
Odds Are Against Beating the Index
What percent of mutual funds (money managers) do better than their benchmark index over different time frames? The exceptional returns of Wenzel Analytics are unusual.
November 17, 2015. Momentum.pdf (Earlier draft of Momentum or Reversal.pdf?)
Every time I buy a portfolio of nicely trending stocks, they seem to reverse. The paper describes a study of weekly percent change since 2009 for the largest 3,000 stocks. I made several interesting discoveries in addition to clear evidence that for the last six years, stocks going down (and still around) give far better returns than stocks going up.
Fractal Dimension Indicator Research
October 19, 2013. FDI Research Summary.pdf
Markets are fractal rather than linear or normal. Using a Fractal Dimension Indicator developed for me on XLQ, I found screens that yield from three to five times market returns using either monthly or weekly data. A summary is provided of the data, methodology and tools used as well as some findings.
Low-Risk, High Return Portfolio
11/15/2012 Low-risk, High Return Portfolio.pdf
I don't know what portfolio this one-page promo piece is describing. Sounds great! The charts and data are specific enough that I should be able to chase it down. Might be interesting.
Use of Moving Averages, Volatility and Slope to Forecast Price
September 4, 2011 SP100-200 Report3.pdf
The search for timing rules using data mining technology continued another three months and resulted in what I consider to be a significant tool for stock selection and determining when to sell. The attached paper was written primarily for my own benefit for when I want to come back to research and examine what was done, what were the findings, or to replicate certain processes in other research. Extensive sections, such as on screen selection, were omitted from what is posted here but are available.
Screens were developed from the S&P 100 stocks with weekly histories up to thirty years, and then applied to stocks from the second 100 stocks of the S&P 500. I then did the opposite, compared results and did considerable testing in the process of identifying the best screen from among the seventeen finalists. Stocks are divided into Buy, Hold and Sell. Variations by year and by stock are shown, as is the implementation dashboard. The selected screen was derived from the S&P 200; when applied to the S&P 100 the Sell stocks had a .11% average percent change the next week, the Hold stocks .33% and the Buy stocks .59%. The returns for the Hold and Buy signals persist very well over the next month and next quarter. The Sell signal stocks. About a third of the Sell signal stocks return to a more average range.
Statistical Research to find Timing Rules
June 6, 2011 Timing Report.pdf
This study of moving averages looks for entry and exit points. Instead of using charts, this technical analysis applied a data mining analysis to fifty years of daily S&P 500 prices. Reliable and significant criteria were found to anticipate market movements three months and six months out. This description lists the variables that were useful and those found to be useless, followed by a description of the research methodology and findings - a summary of everything but the secret sauce.
Sector Rotation Portfolios (3/22/07) Sector Rotation Portfolio.pdf Sector Rotation Portfolio - 2.pdf
Research has found a backtesting annual return rate above 20%, after transaction costs, on about fifteen years of monthly data. If implemented through ProShares Ultra ETFs, we are looking at approximately double that return. Of course, the future won't be just like the past. Reports from two different algorithms are described in the respective pdf links.
Resilient Micro-Cap and AAII Shadow Portfolios. 2005. Resilient Micro & Shadow.pdf
Review of research leading to adoption of these portfolios.
a. My Practice
O'Shaughnessy Portfolio Added
April 4, 2014. O'Shaughnessy Portfolio Added.pdf
A Tested Source portfolio from James P. O'Shaughnessy has been added to most accounts. It is derived from the keynote address to the National AAII conference in November, 2013, and from his book What Works on Wall Street, Fourth Edition. The actual screen is adapted from an article in the March issue of the AAII Journal. The paper explains the portfolio and selection process. So far the portfolio is doing very well.
Quarterly ROI Variations by Client and Portfolio
April 1, 2013. Variations 2013-Q1.pdf
A one-page table shows the anonymous quarterly ROI for each client and for each portfolio held. A quick review of the client or portfolio columns gives some perspective on the variation in returns by client and by holders of the same portfolios.
Upgrades to Statistical Portfolios
December 16, 2012 Update to Statistical Portfolios.pdf
One new statistically derived portfolio was refined from an analysis of 450,000 rows from monthly stock data covering ten years. The new screen is compared to historical screens, with some confirmed and some dropped. Beyond the demonstration of very strong returns, the report reviews the methodology for how such screens are developed and tested.
North Stars Ski Touring Group members' report North Stars 2007.pdf
Several friends that I have met through the NSSTG have become clients. It is always a struggle to balance my wish to offer friends what I consider a valuable service (decide for yourself), and to have my service be part of our relationship, with the fear of coming across as another financial services sales person and interpretation that the friendship is merely a tool to build a client base.
Personal Investments: Allocation and Methodology Personal Investments.pdf
This summary of our personal investment allocation and returns was prepared for review by a small investment group from AAII. I recommend the exercise and format. December, 2007.
How does client performance vary by the size of account, the number of portfolios and the number of positions? Should a client expect average performance?
Sector Analysis of Holdings (2/6/07) Sector Analysis of Holdings.pdf
Being partial to stocks related to raw materials and resource scarcity, it easy to retain them in screens derived from other criteria and permit a distorted allocation balance to evolve. This report checks it out.
Statistical Research Update (12/21/06) Statistical Research.pdf
Our best performance is from statistical approaches. This update reviews the prerequisites for a screen or set of criteria for selecting stocks. Going back three years, charts show consistent exceptional average returns for each month going forward one quarter, six months and one year.
Size of Account as Variable 2006. Unpublished\Volatility 2.pdf
Why do larger accounts perform better. A one-page review.
4. Talks / Articles
AAII National Conference Keynote Address, November 2013
01 OShaughnessy What Works on Wall Street.mp3
01 James OShaughnessy - What Works on Wall Street.pdf
October 18, 2011 The Way Forward, Alpert, Hockett, Roubini.pdf ; Feldstein NYT October 12.pdf
It is difficult to sort out the reality from hype and panic in trying to make sense of current U.S. and global economics. Increasingly I look for a Ph.D. in economics as a credential for paying serious attention to an analysis or opinion. "The Way Forward" is a thoughtful but readable piece from The New America think tank. The Feldstein NY Times editorial is a brief but specific proposal as to how to manage the serious debt overhang in this country that I thought to be consistent with the background analysis and general proposals of "The Way Forward".
Game Over by Stephen Leeb, Notes & Questions
August 4, 2009 Game Over.pdf
Game Over by Stephen Leeb was recommended in the quarterly client letter. The book was also the discussion topic for an AAII book discussion group August 3. Here are Lee's notes and discussion questions.
"How One Investor Consistently Beats the Market by 10%." AAII Presentation, Madison, WI.
May 21, 2008. Madison WI AAII Presenation.pdf
The May 21 presentation to the Madison, WI, chapter of AAII was an updated version of the January 17 presentation in the Twin Cities. Most of the more detailed handout can be accessed at the link.
One Man's Story: How to Reliably Get Above-Market Returns Story Handout.pdf
A review of Wenzel Analytics methodology and performance was presented to the Twin Cities Chapter of the American Association of Individual Investors (AAII) on January 17, 2008, when Chris Farrell couldn't do the scheduled presentation because of health reasons. The link above is to the pdf of the outline/handout. All of the other referenced handouts are on this page, except for the PowerPoint presentation which was charts taken from that month's Stock Performance.
Notes from Money Show, Las Vegas, May 12-15, 2008. Money Show 2008.pdf Jubak Commodities Financials
The Las Vegas Money Show, held at Mandalay Bay, has approximately eighteen sessions running simultaneously for most of four days. Attached are the highlights of my notes from the sessions I found worth reporting. On some important questions, such as will the dollar continue to fall, I heard very little consensus. The mood was more anxious than the conference a year ago. What was most disappointing was the absence of empirical presentations. By empirical I mean, disclosure of a methodology when applied to a set of data that has a definable probability of producing a specific range of returns. Most of the presentations were an engaging story encompassing a set of assumptions or logic, capped off by a few stock tips.
The Jubak handouts were more complete. They were reformatted and are offered here in their entirety rather than being included in the other notes.
5. Personal (Scott's Thesis)
Scott's Thesis: "Policies of Modern Muslim Nations Toward Monotheistic Minorities: A Comparative Analysis"
Before he died in 2004, our son Scott wrote a superb Master's thesis with continuing relevancy. Since the pdf file is too large for most e-mail, a copy is provided as an alternative to sending you a compact disk.