April 1, 2015 Update: Thanks to a reader, updated to reflect the correct allocations.
April 6, 2015 Update: Once again I've updated the GMR allocation, the correct allocation is "FEZ". I believe at the time I checked the allocations (March 31, after market close) Yahoo hadn't yet updated its data. I manually confirmed today that the other monthly strategy allocations should indeed be correct.
Cliff Smith Quarterly TAA signaled to be invested in long-term US treasuries for the 2nd quarter of 2015.
Thanks for your monthly updates but I'm confused at your GMR selections. Using your Google Sheet it shows EDV & MDY and your "TOS Study" has MDY over IEV by about 3% but id does agree on FEZ. Any clarification sure would help.
ReplyDeleteThanks
Kurt
Thanks for noticing, Kurt. I guess when I did these yesterday, Yahoo hadn't yet updated its data. -QH
DeleteQH, you have the April selection for Cohn's GMR wrong.
ReplyDeleteIt is not EDV, it is FEZ.
http://seekingalpha.com/instablog/23262673-tmdoherty/3719116-marc-cohns-gmr-taa-strategy-updates-and-analyses?v=1428097666
I think the problem is you are using Yahoo data. That feed is unreliable and full of errors, especially at the end of quarters. There's been a lot written about this on SA. The upshot is that if you want correct calculations for these strategies, you must use better data feeds than Yahoo.
TMD
Thanks TMD - Yahoo Finance is the only source I know of that provides free historical adjusted data, though if you have a better option in mind, I'm all ears! QH
DeleteHi QH,
DeleteYou can get free data from Stockcharts, and we know these data are considerably more accurate than Yahoo. Also, precision is much better, since the data go out to three and sometimes 4 significant digits. That can be very important for older data, where the prices dip below $5. The problem is that you have to directly take the data from the charts themselves.
Stockcharts provides the data in csv files, but only if you have a premium subscription ($49.99/mo).
But stockcharts' data sometimes has errors as well. On the plus side, they correct these immediately when notified, something that Yahoo never does.
I know of NO free data feed that gives accurate data. This is a huge problem. The only solution I know is to use curated data from a paid feed. Currently, we are using feeds from YCharts, and have so far found no errors there of any significance. One of our collaborators also uses a premium feed from Norwood, which seems to be extremely accurate.
TMD