AfTA 2010 Market Risk Management
Market Risk ManagementBy Don Wilson05/15/2010donsfunds.com
Define Areas of Equity Risk OverallEquities Market Risk (major indexes?) Sector Equities Risk (technology?) Or Asset Class Risk (commodities?) Individual Equity Risk (Enron?) Tom Dorsey – 85% of Risk in Market & Sector Position Sizing Volatility (Standard Deviation) Event Risk – No Control !
Other Types of Investing RisksInterest rate risk, the risk interest rates pose.Currency risk, the risk of foreign exchange ratesCommodity risk, commodity prices(e.g. corn, copper, ETC)And many others !!!
I’m Mad as HellAnd Not Going to Take it AnymoreAfter Living through the 1987 Crash, 1990 BearMarket, 1994 Bear Market.The Managed Market Risk Model was Born in 1994
What Comes First MarketRisk Management For Intermediate Term Time Period? ETF Fund or Stock Selection Sector or Asset Class Analysis IBD Ranking Newsletters ? I say “Quantify Overall Market Risk” 100% Long – Short – Cash ?
Measuring Market RiskMarket Risk AlwaysMoving - Up ? Down ?MarketRisk LevelHigh - ReduceMarket ExposureDraw a Line in the SandDeveloped ComputerModels that MeasuresMarket andAsset Class RiskLow - IncreaseMarket Exposure
Simple Three Element Model Stochastic Bullish Junk/ RSI of the VIXPercent from StockCharts.comBond Signal
SIMPLE RISK MEASUREVIX(implied volatility of S&P 500 index options)“fear index”
STOCHASTIC / RSI MEASUREStoch(21,13)/2 RSI(14)/2(other combinations useful) 0 – 100 Oscillator Indicator Can also use it to measure non-price issues Vix, new highs, new lows, volume, etcWhy do you use a 21 day stochastic with a 13 day smoothing? Theseparameters are not set in stone but were selected for mutual fund, ETF,and index fund management. The trading frequency is typically about 5-7round trip trades per year.
VIX Intermediate term RISK measure 50 level less fear 50 level more fear(stochastic RSI)
Bullish Percent Signal
Signal from Junk Bond Index
Constructing anotherRisk Management Model Ruttrand rutvol created in 1997 Tango5created in 2002
Small Caps Lead Up & DownUse Metrics from Small Caps
Small Caps Lead Up & Down
RUTTR5/7/2010 Ruttr D Stochastic 83.81Ruttr D Stochastic Trigger /2010 RUTTR-MACD-Trigger -1.89ruttr Buy & Sell both ruttr D Stoch & ruttr MACD must confirm the Buy or Sell5.04.03.02.01.00.0-1.0-1.89234-2.0-3.05/7/2010 Russell 2000 653.00This Chart Reference Only50MA ayJunJulAugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
RUTVOL BUY5/7/2010 NSVOL D-Stochastic 99.68rutvol Buy ruttr on Buy AND either NSVOL D Stoch OR Accutrack U/D Volume100.099.684680 80.060.040.020 20.00.05/7/2010 Accutrack of Up volume and Down volume -50.05rutvol Buy ruttr on Buy AND either NSVOL D Stoch OR Accutrack U/D JulAugSepOctNovDecCreated with AmiBroker - advanced charting and technical analysis software. http://www.a mibroker.com2010FebMarAprMay
RUTVOL SELL5/7/2010 NSVOL 2618504960.00This chart reference 900M5/7/2010 Nasdaq Composite 2265.64 50MA 2409.41This Chart Reference 2010 NSVOL D-Stochastic 99.68rutvol Sell either ruttr Sell OR NSVOL D Stochastic Sell100.099.684680 80.060.040.020 20.00.0MarMayJunJulAugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
Tango5
OTC ENVIRONMENT5/7/2010 Interest Rate 30 Year EMA 15/55 263.27Positive Interest Rate30yr EMA 0Reference /7/2010 OTC Price Oscillator 14.49Positive Price Osc 0Reference Line -20.05/7/2010 OTC McCellan Summation Index -1152.06 Reference Line 1000.00Positive Summation rMayJunJulAugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
OTC PRICE5/7/2010 OTC - RSI/Stoch 35.19 RSI Reference 50 RSI Ref 65Buy Positive RSI/Stoch 5090.080.070.06560.050 50.040.035.187930.05/7/2010 Nasdaq Composite 2265.64 50MA 2409.41This Chart Reference 2010 OTC Price Oscillator 14.49Positive Price Osc 0Reference Line -20.0MarMayJunJulAugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
OTC ADVANCE DECLINE5/7/2010 OTC Advance-Decline 18,60 Summation 1894.09Positive Adv-Dcl TriggerOTC Adv-Decl Summation Trigger 000-4000-50005/7/2010 Nasdaq Composite 2265.64 50MA 2409.41This Chart Reference 2010 OTC McCellan Summation Index -1152.06 19EMA -686.74Positive Summation yJunJulAugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
OTC NEW HI LO SUMMATION5/7/2010 Nasdaq Composite 2265.64 50MA 2409.41This Chart Reference 5/7/2010 OTC New High/Low Summation 1308.27Positive Hi-Lo Sum TriggerOTC New high/low Summation Trigger AugSepCreated with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.comOctNovDec2010FebMarAprMay
SummaryData by www.FastTrack.Net05/07/1005/06/1005/05/1005/04/10 05/03/10Dominant Market Score1.001.001.001.001.00Dominant Market Environment1.001.001.001.001.00Dom Mkt Risk-Price factor0.000.000.001.001.00Dom Mkt Risk-Adv/Dec factor0.000.000.000.001.00Dom Mkt Risk-High/Low 5 Total Score3.003.003.004.005.00NOTE: This score is printed for information onlybecause Tango5 is indicating SELL based on Step 2-1.
Performance
Introducing: TangoETFSix Asset Class Rotation Model LargeCap Small Cap Foreign (International) Bonds Real Estate Commodities
Unique Approach to Asset AllocationRotation & Risk ManagementLarge Cap10-40 ETF’sRisk AdjustedRankingSmall Cap10-40 ETF’sRisk AdjustedRankingLarge CapSmall CapRisk Management Risk ManagementInternational10-40 ETF’sRisk AdjustedRankingBonds10-40 ETF’sRisk AdjustedRankingETC.InternationalBondRisk Management Risk Management
ETF Selection Process We start with 800 ETF’sFilter those by what works best w Risk ModelsAge, those that have longer track recordsCategorize by Asset Class ETF Risk LevelRank ETF’s by Category for Risk Adjusted ReturnThen Select ETF’s to use in AAR Watch List's
Large Cap & Small Cap Equity Curves
Bond & Foreign Equity Curves
Real Estate & Commodity Equity Curves
Putting It All TogetherTango Asset Allocation RotationAnnualized Return 17.18%Max Drawdown 8.04%
Portfolio Levels from TangoETF AssetAllocation Rotation Model
Asset Allocation Rotation StatsRebalance Yearly
TangoETF Subscription Service Automated ETF Trading SystemEach Portfolio holds three/six positionsSubscriber receives email each nightEmails - Trade Gains Each Position,Portfolio Daily Gain, Positions to Buy, Sell or Hold.And a Link to Portfolio Daily Update on Web SiteSubscription 299.95 per yearSixty Day Free Trial
TangoETF Subscription Service
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Q&Adonsfunds.com BooksI recommend Stock Cycles by Michael A Alexander Mean Markets and Lizard Brainsby Terry Burnham Predicting the Markets of Tomorrowby James P O’Shaughnessy Trend Following by Michael W Covel
Stock Cycles by Michael A Alexander Mean Markets and Lizard Brains by Terry Burnham Predicting the Markets of Tomorrow by James P O'Shaughnessy Trend Following by Michael W Covel. Title AfTA 2010 Market Risk Management Author: bigtee Created Date: 5/24/2010 4:40:17 PM
American Family Therapy Academy, Inc. 1608 20th Street, NW, 4th Floor Washington, DC 20009 Tel. (202) 483-8001 Fax (202) 483-8002 afta@afta.org www.afta.org AFTA Founded in 1977, the American Family Therapy Academy is a nonprofit organization of leading family therapy teachers, clinicians, program directors, policy makers, researchers, and social
Standard Bank Group risk management report for the six months ended June 2010 1 Risk management report for the six months ended 30 June 2010 1. Overview 2 2. Risk management framework 3 3. Risk categories 6 4. Reporting frameworks 8 5. Capital management 10 6. Credit risk 17 7. Country risk 36 8. Liquidity risk 38 9. Market risk 42 10 .
81. Risk Identification, page 29 82. Risk Indicator*, page 30 83. Risk Management Ω, pages 30 84. Risk Management Alternatives Development, page 30 85. Risk Management Cycle, page 30 86. Risk Management Methodology Ω, page 30 87. Risk Management Plan, page 30 88. Risk Management Strategy, pages 31 89. Risk
Risk is the effect of uncertainty on objectives (e.g. the objectives of an event). Risk management Risk management is the process of identifying hazards and controlling risks. The risk management process involves four main steps: 1. risk assessment; 2. risk control and risk rating; 3. risk transfer; and 4. risk review. Risk assessment
Tunnelling Risk Assessment 0. Abstract 1. Introduction and scope 2. Use of risk management 3. Objectives of risk assessment 4. Risk management in early design stages 5. Risk management during tendering and contract negotiation 6. Risk management during construction 7. Typical components of risk management 8. Risk management tools 9. References .
4 FINANCIAL RISK MANAGEMENT: MARKET RISK TOOLS AND TECHNIQUES RISK MANAGEMENT SYSTEM The core elements of a financial risk management system are: Risk identification — The first stage is to identify the risks to which the organization is exposed. Assessment — The scale of each identified risk is then estimated, using a mix of qualitative and quantitativeFile Size: 317KB
Risk Matrix 15 Risk Assessment Feature 32 Customize the Risk Matrix 34 Chapter 5: Reference 43 General Reference 44 Family Field Descriptions 60 ii Risk Matrix. Chapter 1: Overview1. Overview of the Risk Matrix Module2. Chapter 2: Risk and Risk Assessment3. About Risk and Risk Assessment4. Specify Risk Values to Determine an Overall Risk Rank5
ADVANCED BOOKKEEPING KAPLAN PUBLISHING Introduction When a capital asset or non-current asset is disposed of there are a variety of accounting calculations and entries that need to be made. Firstly, the asset being disposed of must be removed from the accounting records as it is no longer controlled. In most cases the asset will be disposed of for either more or less than its carrying value .
