22 May 2017: A clear division of tasks

In last weekend’s NRC Handelsblad, there is a column by Ben Tiggelaar. He is one of the best-known Dutch management teachers. The column is entitled ‘Why technique should rule us’. We were struck by Tiggelaar’s description of the perfect symbiosis between humans and automated systems. It is an accurate description of how our investment models work. And after reading it, it should not come as a surprise to you that our models are successful at investing. It takes Tiggelaar only two paragraphs that contain a total of 144 words to hit the nail on the head: “Everybody knows by now: in the case of really important decisions, a computer is more reliable than humans. All the time we make stupid decisions which make us, particularly in the long run, unhealthy and unhappy. [..] If programmed sensibly, computers do not do this. Not only because they are better at making calculations than us, but mainly because they have the power to totally annul themselves.
Our tragedy is that, at our best moments, we are able to draw up a universal declaration of human rights, but in daily practice we are very miserable at implementing these rights. You would wish that this could just take place automatically and mechanically. That the enforcement of good decisions were only a matter of technique. A clear division of tasks: humans come up with creative, beautiful and good ideas. Computers, robots and other techniques ensure a flawless execution.” [Translation by Tim]

white-chapel-logo-smallUS stock markets had another good day last Friday, but closed in negative territory for the week nevertheless. The S&P 500 index closed up 0.68%. The Dow finished up 0.69%. The NASDAQ gained 0.47%. Volatility eased strongly: the VIX lost more than 17%. As a result, UVXY ETFs lost 14.41%. On the other hand, XIV ETNs gained 6.4%. All of our models are in possession of XIV ETNs.
Danny Daredevil continued his march of high returns. His RSS closed at 390%. Danny‘s AAR is clearly above 200% at 216%. Adventurous Anny saw her RSS improve strongly as it ended at 32%. Anny‘s RSS is not so far away from 300% at 284%. Solid Suzy and Lazy Larry regained a substantial part of the lost ground and their RSS closed above 10%. Their AAR is 62%.
None of our models gave a trading signal at the end of yesterday’s session.

Model Holds Start date

RSS

YTD

QTD

AAR

Danny Daredevil XIV 1 January 2016

390.30%

21.63%

4.59%

216%

Adventurous Anny XIV 6 March 2017

31.86%

31.86%

8.27%

284%

Solid Suzy XIV 6 March 2017

10.48%

10.48%

0.88%

62%

Lazy Larry
XIV 6 March 2017

10.48%

10.48%

0.88%

62%

RSS = Return Since Start | YTD = Year-To-Date | QTD = Quarter-To-Date | AAR = Average Annual Return

 

Tim is a big fan of Japanese author Haruki Murakami. For some reasons unclear to himself, Tim has read the complete works of Murakami, except for the trilogy 1q84. Recently, Tim decided to correct this deficiency.
The first part of the first book is situated in a taxi cab in Tokyo. The radio in the cab is tuned to a music station which broadcasts classical music. “Janáček’s Sinfonietta – not a piece that is particularly suitable for a cab that is stuck in a traffic jam.”
Tim was not familiar with this small symphony by Leoš Janáček or any other compositions by the Czech composer. So, he first checked out the Sinfonietta and, after that, other works by Janáček. He was very much impressed by this beautiful classical music, especially by a four-part work called Pohádka.

 

 

Photo of Ben Tiggelaar by Elisabeth Ismail