Bogleheads.org

I agree completely. But, "on average, traders lost money" is useful. I would like to see author's definition of traders. If it is same as general financial media definition of a trader (any one with a margin account), then it does not surprise me. Trading is always about asymmetrical pay ...

I have a completely different view of the market. I think the market is extremely inefficient in almost every respect. There is an enormous amount of insider trading and information disparity. There is an enormous amount of false tips circulating through the market on a daily basis. There are highl...

Bogle is a closet market timer.

This is not the first time he is giving conflicting message. If he preaches "stay the course" then he should stick to that message. Otherwise he is muddling core message to his legions.

Wow! That is a high expense ratio. These locals must anticipate large successes Only big kahuna or successful trader can buy a seat in exchange. Most of them lease seats from exchange members, which can go from couple of grand per month. Remember they do get very cheap commissions for the privilege...

The Profitability of Day Traders Author(s): Douglas J. Jordan and J. David Diltz Source: Financial Analysts Journal, Vol. 59, No. 6 (Nov. - Dec., 2003), pp. 85-94 Comparison of Profitability Results. In general,the aggregate results from the two methodologies are similar, in spite of the fact that ...

Are their numbers replenished by new traders? If you meant traders who go bust are replaced by new traders? Yes, most of these locals lease seat on the exchanges on per month basis. So their place is taken by the new traders. There are only fixed number of members on these exchanges, so basically t...

Some what related to your background which might interest you.

http://sports.espn.go.com/espn/poker/co ... id=4381359

I thought traders on the floor were just facilitators of other peoples actual trades. :| Facilitators of other people are called "Floor Brokers". There are "locals", who trade in pits and they usually trade their own account. They usually follow the order flow and big momentum t...

Hi all I was wondering if anyone knows how hard it is to berak into a career in trading? It is very hard. Big bank trading desks only hire from MBA's from top 20 business schools. Quant desks hire only PhDs from top schools. I have dabbled a bit in investing. Have earned roughly a 80% ROI since 3 y...

OkieIndexer wrote:How does he come to the conclusion that the high equity premium right now means quite limited market downside?

He is probably referencing recent paper by NYFed.

See here
viewtopic.php?f=10&t=116213

We are just talking hypothetical's here. I am not sure exact nature of CD OP has. I respectfully disagree with your comments. If i were to hold these CD's, i would still hold on till it is called away or matures. First step in Fed tightening is stopping QE3. Their bond buying program is holding down...

My link in yesterday looks like is not working.

Here is the prospectus for "10 Year “30s – 2s” Yield Curve Steepener CD" with the CUSIP number 40431AZQ8
http://tinyurl.com/kh9gmtf

This looks like Leveraged steepner callable CD. I am guessing the last 2 (23) digit represents curve steepner between 2 year constant maturity swap rate and 30 year constant maturity swap rate. Based on last weekend swap rates, 30 year is paying 3.21% and 2 year swap rate is paying 0.46%. http://www...

Anyone who has listened to or read much of Mr. Munger would realize that of the many things he is: wise, generous , and he possesses an excellent sardonic wit, he is also a brutally blunt, irascible and sometimes a grumpy old curmudgeon. +1 http://money.cnn.com/2013/04/18/news/economy/munger-michig...

Starting year of this study does not make sense. Market microstructure in 90’s and early 2000’s is no way similar to the current market. Dark pools, which are where arbitrageur trades mostly these days have exploded since 2006. HFT activities were also not there in last decade. I am not sure patient...

Taylor Larimore wrote:Bogleheads:
Mr. Bogle warned about the stock "bubble" and urged his listeners to maintain a healthy allocation to bonds.

Isn't that market timing?

Isn't comparing Cramer's performance to Powerball jackpot odds is like comparing apples and oranges? Powerball jackpot picks are odds of picking 5 or 6 numbers consecutively. I don’t think Cramer picked 4 worst picks one after the other. He probably had many winners in between. Also author incorrect...

Your assumption of implied cost of 4%, due to loss of dividends is wrong. I already wrote above dividends are taken into account during calculation of option pricing. You can also use CBOE or any option calculator to figure out this. Here is the theoretical option price from CBOE calculator based on...

No, Ranger, I suggest evaluating "under-performance" as compared to a broad Index (like S&P 500 or Total Mkt if you prefer) - this should tell you if your "active strategy" has worked or not. We just have to agree to disagree. But it is pretty universal, when it comes to com...

I would suggest to those investors that they invest in CDs or bonds instead. What can I say. These investors, who invest in these strategies are High Net Worth (HNW) individuals and they are not typical bogleheads. They wont open 100's bank account to get their $250,000/$500,000 max limit CD's per ...

Regarding stat’s, it doesn’t say anything different than what I wrote before. Most of his under-performance when compared to M* long-short index came in his last year, which dragged down 1,5,10 year numbers. I suggest not losing sight of the fact that an Index Fund returns what the Index returns (mi...

+1 Drum up business, even accusing other successful firms are doing something illegal without offering any proof. http://www.bogleheads.org/forum/viewtopic.php?f=10&t=110296&p=1605993#p1605993 2)As to your other comment--it's Vanguard's choice to stick with simple index funds because they ch...

xerty24 wrote:Market Wizards

+1

In addition to that "Options, Futures & Other derivatives" by John Hull, which was text book for my "Derivatives" class

If to you this 10-year run happens to be "not bad," good for you! Absolutely, If Long/short was my bogey, then I will be thrilled with the performance from inception. $17,396 vs 14,483 of bogey. 10 years is par for the course. $11,046 vs $12,886 of bogey. Almost all of his under-performan...

2. Just wanted to show you: a. what happened during 77% (10/13) of HSGFX's short life, b. no one has a magic wand to effectively and consistently pick the best performers in the future, c. proceed at your own peril. Alas, even bogleheads not immune from comparing to wrong index. His is long/short f...

he runs a buy and hold stock fund with a hedging option which he uses when PE10 is high. PE10 has been high, so he has hedged and whiffed big time since the recovery. He uses Price to Peak earnings ratio, not PE10. http://www.hussmanfunds.com/popup/pricepeak.htm Recent P/PE chart http://www.vectorg...

In 2009, there was a plethora of Hussman advocates on this forum. Personally I think his gift for eloquently telling a compelling story far exceeds his ability to forecast future returns. +1 I enjoy his readings along with GMO, Bill Gross etc. Atleast with his funds, investors knows what they are g...

Since performance chasers exist both in index fund and active fund, I will stick with data comparing two bear market and two bull market period, instead of two bull market and one bear market. You can update your chart in next market. It must be painful for investors of roller coaster index fund, wh...

Cool. There are no performance chasers investing in these index funds. Most of the investors would have sold at the bottom of these roller coasters and piled on at highs. Just look at fund flow data. You are comparing capital preservation fund with index fund, which has a different objective. That f...

How would you you think about this in terms of structuring as an options trade? Thanks! I haven’t read the book you posted. Does the book give any suggestions to implement it? You can go thru’ Market-timer thread. I read that thread long time back. Don’t remember all the details about implementatio...

Tell me what you mean by circuit breaker. Do you mean the NYSE circuit breaker that's triggered on drops of the Dow? Yes. SEC has new rules now as of Feb 2013. It is based on SP500 now. New triggers are 7%,13% and 20% based on previous day close (instead of 10%,20% and 30% of Dow based on previous ...

Do you know if you get these 1:6 (~15%) rates with just 1 or 2 ETFs (and no hedge) in the portfolio, or do you get penalized by IB for a concentrated position? For concentrated portfolio with regular equities, margin goes up from 15% to 30% (1:3.33). If it is pure SPY position, probably it goes fro...

1) Would a "flash crash" of the type experienced in May 2010 be likely to wipe an account like this out? I'm concerned because VTI was momentarily down >50%, which could trigger a margin call and automatic liquidation of the entire position. I don't know whether a few crazy trades are eno...

http://libertystreeteconomics.newyorkfed.org/2013/05/are-stocks-cheap-a-review-of-the-evidence.html " The value of 5.4 percent for December 2012 is about as high as it’s ever been. The previous two peaks correspond to November 1974 and January 2009. Those were dicey times. By the end of 1974, w...

Cool video, but it is not reality of HFT.

If you want good discussion of hft, boglehead is not the forum.

Here is one:
http://www.elitetrader.com/vb/showthrea ... did=266552

am wrote:Anyone use exotic ETFs, options, etc?

Yes, Most of my portfolio is in derivatives

Insurance companies have to match their long dated liabilities with their assets. So they usually go to the long end of the curve in bonds. Individual investors (in my opinion) are in better position to execute this strategy. Instead of going for paltry yield and huge risk in long bonds, you can put...

If the stock has liquid options, you could use this strategy.

http://www.cboe.com/Strategies/EquityOp ... Part1.aspx
http://www.cboe.com/Strategies/pdf/StockRepair.pdf

There are lots of data here.

http://mba.tuck.dartmouth.edu/pages/fac ... BookEquity

in chart form

Related article from AQR

http://www.aqr.com/Portals/1/ResearchPa ... Asness.pdf

If that person is can get by with $450 k and he has $500 k portfolio, then it is better to [*] go with $450 k short duration bond funds and $50 k Equity. Think of that like floor with long term call option or [*] go with $400 k short duration bond + $100 k Equity, since the worst loss with this port...

You may want to take a look at this thread in Elitetrader.

Sle has excel file which has some variance swap data in excel file.

http://www.elitetrader.com/vb/showthrea ... did=255405

Not Akiva, but you can take a look at http://www.ederman.com/new/docs/gs-volatility_swaps.pdf It gives an example of constructing variance swap using range of options. But seriously if it is a major index, broker can quote variance swap. It dried up during credit crunch, but it is making come back i...

Thanks Akiwa. Your counter point is excellent and well written to boot :wink: This derivative thread was started by Larry. If some body has problem, then ask him to stop posting links to his article. One of the main reason for extensive contago in VIX futures in US, compared to Europe is voracious a...

Agree with Akiwa on futures.

This is from Santander study.

That's funny. How dare you even think about market timing? I personally use Tradestation for backtesting my assumptions and also it does place autotrade. My dataset are basically futures and mostly short frame. It is expensive, if you don't place certain trades with them. I think it is like $99/mont...

You can price out an option with or with out dividends to see the difference.

Wait, if create the synthetic long position, through buying a Call option and selling a Put Option, do you collect the dividend? For instance BND pays monthly dividend. which would be the bulk of the BND return. VTI pays quaterly dividend. How does that work? You don't receive actual dividends, but...

- You never actually own anything, they are cash settled every day based on movements in the index. It's simply a contract. -don't) Well it is equivalent to holding 500 shares of SPY. They are not cash settled every day. They are marked to market every day and cash settled at quarterly expiration. ...