Bogleheads.org

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. ...

You can use Interest rate futures like ZN (10 year notes) or ZB (30 year bonds). I trade them both. They are as liquid as E mini S&P.

Both does not replicate TBM, but ZN will be close and has similar duration

Well, my idea is to leverage a low-risk, low-volatility, low-return portfolio. Let's say the portfolio is 95% BND / 5% VTI Is it possible to borrow at low rate like 1% and leverage this portfolio 5:1 or 10:1 ? TD Ameritrade provides a list of liquid futures: https://www.tdameritrade.com/investment-...

- 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. ...

Laurence Kotlikoff has done the math and primary care MDs (pediatricians, family docs) have no higher career earnings than a teacher. This is because of the high debt and the fact that their income comes in a short time span where it is heavily taxed. With the ACA on the horizon, MDs are likely to ...

I am not a doc so could some on this forum please comment on the cost of malpractice insurance? I keep hearing that it is prohibitive. I am a supporter of tort reform. I think if a doc cuts off the wrong leg you don't need 50 million dollars. Fifteen will do just fine. SC Costly, but frequently exa...

From the article "Empirical studies suggest that an increase in the Treasury yields does not necessarily lead to weaker equity performance. When yields on the 10-year note remain below 4%, the correlation between S&P 500 monthly returns and changes in 10-year yields are positive, which imp...

http://imageshack.us/scaled/large/90/snap12y.png http://guggenheimpartners.com/Perspectives/MacroView/Escape-Velocity-in-the-Economy?utm_source=The+Idea+Farm&utm_campaign=d9074e6838-First_Email8_14_2012&utm_medium=email From the article "Empirical studies suggest that an increase in th...

There are other methods to obtain "correct" asset allocation to minimize portfolio risk to account for fat tail. CVaR- Conditional value at risk model or ETL (Expected tail loss) model is one of them. http://en.wikipedia.org/wiki/CVaR Here is the M* article. http://corporate.morningstar.co...

Stockcharts is plotting Total return after all. Here is the data comparison of VIPSX from Vanguard website and Stockcharts. http://imageshack.us/scaled/medium/405/snap20e.png http://imageshack.us/scaled/medium/507/2011mz.png http://imageshack.us/scaled/medium/515/2010v.png http://imageshack.us/scale...

http://stockcharts.com/freecharts/perf. ... em,bnd,tip

You can plot both line or bar charts up to ten symbols.

Obviously these are price performances, not including total returns

Say you write a 6m covered call each month, buy it back next month when you write a new 6m covered call. You limit your upside on the stock, but you collect the option premia regularly. In expectation, you make no more money than the stock position outright. That may be true in indices. But single ...

But the real data does not support option premium is becoming smaller, because of efficient markets. I wonder why that is. I understand people saying that implied volatility is always (well, usually, probably) higher than realized volatility, but the question they should be asking is not whether it...

" Those were the people who are earning 200 bp over the S&P 500 with 2/3 the volatility! They don't want anyone suggesting that someone could come along and sell options at fair prices and eliminate their excess profits!" Those are all valid questions magician. But the real data does ...

Does this follow, essentially, the BXM strategy? I have a funny story about the BXM from a few years ago. Yes, BXM is the index and BWV is the actual product, which follows that index. http://www.cboe.com/aboutcboe/showdocument.aspx?dir=acnews&file=cboe_20070523.doc I would like to hear that fu...

Over long enough periods of time, covered calls, equivalently short puts, have the same downside risk and therefore the same upside (expected return) as a long equity position. Respectfully, this can't possibly be true. The time value of options (calls or puts) decays exponentially to zero. Options...

Even Vanguard has one; it's called the Market Neutral fund. (To see it in the list, include funds with a $50,000 minimum.) It is like a clock work. Some one asks about "Covered Call", and some one else points to Vanguard Market Neutral fund. Have you even read the prospectus? Market neutr...

Beating the index is easy peasy. If you want beat SP500, just buy $1,000,000 notional value using futures. Current June Emini future is worth 1512 * 50 = $75,600. So you need to buy 13 Emini SP500 contracts. Margin required for those contract is only 13*3,500 = $45,500 You have around $950,000 cash ...

yes, it has futures, options, mutual funds, stocks etc. Is this part of Options & Futures MBA course? If they are allowing futures, then it is not a fair game. Are they measuring performance in risk adjusted basis? Futures allow enormous leverage. Consider Emini S&P 500 index futures. This ...