Search found 185 matches

by long_gamma
Tue Feb 14, 2017 11:33 am
Forum: Investing - Theory, News & General
Topic: Valuation does not matter (may be)
Replies: 55
Views: 4219

Re: Valuation does not matter (may be)

4.Valuation Changes (13%) 13% of the total return is not insignificant... its the difference of a 10% return vs an 8.7% return... Over decades that difference is huge. So I would say that, yes, valuations definitely matter. One has to look at the counterfactual. Yes, Change in valuation accounts fo...
by long_gamma
Tue Feb 14, 2017 6:47 am
Forum: Investing - Theory, News & General
Topic: Valuation does not matter (may be)
Replies: 55
Views: 4219

Valuation does not matter (may be)

Interesting presentation about US equity market sources of return. Nothing ground breaking, but have not seen presented this way. https://blog.thinknewfound.com/2017/02/anatomy-bull-market-follow/ Rolling 30 year sources of return for US market https://s9.postimg.org/ikmzkpt33/Snap4.jpg free upload ...
by long_gamma
Sun Feb 05, 2017 8:48 pm
Forum: Investing - Theory, News & General
Topic: Does credit risk show up at the wrong time? [A look at 89 years of corporate bond data]
Replies: 42
Views: 3222

Re: Does credit risk show up at the wrong time? [A look at 89 years of corporate bond data]

Do you know of a longer running data series than this? Not exactly OAS. FRED added HQM corporate bond spot rate based on methodology developed by Treasury. https://news.research.stlouisfed.org/2017/01/fred-adds-corporate-bonds/ This is the comparison between 10 year spread between treasury and corp...
by long_gamma
Thu Feb 02, 2017 6:09 pm
Forum: Investing - Help with Personal Investments
Topic: Risk Parity Allocation Question
Replies: 9
Views: 685

Re: Risk Parity Allocation Question

Perhaps my language was inartful. It is based on the all-weather portfolio as you point out. Commodities are core to all-weather. What would you recommend considering as proxies for small value and international? I've backtested with TIPS in various forms but can't seem to find a scenario where it ...
by long_gamma
Wed Feb 01, 2017 8:19 pm
Forum: Investing - Help with Personal Investments
Topic: Risk Parity Allocation Question
Replies: 9
Views: 685

Re: Risk Parity Allocation Question

. I've tried mixing in commodities which is core to risk parity but in my calculations just increasing gold by whatever amount might have been allocated to commodities outperforms over any sustained time period, so I really don't get the inclusion of commodities. Thoughts? I think you are mistaken ...
by long_gamma
Wed Feb 01, 2017 7:11 pm
Forum: Investing - Help with Personal Investments
Topic: Risk Parity Allocation Question
Replies: 9
Views: 685

Re: Risk Parity Allocation Question

How did you come up with those weights?
For long term hold, I would rather go with SPY or VTI instead of QQQ. Don't know much about TGLMX.

Based on equal risk allocations I get different weights based on the data from 2004.
by long_gamma
Wed Feb 01, 2017 6:57 pm
Forum: Personal Consumer Issues
Topic: GETYAHOO broken? [Spreadsheet extension]
Replies: 7
Views: 656

Re: GETYAHOO broken? [Spreadsheet extension]

You could try Quandl also.
https://www.quandl.com/

I believe 100 querries is free per day. But if you register and get a token, unlimited querries are allowed.
by long_gamma
Wed Feb 01, 2017 6:07 pm
Forum: Investing - Theory, News & General
Topic: Discuss hedging the market with puts on an S&P fund.
Replies: 33
Views: 3025

Re: Discuss hedging the market with puts on an S&P fund.

Title of the thread is discuss hedging the market. We can dispense the notion that Covered call hedges anything. 1. Wait for the drop in SPY sometime over the next year. If your view is market is going down then selling your stock (even shorting, buying put) is a better strategy than selling a cove...
by long_gamma
Wed Feb 01, 2017 10:01 am
Forum: Investing - Theory, News & General
Topic: Are we misusing backtesting tools like portfoliovisualizer?
Replies: 21
Views: 2056

Re: Are we misusing backtesting tools like portfoliovisualizer?

qwertyjazz wrote:You mention Confidence Intervals - how about multiple testing? A 95% CI can quickly lose any meaning


Can you clarify multiple testing? What types of testing?
by long_gamma
Wed Feb 01, 2017 8:50 am
Forum: Investing - Theory, News & General
Topic: Discuss hedging the market with puts on an S&P fund.
Replies: 33
Views: 3025

Re: Discuss hedging the market with puts on an S&P fund.

Title of the thread is discuss hedging the market. We can dispense the notion that Covered call hedges anything. 1. Wait for the drop in SPY sometime over the next year. If your view is market is going down then selling your stock (even shorting, buying put) is a better strategy than selling a cover...
by long_gamma
Tue Jan 31, 2017 7:56 am
Forum: Investing - Theory, News & General
Topic: Ilmanen/AQR new method (and figures) for stock return forecasts: variants on earnings yield and DDM yield
Replies: 24
Views: 1619

Re: Ilmanen/AQR new method (and figures) for stock return forecasts: variants on earnings yield and DDM yield

In "Alternative Thinking: 2017 Capital Market Assumptions For Major Asset Classes" released earlier this month, contributors Antti Ilmanen, Swati Chandra, and Thomas Maloney provide AQR's yearly 10-year real return forecasts for different asset classes. Thanks for the article. Article in ...
by long_gamma
Tue Jan 31, 2017 7:38 am
Forum: Investing - Theory, News & General
Topic: Ilmanen/AQR new method (and figures) for stock return forecasts: variants on earnings yield and DDM yield
Replies: 24
Views: 1619

Re: Ilmanen/AQR new method (and figures) for stock return forecasts: variants on earnings yield and DDM yield

Commodities futures? Larry S, who advocated including them in the past, said that expected returns are very low due to backwardation. Any idea how AQR came up with this? The term commodities futures is too general to say it is in "backwardation". Some of the commodities will be in contang...
by long_gamma
Sun Jan 29, 2017 9:42 am
Forum: Investing - Theory, News & General
Topic: Discuss hedging the market with puts on an S&P fund.
Replies: 33
Views: 3025

Re: Discuss hedging the market with puts on an S&P fund.

I recommend looking at the specific outcomes of a specific set of positions in SPY and SPY put options. Then consider the range of possible levels of SPY 18 months from now. In order to have the characteristics that the OP describes, you need something like the following: 1. 1000 shares of SPY. Cur...
by long_gamma
Sat Jan 28, 2017 9:57 am
Forum: Investing - Theory, News & General
Topic: Oil Speculators, are you greedy or fearful?
Replies: 26
Views: 2105

Re: Oil Speculators, are you greedy or fearful?

I use cot net positions as one of inputs in my trading model, but with lesser weight. These reports are 1 week late. Be sure to count future options also along with future positions. I do not agree with speculators as dumb money and commercials as superior money. Short term reversals will get them c...
by long_gamma
Sat Jan 28, 2017 8:59 am
Forum: Investing - Theory, News & General
Topic: Discuss hedging the market with puts on an S&P fund.
Replies: 33
Views: 3025

Re: Discuss hedging the market with puts on an S&P fund.

I consider myself well versed in finance (for an amateur ;-)). The fact that I only have the dimmest idea about what the post above is telling us is a warning that if you don't understand it, you shouldn't invest in it . Hence the red letter warning. To be fair, OP is asking about speculating quest...
by long_gamma
Sat Jan 28, 2017 12:03 am
Forum: Investing - Theory, News & General
Topic: Discuss hedging the market with puts on an S&P fund.
Replies: 33
Views: 3025

Re: Discuss hedging the market with puts on an S&P fund.

OP did not state problem clearly. Whether he is looking for a hedge of his portfolio or his single stock position. He also mentions making more money than just plain hedge. Others have covered most of the aspect. I wanted to look at from a different perspective. These are all theoretical, none of it...
by long_gamma
Fri Jan 27, 2017 9:03 am
Forum: Investing - Help with Personal Investments
Topic: How much would you pay for trend following portfolio?
Replies: 4
Views: 478

Re: How much would you pay for trend following portfolio?

Not to be snarky, some people here don't have clue what the trend following is. Trend following can be any combinations of moving average, break out etc. Managed futures has lot of money following similar strategy.
by long_gamma
Fri Jan 27, 2017 8:54 am
Forum: Investing - Theory, News & General
Topic: Why is SPY (ER 0.10%) more popular than IVV (0.04%) or VOO (0.05%)
Replies: 8
Views: 1131

Re: Why is SPY (ER 0.10%) more popular than IVV (0.04%) or VOO (0.05%)

Though I guess it should also be said that a lot of institutions that need to trade the S&P 500 just use futures instead rather than any ETF. Probably combinations of both. If you want to hit the bid or lift the offer in SPY or its options it is one cent or $1 for one lot. For futures it is one...
by long_gamma
Fri Jan 27, 2017 8:12 am
Forum: Investing - Theory, News & General
Topic: Why is SPY (ER 0.10%) more popular than IVV (0.04%) or VOO (0.05%)
Replies: 8
Views: 1131

Re: Why is SPY (ER 0.10%) more popular than IVV (0.04%) or VOO (0.05%)

Expense ratio is far down the list for traders.

Check out top 10 trading volume etf's. None of them scream low ER to me.
http://etfdb.com/compare/volume/
by long_gamma
Fri Jan 27, 2017 7:52 am
Forum: Investing - Theory, News & General
Topic: Correlations between asset classes
Replies: 14
Views: 1377

Re: Correlations between asset classes

It would be interesting to see what the correlations he calculated for the next 19 years would be (1995-2013). I would imagine similar to yours. https://s27.postimg.org/ajwyzj03n/Snap1.jpg photo sharing sites One year rolling correlation between FTSE and SPX based on equal weighted daily returns fr...
by long_gamma
Thu Jan 26, 2017 6:52 am
Forum: Investing - Theory, News & General
Topic: Correlations between asset classes
Replies: 14
Views: 1377

Re: Correlations between asset classes

For what its worth, I'm pretty sure the trend has been increasing correlation for quite some time as markets become more tightly coupled through technology and globalization. I have not seen any papers claiming otherwise. Looks like peak globalization is behind us reflected both in political climat...
by long_gamma
Wed Jan 25, 2017 10:55 pm
Forum: Investing - Theory, News & General
Topic: Correlations between asset classes
Replies: 14
Views: 1377

Re: Correlations between asset classes

For sake of completeness, all 3 types of correlations for last 2 years.

Imagefree screenshot software

https://en.wikipedia.org/wiki/Spearman' ... oefficient
by long_gamma
Wed Jan 25, 2017 9:55 pm
Forum: Investing - Theory, News & General
Topic: Correlations between asset classes
Replies: 14
Views: 1377

Re: Correlations between asset classes

Portfolio visualizer looks like using "Equal Wt" correlation. This is from my calculations. https://s27.postimg.org/d76pnx477/Snap9.jpg 20mb image hosting Here is this from portfolio visualizer. https://s30.postimg.org/6qaa6txcx/Snap2.jpg image upload no resize I personally use EWMA correl...
by long_gamma
Tue Jan 24, 2017 8:00 am
Forum: Investing - Help with Personal Investments
Topic: Improve the 100% Equity Asset Allocation
Replies: 34
Views: 3120

Re: Improve the 100% Equity Asset Allocation

If you are hell bent not adding any bonds, then I would add asset class some what behaves like bonds or interest rate sensitive and some low correlated assets. Like Real Estate, High dividend funds (VYM,VIG) or utilities as bond proxy, commodities and gold as low correlated assets. Also I would add ...
by long_gamma
Tue Jan 24, 2017 7:37 am
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

The strategies are all some form of short volatility play. You can look at CBOE's PutWrite Index (http://www.cboe.com/micro/put/) or its more recent IronCondor Index (http://www.cboe.com/micro/cndr/) to get an idea of the returns you can expect from those. Risk premium enjoyed by individual traders...
by long_gamma
Mon Jan 23, 2017 7:58 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

Tom Sossnof a veteran in the industry. I haven't heard about Tastytrade until now, but I was a customer of ThinkOrSwim (now Ameritrade). AFAIK, these are legitimate operations, but realize the trading strategies themselves have risk. Some of them are the same strategies hedge funds use, and some we...
by long_gamma
Mon Jan 23, 2017 7:19 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

Even if the the market is informationally "efficient" and the bet is fairly matched (I believe it might not be), it doesn't make it a bet someone should take. There is no information asymmetry, when it comes to liquid contracts like SPY, ES, IWM etc. If anyone believes asymmetry, they can...
by long_gamma
Mon Jan 23, 2017 3:22 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

When you go out into the market, chances are you're not fairly matched, but instead are trading against someone who has better information and an advantageous position in the market. What is it you think you know that they don't? This argument is stale. Most of the popular futures and options have ...
by long_gamma
Mon Jan 23, 2017 2:57 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

ValueInvestor99 wrote:Implied volatility is a measurement of how profitable options are if stock price doesn't change.

What? profitable to who, buyers or sellers?
by long_gamma
Mon Jan 23, 2017 2:56 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2158

Re: Tom Sossnof's derivative trades

My son " a millennial" says derivatives are the waive of the future and I and most investors just have not heard much about this because they are only seven years old. Derivatives is there one form the other from very ancient times. Wikipedia says 1750 BC. First official futures exchange ...
by long_gamma
Mon Jan 23, 2017 1:04 pm
Forum: Investing - Theory, News & General
Topic: Hypo: What would you do if you were SURE of impending deline in markets
Replies: 62
Views: 4655

Re: Hypo: What would you do if you were SURE of impending deline in markets

As someone pointed out TOS has Level 2 requirements. What i don't understand is the risk for brokers, if they buy cash-secured puts or calls? They have money to purchase the stock, if it is put to them. If it is on margin, i can see liquidation problems for the stocks. The risk is that will be sued...
by long_gamma
Mon Jan 23, 2017 12:24 pm
Forum: Investing - Theory, News & General
Topic: Hypo: What would you do if you were SURE of impending deline in markets
Replies: 62
Views: 4655

Re: Hypo: What would you do if you were SURE of impending deline in markets

..., I'd buy as many put options as I could afford. Many brokers would not allow this for those inexperienced with options trading. are you sure? I know there are restrictions for selling puts, not for buying puts atleast for index puts. There could be restrictions on certain stocks or markets if s...
by long_gamma
Mon Jan 23, 2017 10:12 am
Forum: Investing - Theory, News & General
Topic: Hypo: What would you do if you were SURE of impending deline in markets
Replies: 62
Views: 4655

Re: Hypo: What would you do if you were SURE of impending deline in markets

..., I'd buy as many put options as I could afford. Many brokers would not allow this for those inexperienced with options trading. are you sure? I know there are restrictions for selling puts, not for buying puts atleast for index puts. There could be restrictions on certain stocks or markets if s...
by long_gamma
Mon Jan 23, 2017 10:06 am
Forum: Personal Consumer Issues
Topic: Best watch for around $5,000?
Replies: 1011
Views: 239506

Re: Best watch for around $5,000?

Move over Rolex, say hello to les-cabinotiers-celestia-astronomical-grand There was an article in Barrons Penta Daily regarding first million dollar watch. http://sihh.vacheron-constantin.com/en2/astronomical-watches/les-cabinotiers-celestia-astronomical-grand-complication.html from the article &quo...
by long_gamma
Mon Jan 23, 2017 12:27 am
Forum: Investing - Theory, News & General
Topic: Hypo: What would you do if you were SURE of impending deline in markets
Replies: 62
Views: 4655

Re: How would you invest if you were SURE of short-term deline in markets

A more interesting line of thought is if you thought there was a 75% chance that there would be a steep decline in the market. Then what would you do? In this case I would point you to the Black Litterman model. It allows you to state your positions and combine them with market expectations to come...
by long_gamma
Sun Jan 22, 2017 5:52 pm
Forum: Investing - Help with Personal Investments
Topic: 529 For my child: who should be the "owner" - me, my wife, or both of us
Replies: 7
Views: 845

Re: 529 For my child: who should be the "owner" - me, my wife, or both of us

College plan savings plan assets (like 529 plan) indeed protected from creditors in some states. Texas and florida comes to mind. http://www.statutes.legis.state.tx.us/Docs/PR/htm/PR.42.htm look for Sec. 42.0022. Some states like Newyork (last time i checked) protects after 2 years you fund your pla...
by long_gamma
Sun Jan 22, 2017 3:07 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168424

Re: QSPIX - thoughts on interesting fund

There's a considerable amount of leverage overall, but a lot of that is in the form of Eurodollar, 2-year Treasury, and other contracts that honestly do need to be leveraged a lot to make any kind of difference. You're acting as if there are strong directional bets on volatile assets relative to to...
by long_gamma
Sun Jan 22, 2017 2:12 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168424

Re: QSPIX - thoughts on interesting fund

https://s30.postimg.org/rcb059k6p/Snap3.jpg upload image online free Volatility was also rising just before the crash, going from around 10% to 20% just before the crash. With their vol target in practice, position would have been halved (approximately) before entering the crash. Also market struct...
by long_gamma
Sun Jan 22, 2017 1:50 pm
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168424

Re: QSPIX - thoughts on interesting fund

I just checked their "Carry" Paper. Their data series is longer than 1990. Equity Index Futures: 13 country from March 1988 Currencies: 20 of them from Nov 1983 Commodities: 24 Commodities from Jan 1980 Govt. Bonds: 10 govt. bonds from Nov 1983 US treasuries: sample period is from Aug 1971...
by long_gamma
Sun Jan 22, 2017 11:52 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168424

Re: QSPIX - thoughts on interesting fund

As far as i know, there is no factor timing involved. Fund follows mechanical approach. The positioning is determined mechanically, but not in a way that is strictly constant in any short-term sense. There's vol targeting and also some modest variation depending on the level of signal (style) agree...
by long_gamma
Sun Jan 22, 2017 9:30 am
Forum: Investing - Theory, News & General
Topic: QSPIX - thoughts on interesting fund
Replies: 1182
Views: 168424

Re: QSPIX - thoughts on interesting fund

In terms of returns going forward IMO I think there are issues here. First, they closed it because they thought it would affect performance if they did not & a performance shortfall has occurred despite this. The return was -.5% despite the strong performance of the value factor in 2016 almost ...
by long_gamma
Thu Jan 19, 2017 11:15 am
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 898
Views: 179761

Re: Should I use margin to buy a balanced fund?

Finally went thru' the thread. Very good discussion. You mentioned financing rate for futures as Libor 3 month in couple of places. I think it is true for equity futures (Libor + small spread), but for bonds it should be Implied Repo Rate. Otherwise with current Libor rates, your leverage could be v...
by long_gamma
Tue Jan 17, 2017 8:30 am
Forum: Investing - Help with Personal Investments
Topic: What's a bearish investor to do?
Replies: 33
Views: 4919

Re: What's a bearish investor to do?

You ask: Assuming that I'm correct to avoid buying puts, what other things could I do to limit my downside and/or profit from a decline? You are correct -- don't buy options, sell them and pocket the premiums. Sell 100% cash-secured out-of-the-money Put options (i.e. strike price below the stock pr...
by long_gamma
Tue Jan 17, 2017 7:42 am
Forum: Investing - Help with Personal Investments
Topic: What's a bearish investor to do?
Replies: 33
Views: 4919

Re: What's a bearish investor to do?

You could explore CPPI or variations of it. https://en.wikipedia.org/wiki/Constant_proportion_portfolio_insurance Some what similar is buying "In the Money" LEAP for say 10% of the portfolio and put rest in bonds. With vol's and to some extent skew are at lows (atleast near term), this may...
by long_gamma
Fri Jul 15, 2016 5:43 am
Forum: Investing - Theory, News & General
Topic: Options trading
Replies: 33
Views: 2448

Re: Options trading

To make money with options you *sell* them. You get paid for the risk that you take on in return. That risk is very real so it's not exactly "free" money. Here is a look at *buying* options (straddles and strangles in this case), the conclusion is that the expected return is negative: htt...
by long_gamma
Sun Jul 10, 2016 4:52 pm
Forum: Investing - Theory, News & General
Topic: Bayesian market predictions?
Replies: 75
Views: 5010

Re: Bayesian market predictions?

The probability that you will die in an asteroid collision with earth is estimated to be about one in 70,000 to one in 700,000. This is not just subjective, since numbers, locations and trajectories of asteroids are, to an extent, known, it has happened several times before over millions of years, ...
by long_gamma
Sun Jul 10, 2016 9:22 am
Forum: Investing - Theory, News & General
Topic: Bayesian market predictions?
Replies: 75
Views: 5010

Re: Bayesian market predictions?

After market collapsed by 22%, which was 1/10 power 88 probability markets adopted skew in their model. Are you saying that the probability of the 1987 22% market drop was calculated to be one in 1 x 10*88 ? How could anybody suggest that the chance of that happening could be anywhere near that low...
by long_gamma
Sun Jul 10, 2016 8:09 am
Forum: Investing - Theory, News & General
Topic: Bayesian market predictions?
Replies: 75
Views: 5010

Re: Bayesian market predictions?

So what's the probability that it was a 10 sigma event that took down LTCM, vs that their frequentist models were wrong? :P Blaming statistics easy way to let them off their failures. 10 sigma event is based on normal distribution, which is anything but. If one includes jump conditions, which they ...
by long_gamma
Sat Jul 09, 2016 5:29 pm
Forum: Investing - Theory, News & General
Topic: Bayesian market predictions?
Replies: 75
Views: 5010

Re: Bayesian market predictions?

If I were to define an algorithm for a Bayesian approach it would be as follows: - Use today's market value as prior . - Identify potential critical events and their probabilities of happening. - Consider what happened to the market in the past when these, or similar, events have happened. - Calcul...

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