Search found 226 matches

by long_gamma
Sat Mar 24, 2018 5:56 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Financial Trends Persist
Replies: 51
Views: 4622

Re: Larry Swedroe: Why Financial Trends Persist

Yeah, iShares Edge MSCI USA Momentum Factor ETF (MTUM) is 100% long-only US stocks (mid and large cap), always fully invested. Stock selection is based on whatever has had better 2-6 and 2-12 momentum, scaled by volatility. It's an index fund following a stock-picking strategy, one of a variant on ...
by long_gamma
Fri Mar 23, 2018 8:12 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Financial Trends Persist
Replies: 51
Views: 4622

Re: Larry Swedroe: Why Financial Trends Persist

That is indeed pretty impressive performance. Thanks for bringing to out attention. I do like the fact that it has pretty low expenses, unlike most of the AQR products that are usually put forth for these strategies. I have not looked at the details, but are we sure this fund is employing trend fol...
by long_gamma
Fri Mar 23, 2018 6:30 am
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Why Financial Trends Persist
Replies: 51
Views: 4622

Re: Larry Swedroe: Why Financial Trends Persist

The fact that a widely respected Boglehead like Swedroe, who has historically been greatly opposed to market timing, has come around to trend following (after it has underperformed buy-and-hold for nearly a decade) should be very telling about the historic value of this strategy. So, where are all ...
by long_gamma
Tue Mar 13, 2018 4:33 pm
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 62
Views: 5286

Re: Bloomberg commodities index still in contango

I don't know if I'm interpreting this correctly, but my point is just that long commodities futures returns are correlated with inflation changes. If you're trading commodities long and short based on price momentum or any other kind of signals, you're not as net long as someone who's purely long. ...
by long_gamma
Mon Mar 12, 2018 5:46 am
Forum: Investing - Theory, News & General
Topic: Bloomberg commodities index still in contango
Replies: 62
Views: 5286

Re: Bloomberg commodities index still in contango

Though really, you don't have to stop there—you could go long or short based on roll yield as well as price momentum and... actually, if we want to be fancier, we could use assets other than commodities too and wait, now you're running a managed futures fund! :wink: Or without the other assets, tha...
by long_gamma
Sat Mar 10, 2018 7:54 pm
Forum: Investing - Theory, News & General
Topic: Looking for an example of a fund which has beat its index for 30 years
Replies: 93
Views: 9383

Re: Looking for an example of a fund which has beat its index for 30 years

Many trend following funds have beaten both Barclay hedge and S&P over long periods. Dunn from 70's Chesapeake from 88 Winton from late 90's http://www.chesapeakecapital.com/wp-content/uploads/downloads/2018/02/Diversified-LV-Snapshot-January-2018.pdf https://www.trendfollowing.com/performance/ http...
by long_gamma
Sat Feb 17, 2018 7:53 am
Forum: Investing - Theory, News & General
Topic: Why investors shouldn’t panic over falling bond prices
Replies: 36
Views: 6726

Re: Why investors shouldn’t panic over falling bond prices

Portfolio visualizer shows max. drawdown of 15.76% from mid 1979 to beginning of 1980.

In real terms it has lost plenty.
by long_gamma
Thu Feb 15, 2018 9:35 am
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

So if I am understanding correctly for a layperson, and please correct me if I am wrong somewhere: 1) VIX is calculated based on a complicated formula that uses the prices of out-of-the-money SPX (SP500) options 2) VX (VIX futures) are based on the expected future value of VIX, not VIX itself. 3) V...
by long_gamma
Thu Feb 15, 2018 7:14 am
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 915
Views: 200087

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

I have problem with his initial assumptions. Real-World Costs Of course …money is never free. I then raided the Federal Reserve Bank of St. Louis’s database (FRED), downloaded the monthly federal-funds interest rate, and simulated three borrowing costs. I permitted institutions to borrow at the fed-...
by long_gamma
Thu Feb 15, 2018 5:50 am
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

People call the VIX index the fear index or a measure of volatility for the S&P 500 index. But strictly speaking, it is an index that reflects the price of buying options on the S&P 500 index, isn't it? No, It is not measuring the price of those options. Price of those options are input for VIX cal...
by long_gamma
Wed Feb 14, 2018 10:46 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

In fairness, the issue you point out are issues related to owning futures and options, not ETNs. For the case in point, the ETN was driven by the math involved in VIX, which only trade as futures, which are calculated from options. The fact it was a ETN was not what caused it to explored. I do beli...
by long_gamma
Wed Feb 14, 2018 2:58 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

Thank you for the corrections. Can you explain the XIV, and ETNs in general? Why are ETNs considered unsecured debt? As other posters mentioned XIV gives exposure to opposite direction of VIX. If volatility goes down ETN holders make money, if it goes up they loose. ETN holders also make money, if ...
by long_gamma
Wed Feb 14, 2018 7:00 am
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

Here is my simple understanding of VIX, as a retail investor who watched this develop over several years from the sidelines. I am sure it is technically inaccurate in many respects. VIX is a Volatility index created by a business professor, Robert Whaley, in 1993. It tracks the volatility of the SP...
by long_gamma
Tue Feb 13, 2018 10:22 pm
Forum: Investing - Theory, News & General
Topic: Day trading for a living/career?
Replies: 95
Views: 7661

Re: Day trading for a living/career?

I guess you could say my husband "day trades" for a career. Not to brag, but this is his profile: - Graduate degree from MIT in computer science and math - 15 years of trading experience at major banks / investment houses - Support from whole teams of people who specialize in making sure he has the...
by long_gamma
Tue Feb 13, 2018 9:47 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

VIX is simply a gambling device. Like Bitcoin, it has nothing produced from it, no dividends, no real redeeming qualities whatsoever. Treasury bills are like buying a farm and leaving the land idle. Nothing produced from it, might rise in value with inflation when the interest rate is considered, b...
by long_gamma
Tue Feb 13, 2018 8:29 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

"The market expectation" is a fancy way of saying, what are the prices of S&P500 futures compared to now? A future contract of S&P 500 is an obligation about buying or selling S&P500 stocks on some day in future. A future contract is very similar to an stock option ; which is a chance to buy/sell a...
by long_gamma
Tue Feb 13, 2018 8:22 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

[ FWIW there are VIX-related products not trying to track short-term VIX futures but medium-term or some other VIX futures, so it's not necessarily just front-month and second-month futures. For example, VelocityShares Daily Inverse VIX Medium-Term ETN (ZIV) keeps an average maturity of 5 months, n...
by long_gamma
Tue Feb 13, 2018 8:12 pm
Forum: Investing - Theory, News & General
Topic: In plain English, please explain what was VIX, what happened to it and why?
Replies: 68
Views: 6296

Re: In plain English, please explain what was VIX, what happened to it and why?

VIX is a measure of the expected variance of the S&P 500 index. If the price is expected to move around a lot, call and put options are more expensive, and so VIX tracks that and goes up. What happened is this: a bunch of people realized that the actual volatility is generally lower than what peopl...
by long_gamma
Mon Feb 12, 2018 1:18 pm
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 915
Views: 200087

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

2) Regarding your answer above, 1 e-mini and 4 treasury futures is 530,000 notional value. I don't know the exact details, is maintenance margin for that around 10 to 15 thousand? Leaving a loss of only 25 to 30 thousand to wipe out the position? Max loss maybe as low as 4.7%? I know backtesting pr...
by long_gamma
Sun Feb 11, 2018 12:14 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh
Replies: 31
Views: 3494

Re: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh

Yes. If you are alluding to drop in recent prices, then it is pretty normal. Trend following does not do well in sudden reversal (momentum crashes). It does well in slow grind bear or bull markets. Prospectus does not say, what volatility they are targeting for. Looks like much less vol. targeting c...
by long_gamma
Sat Feb 10, 2018 11:05 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh
Replies: 31
Views: 3494

Re: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh

You can't blame people for looking at what's actually out there. If WTMF isn't a fair thing to look at because of its "glaring flaws," and if AQMIX isn't a fair thing to look at because it wasn't launched until 2010, then please suggest a fund or ETF that would be a fair thing to look at. If it is ...
by long_gamma
Sat Feb 10, 2018 9:09 pm
Forum: Investing - Theory, News & General
Topic: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh
Replies: 31
Views: 3494

Re: Larry Swedroe: Time Series Momentum (aka Trend Following): A Good Time For A Refresh

Wisdom Tree has an ETF following this approach, trading under the ticker WTMF. I'll let others look up how the fund has performed. WTMF has some glaring flaws. * It uses only 24 future components. Most of the CTA funds has lot more diversity. Even basic trend indicator, which i posted upthread has ...
by long_gamma
Sat Feb 10, 2018 12:31 pm
Forum: Investing - Theory, News & General
Topic: Day trading for a living/career?
Replies: 95
Views: 7661

Re: Day trading for a living/career?

Day trading is easier to do when the market's are going up. When they're going down or are very volatile, those are the true tests of day traders and then it starts to look more like gambling. Actually day trading is easier, when market is volatile. 2007-2009 was very good period for day trading an...
by long_gamma
Sat Feb 10, 2018 12:28 pm
Forum: Investing - Theory, News & General
Topic: Day trading for a living/career?
Replies: 95
Views: 7661

Re: Day trading for a living/career?

aristotelian wrote:
Sat Feb 10, 2018 8:49 am
It's called investment banking. Then you get to do it with other people's money.
No. It is not.

I-banking is raising money thru IPO, debt securities or M&A
by long_gamma
Sat Dec 09, 2017 1:30 pm
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: "Think you can time the stock market? Look at this chart first"

No the methodology of the study was done with daily returns, but the axis is yearly returns. That is why visually it looks like clusters. There are around 200 trading days/ year and the "clustering" would look MUCH wider apart if the x axis was spread out even quarterly instead of each year. There ...
by long_gamma
Sat Dec 09, 2017 11:52 am
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: Yes, you CAN time the stock market SOMETIMES

What you, nor anyone else, has shown is: 1. Is there at clustering of best days or worst days. No the last chart does not show that. it shows that clustering of the best and worst are around the highest 30 S.D. OBVIOUSLY having one of the largest movements in either direction (up or down) is going ...
by long_gamma
Sat Dec 09, 2017 10:58 am
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: "Think you can time the stock market? Look at this chart first"

I am not arguing for market timing. Since the article itself is based on the past performance, it is better to point out short comings of selective statistics. Since you want to compare it to balanced portfolio of stocks and bonds, how about comparing vol. targeting has much lower SD and drawdown th...
by long_gamma
Sat Dec 09, 2017 10:38 am
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: Yes, you CAN time the stock market SOMETIMES

^And the Volatility portfolio was only 0.5% a year extra. For many readers of this forum that's not worth it. Of course, many posters are paying an extra 0.5% or more in expense ratios, taxes, advisor fees, and behavioral things. This is probably why many people would just say "It's all in the nois...
by long_gamma
Sat Dec 09, 2017 10:15 am
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: "Think you can time the stock market? Look at this chart first"

http://theirrelevantinvestor.com/2016/01/22/it-was-the-best-of-days-it-was-the-worst-of-days/ Is there anything actionable here? I think so. Instead of staying in the market through thick and thin, there are signals here which have not been discussed by any of these articles. One should see why the...
by long_gamma
Sat Dec 09, 2017 6:22 am
Forum: Investing - Theory, News & General
Topic: "Think you can time the stock market? Look at this chart first"
Replies: 42
Views: 4718

Re: "Think you can time the stock market? Look at this chart first"

Doesn't this article encourage market timing? What if i am only in the market during best days and short the market during the worst days. It is common strategy employed by the day traders. Buy when the market breaks yesterday's high and short it when the market breaks yesterday's low. Close the pos...
by long_gamma
Wed Dec 06, 2017 7:22 pm
Forum: Investing - Help with Personal Investments
Topic: Risk management
Replies: 8
Views: 864

Re: Risk management

Risk arb has higher sharpe in last 12 years.

Is this viable strategy? Yes, in general prop desks does not want take directional risk. So this strategy fits that style.

Image
by long_gamma
Wed Dec 06, 2017 1:46 pm
Forum: Personal Finance (Not Investing)
Topic: CBOE to launch bitcoin futures trading on Dec 10, 2017
Replies: 12
Views: 1047

Re: CBOE to launch bitcoin futures trading on Dec 10, 2017

Creating a synthetic betting instrument to speculate is actually a good thing. This asset is one way street up is because no one can short this thing till now. It provides liquidity to this market, which might dampen the volatility imo. Maybe. Many futures require physical delivery. i.e., on the da...
by long_gamma
Wed Dec 06, 2017 1:42 pm
Forum: Personal Finance (Not Investing)
Topic: CBOE to launch bitcoin futures trading on Dec 10, 2017
Replies: 12
Views: 1047

Re: CBOE to launch bitcoin futures trading on Dec 10, 2017

You are undoubtedly correct in a theoretical sense. And also in the long term-- this may be another step on the path towards respectability for this thing. However I wonder whether in the short term it might just create more speculative fervour? The problem is that just because one can short it, do...
by long_gamma
Wed Dec 06, 2017 1:08 pm
Forum: Personal Finance (Not Investing)
Topic: CBOE to launch bitcoin futures trading on Dec 10, 2017
Replies: 12
Views: 1047

Re: CBOE to launch bitcoin futures trading on Dec 10, 2017

Creating a synthetic betting instrument to speculate on a synthetic currency whose main use is for speculation. The last "shark jumping" stage in this saga. Creating a synthetic betting instrument to speculate is actually a good thing. This asset is one way street up is because no one can short thi...
by long_gamma
Wed Nov 29, 2017 10:49 pm
Forum: Investing - Theory, News & General
Topic: Hedge Market Risk By Short Selling Index ETF Or Selling Index Futures?
Replies: 27
Views: 2280

Re: Hedge Market Risk By Short Selling Index ETF Or Selling Index Futures?

Comparing hedging to 10+ years of buy and hold is foolish. Hedging is done for specific reasons and specific time frame. OP has mentioned his reasons that he needs an hedge (personal life circumstances and taxes) and time frame. A general rule is that one should invest in stocks with at least a 5 ye...
by long_gamma
Wed Nov 29, 2017 8:48 pm
Forum: Investing - Theory, News & General
Topic: Hedge Market Risk By Short Selling Index ETF Or Selling Index Futures?
Replies: 27
Views: 2280

Re: Hedge Market Risk By Short Selling Index ETF Or Selling Index Futures?

Looks like you go thro' pro's and con's of your own question quite diligently. One thing about shorting during time of stress is broker margin rates and some lending rates for ETF's increases much more than span margin requirements of futures. Other good option is to use collars. With both skew and ...
by long_gamma
Sun Nov 19, 2017 11:35 am
Forum: Investing - Theory, News & General
Topic: Morningstar - AQR: The Vanguard of Alternative Investing?
Replies: 58
Views: 6173

Re: Morningstar - AQR: The Vanguard of Alternative Investing?

Add to the above reply, WDTI does have some weird rules like not shorting energy components (just long only).
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: 5240

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: 5240

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: 4298

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: 1024

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: 1024

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: 1024

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: Investing - Theory, News & General
Topic: [Yahoo Finance no longer works - Alternatives to download securities quotes]
Replies: 287
Views: 45732

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: 3517

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...