Search found 199 matches

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: 4308

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: 4308

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: 4308

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: 4308

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: 4308

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: 4308

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: 764

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: 906

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: 906

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: 906

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: 1971

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: 1971

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: 5317

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: 4977

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: 4977

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: 3990

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: 921

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: 921

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: 921

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: 263
Views: 31634

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: 3368

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: 2329

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: 3368

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: 1943

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 Page 3 say...
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: 1943

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 contango and some...
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: 3368

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: 2378

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: 3368

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: 3368

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: 625

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: 1343

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 tic...
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: 1343

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: 1716

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: 1716

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: 1716

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: 1716

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 correlation.
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: 3455

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: 2595

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: 2595

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: 2595

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 take the ...
by long_gamma
Mon Jan 23, 2017 3:22 pm
Forum: Investing - Theory, News & General
Topic: Tom Sossnof's derivative trades
Replies: 35
Views: 2595

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: 2595

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: 2595

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 in 1710 AD...
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: 5257

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: 5257

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: 5257

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: 1061
Views: 258400

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 "Tur...
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: 5257

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...