Search found 241 matches

by BJJ_GUY
Sat May 30, 2020 9:57 pm
Forum: Investing - Theory, News & General
Topic: SWAN ETF - 10% Leaps / 90% Treasuries
Replies: 167
Views: 15803

Re: SWAN ETF - 10% Leaps / 90% Treasuries

Yes, I very much understood that this ETF makes a volatility bet and its kind of insulting for you to assume otherwise. Ok, I didn’t “assume that you didn’t know what options were”. And no, I also didn’t assume “that you don’t know this ETF makes a volatility bet”. I think you might’ve CONFLATED th...
by BJJ_GUY
Sat May 30, 2020 9:29 pm
Forum: Investing - Theory, News & General
Topic: Growth Does Not Equal Profits
Replies: 11
Views: 629

Re: Growth Does Not Equal Profits

Sometimes investors think that growth in an industry or in a country's economy means the companies involved are good investments. Surely if there's growth, stocks will go up. That's not always the case. In fact, high growth may even signal lower profits due to heavy competition. An industry with in...
by BJJ_GUY
Sat May 30, 2020 9:13 pm
Forum: Investing - Theory, News & General
Topic: Growth Does Not Equal Profits
Replies: 11
Views: 629

Re: Growth Does Not Equal Profits

Sometimes investors think that growth in an industry or in a country's economy means the companies involved are good investments. Surely if there's growth, stocks will go up. That's not always the case. In fact, high growth may even signal lower profits due to heavy competition. An industry with in...
by BJJ_GUY
Sat May 30, 2020 9:06 pm
Forum: Investing - Theory, News & General
Topic: Growth Does Not Equal Profits
Replies: 11
Views: 629

Re: Growth Does Not Equal Profits

Sometimes investors think that growth in an industry or in a country's economy means the companies involved are good investments. Surely if there's growth, stocks will go up. That's not always the case. In fact, high growth may even signal lower profits due to heavy competition. An industry with in...
by BJJ_GUY
Sat May 30, 2020 5:15 pm
Forum: Investing - Theory, News & General
Topic: Correlation of every stock in the S&P with the index itself
Replies: 7
Views: 675

Re: Correlation of every stock in the S&P with the index itself

I've found some online tools that show the correlation of individual S&P stocks with the index itself but is there any tool out there that shows the standard deviation of the correlation of every stock in the S&P with the index itself (because I assume the average would always be 1) - basically jus...
by BJJ_GUY
Sat May 30, 2020 4:48 pm
Forum: Investing - Theory, News & General
Topic: Correlation of every stock in the S&P with the index itself
Replies: 7
Views: 675

Re: Correlation of every stock in the S&P with the index itself

I've found some online tools that show the correlation of individual S&P stocks with the index itself but is there any tool out there that shows the standard deviation of the correlation of every stock in the S&P with the index itself (because I assume the average would always be 1) - basically jus...
by BJJ_GUY
Sat May 30, 2020 4:35 pm
Forum: Investing - Theory, News & General
Topic: Physical gold ETF vs Physical gold storage
Replies: 8
Views: 674

Re: Physical gold ETF vs Physical gold storage

Do any of you with significant amounts of gold (10%+ of portfolio), own a mixture of gold ETFs (GLD, IAU etc) and gold bullion in a safety deposit box; or are you satisfied by solely using the ETF? The reasons to hold gold physically outside the financial system revolve around potential government ...
by BJJ_GUY
Sat May 30, 2020 3:33 pm
Forum: Investing - Theory, News & General
Topic: Physical gold ETF vs Physical gold storage
Replies: 8
Views: 674

Re: Physical gold ETF vs Physical gold storage

Do any of you with significant amounts of gold (10%+ of portfolio), own a mixture of gold ETFs (GLD, IAU etc) and gold bullion in a safety deposit box; or are you satisfied by solely using the ETF? The reasons to hold gold physically outside the financial system revolve around potential government ...
by BJJ_GUY
Sat May 30, 2020 2:25 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

Where did you come up with the 26% bonds (and 74% equity) asset allocation?This isn't correct as they have 150-200% invested in bonds. If you were just looking at the assets on the balance sheet, it can get confusing since it looks like they get all their exposures from total return swaps with a ba...
by BJJ_GUY
Sat May 30, 2020 2:14 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

Where did you come up with the 26% bonds (and 74% equity) asset allocation?This isn't correct as they have 150-200% invested in bonds. If you were just looking at the assets on the balance sheet, it can get confusing since it looks like they get all their exposures from total return swaps with a ba...
by BJJ_GUY
Sat May 30, 2020 12:41 am
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

Wealthfront was so certain of the worth of risk parity they automatically added a 20% allocation to the Wealthfront Risk Parity Fund, WFRPX, to every customer's portfolio, unless the customer opted out. They said, explicitly Our research PhDs and engineers spent the past year effectively replicatin...
by BJJ_GUY
Fri May 29, 2020 11:15 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

you can't take the 4 combinations of growth vs inflation too literally, i'm not saying you do, just saying the lines might be a little blurrier than people think gold typically moves on inflation expectations (coming crisis) so you might want to avoid it if you're late to the party, iow if the high...
by BJJ_GUY
Fri May 29, 2020 11:12 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

you can't take the 4 combinations of growth vs inflation too literally, i'm not saying you do, just saying the lines might be a little blurrier than people think gold typically moves on inflation expectations (coming crisis) so you might want to avoid it if you're late to the party, iow if the high...
by BJJ_GUY
Fri May 29, 2020 9:44 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

you can't take the 4 combinations of growth vs inflation too literally, i'm not saying you do, just saying the lines might be a little blurrier than people think gold typically moves on inflation expectations (coming crisis) so you might want to avoid it if you're late to the party, iow if the high...
by BJJ_GUY
Fri May 29, 2020 7:16 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

JamesDean44 wrote:
Fri May 29, 2020 6:52 pm
I haven't read anything about this particular fund, but those allocations don't seem at all like you'd expect from a risk parity approach. Where is the parity?
I thought exactly the same thing (also without wanting to make the effort to read more about it).
by BJJ_GUY
Fri May 29, 2020 7:14 pm
Forum: Investing - Theory, News & General
Topic: Correlation of every stock in the S&P with the index itself
Replies: 7
Views: 675

Re: Correlation of every stock in the S&P with the index itself

I've found some online tools that show the correlation of individual S&P stocks with the index itself but is there any tool out there that shows the standard deviation of the correlation of every stock in the S&P with the index itself (because I assume the average would always be 1) - basically jus...
by BJJ_GUY
Fri May 29, 2020 5:52 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

"Risk parity" is a term that was coined to describe the strategy used by Ray Dalio in one of his hedge funds, the "All-Weather Portfolio." I'm not sure that it actually has any clean definition, but usually it seems to mean "an attempt to clone or at least follow a strategy like that Dalios." As su...
by BJJ_GUY
Fri May 29, 2020 5:44 pm
Forum: Investing - Theory, News & General
Topic: Is this the end of risk parity?
Replies: 60
Views: 4502

Re: Is this the end of risk parity?

However, today the 30 year Treasury is at 0.881 and the 10-year is at 0.499. And people are still buying them, when they could get close to 2% insured in an online bank account???? To quote Cypress Hill, "Insane in the membrane"!!! I would love some smarter people to chime in here. I feel like a lo...
by BJJ_GUY
Sat May 23, 2020 2:48 pm
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosophy

At least to me, there seems to be a disconnect between Taleb and Mandelbrot's narrative books and the actual academic financial literature. If you read Taleb or Mandelbrot, you might get the impression that everyone goes around blithely assuming that changes in the prices of financial assets follow...
by BJJ_GUY
Sat May 23, 2020 2:35 pm
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

No offense, but if you are posting the question on this forum, then it’s best to admit you are way out of your league and focus on the basics. Why swing for the fences when singles and walks will get the job done? Why? Why should you want (or have the right) to mitigate risk if you are a biliionair...
by BJJ_GUY
Sat May 23, 2020 12:38 pm
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

Many people are familiar with Talebs popular works but not his more technical book Dynamic Hedging. Take a peak... https://www.amazon.com/Dynamic-Hedging-Managing-Vanilla-Options/dp/0471152803 Ha. I remember reading that. Definitely not a fun read like his others (and probably only worth it for peo...
by BJJ_GUY
Sat May 23, 2020 8:26 am
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosophy

The irony is that Taleb makes investment advice that requires that the market consistently and substantially under-estimates the probability of left tails. But at the same time, Taleb states that there is not enough data to predict the probability of left tails. Under these conditions, what basis i...
by BJJ_GUY
Sat May 23, 2020 8:10 am
Forum: Investing - Theory, News & General
Topic: Purchase of Re-insurance risk outside of re-insurance funds
Replies: 33
Views: 2182

Re: Purchase of Re-insurance risk outside of re-insurance funds

Packer All interval funds have the same sell limitations. The difference is at least for us we have daily buy liquidity, though the same redemption risks. But at least we know that SRRIX is marked to market daily. You can see this if you watch the fund NAV as a storm approaches. While no losses hav...
by BJJ_GUY
Sat May 23, 2020 7:16 am
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

Even far OTM puts are going to be expensive. This is a popular idea these days and volatility increases option prices. His books make it sound like this kind of thing is cheap, but it isn't. Agreed. And when you think about the other moving parts that Universa and strategies employ -- selling ATM o...
by BJJ_GUY
Sat May 23, 2020 7:14 am
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosophy

But, Taleb, and the guy who actually manages Universa, have always made the point that investors should allocate a small % of total capital to a tail hedge (insurance) strategy like theirs. yeah but you need to invest 25M minimum in Universa so it's not for most of us. Also what you say about valua...
by BJJ_GUY
Sat May 23, 2020 7:07 am
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

Even far OTM puts are going to be expensive. This is a popular idea these days and volatility increases option prices. His books make it sound like this kind of thing is cheap, but it isn't. Agreed. And when you think about the other moving parts that Universa and strategies employ -- selling ATM o...
by BJJ_GUY
Sat May 23, 2020 7:02 am
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosophy

Taleb's argument however, appears to imply options are mispriced and that tail events are impossible to predict. Yet, the fund he's an advisor for deals in these securities. The irony I don't understand where there is irony. His point is that you can find mispriced options for technical, structural...
by BJJ_GUY
Sat May 23, 2020 3:26 am
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosphy

Taleb has a very convoluted, obfuscated way of saying "personally, I like to play long shots." long shots with a huge payoff. Perhaps it's rational. And, he had got it right and won big twice. So, there should be some merit in his method. KlangFool This is the point, I think. Is playing high-reward...
by BJJ_GUY
Sat May 23, 2020 3:13 am
Forum: Investing - Theory, News & General
Topic: The Taleb Asness 'debate' in the light of Bogleheads philosophy
Replies: 146
Views: 7012

Re: The Taleb Asness 'debate' in the light of Bogleheads philosphy

long shots with a huge payoff. Perhaps it's rational. And, he had got it right and won big twice. So, there should be some merit in his method. KlangFool His funds don't have results that are posted publically do they? If you read further up the page, I had posted the links. He was right about 2008...
by BJJ_GUY
Sat May 23, 2020 2:36 am
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

Suppose you want do hedge for risk as Universa Investments L.P. does, but you are a retail investor. Can you do it yourself easily? How? You can start with far out-of-the-money (SPX) puts. There is obviously a lot more going on with the private tail hedge strategy, but this is the anchor position t...
by BJJ_GUY
Sat May 23, 2020 12:46 am
Forum: Investing - Theory, News & General
Topic: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?
Replies: 27
Views: 2000

Re: Can Taleb's risk mitigation strategy be implemented by retail investors (if so how)?

Suppose you want do hedge for risk as Universa Investments L.P. does, but you are a retail investor. Can you do it yourself easily? How? You can start with far out-of-the-money (SPX) puts. There is obviously a lot more going on with the private tail hedge strategy, but this is the anchor position t...
by BJJ_GUY
Thu Apr 30, 2020 4:09 pm
Forum: Investing - Theory, News & General
Topic: Win Win for Gold?
Replies: 25
Views: 1012

Re: Win Win for Gold?

The most idiotic criticism of gold that it "has no yield" (this is good). That used to be the most common complaint about gold, but despite bonds now yielding 0% real or less, most of those folks are still buying bonds. This seems to demonstrate that the lack of a theoretically expected real yield ...
by BJJ_GUY
Fri Apr 24, 2020 1:41 pm
Forum: Investing - Theory, News & General
Topic: Renaissance Says Quant Models Misfired During March Mayhem
Replies: 56
Views: 4852

Re: Renaissance Says Quant Models Misfired During March Mayhem

Thank you for the feedback, but I stand by my opinion in that it appears to be an unfair practice (if I were SEC, I would definitely investigate that). Imagine if you would go to a store and they would have products of low or so-so quality for "normal" customers "in the front" and of high quality f...
by BJJ_GUY
Fri Apr 24, 2020 1:08 pm
Forum: Investing - Theory, News & General
Topic: Renaissance Says Quant Models Misfired During March Mayhem
Replies: 56
Views: 4852

Re: Renaissance Says Quant Models Misfired During March Mayhem

You asked if it was normal and I told you the answer. You may not like the answer but that doesn't change the answer. If you think that's bad you should look into how investment banks make money. They make financial advisors and high-fee active fund managers look like saints. Sure, I understand. An...
by BJJ_GUY
Fri Apr 24, 2020 9:34 am
Forum: Investing - Theory, News & General
Topic: Renaissance Says Quant Models Misfired During March Mayhem
Replies: 56
Views: 4852

Re: Renaissance Says Quant Models Misfired During March Mayhem

If you think that's bad you should look into how investment banks make money. They make financial advisors and high-fee actively active fund managers look like saints. Agree. And what the banks do, often does disadvantage the counter-party. Very different from a hedge fund investor being jealous th...
by BJJ_GUY
Fri Apr 24, 2020 9:32 am
Forum: Investing - Theory, News & General
Topic: Renaissance Says Quant Models Misfired During March Mayhem
Replies: 56
Views: 4852

Re: Renaissance Says Quant Models Misfired During March Mayhem

Thank you for the feedback, but I stand by my opinion in that it appears to be an unfair practice (if I were SEC, I would definitely investigate that). Imagine if you would go to a store and they would have products of low or so-so quality for "normal" customers "in the front" and of high quality f...
by BJJ_GUY
Thu Apr 23, 2020 6:50 pm
Forum: Investing - Theory, News & General
Topic: Bonds won't get you anywhere!
Replies: 85
Views: 9045

Re: Bonds won't get you anywhere!

There's been very long stretches of time where bonds did better than stocks, especially long treasuries. Just because expected return of stocks is higher - that does not mean that it will show up. If you cherry-pick the data, you can come up with quite a few periods in time where bonds beat stocks....
by BJJ_GUY
Thu Apr 23, 2020 6:46 pm
Forum: Investing - Theory, News & General
Topic: Bonds won't get you anywhere!
Replies: 85
Views: 9045

Re: Bonds won't get you anywhere!

Bonds give you a steady cash flow and they keep the principle if held to maturity. If this is what you want, they get you there. Theoretically true. The problem is that owning via an ETF or mutual fund doesn't give you the pure form of current income + the best deflation hedge instrument. Implement...
by BJJ_GUY
Thu Apr 23, 2020 6:14 pm
Forum: Investing - Theory, News & General
Topic: Renaissance Says Quant Models Misfired During March Mayhem
Replies: 56
Views: 4852

Re: Renaissance Says Quant Models Misfired During March Mayhem

RenTech is quite transparent unlike most hedge funds. I never heard of the firm being described that way. I think that not only is it not transparent, but it also puts out a lot of disinformation, so that no one has any idea of what they are actually doing. It might not lie, but it is never divulgi...
by BJJ_GUY
Fri Apr 17, 2020 8:43 pm
Forum: Investing - Theory, News & General
Topic: Explain how negative interest rates work
Replies: 24
Views: 1985

Re: Explain how negative interest rates work

Why would anyone keep money in a bond fund or savings account that was charging you interest to hold your money? Other than I guess anyone with massive holdings that has no place else to put it. Where else are you going to put it? That's the point. They are discouraging people from sitting on cash,...
by BJJ_GUY
Fri Apr 17, 2020 8:37 pm
Forum: Investing - Theory, News & General
Topic: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now
Replies: 128
Views: 13169

Re: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now

Jim Simons also had a poor 1st quarter (especially March). Shall we consider Renaissance no longer elite? What about Two Sigma? I think you are mistaken: Jim Simon's clients had a poor 1st quarter. Jim Simons had a fantastic quarter. Okay, fair enough. The point was more symbolic anyway. (I don't k...
by BJJ_GUY
Fri Apr 17, 2020 8:31 pm
Forum: Investing - Theory, News & General
Topic: S&P PE now at 19.47
Replies: 33
Views: 2697

Re: S&P PE now at 19.47

Should I sell all my stocks and move to cash or something else? :confused Stocks are cheap. Interest rates are near zero. That all depends on your assumption about the ERP. What's yours? Damodoran estimated ERP as 6.02% with COVID adjustment on April 1. With today's price it should be around 5.5%, ...
by BJJ_GUY
Fri Apr 17, 2020 8:09 pm
Forum: Investing - Theory, News & General
Topic: Us government buying their own bonds?
Replies: 27
Views: 1780

Re: Us government buying their own bonds?

If so, then yeah as far as I know they haven't made an explicit mandate to peg parts of the curve ala The BoJ. However, with the asset purchases in motion this is absolutely what they are doing, wouldn't you agree? They have explicitly set a target for the Fed funds rates (0%-0.25%), which influenc...
by BJJ_GUY
Fri Apr 17, 2020 8:05 pm
Forum: Investing - Theory, News & General
Topic: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now
Replies: 128
Views: 13169

Re: Ray Dalio: ‘you’d be pretty crazy to hold bonds’ right now

I agree: if this is a general, rhetorical MACRO questions, then this is a good question. Emphasis: rhetorical. The reason I have o *COMPLETELY* ignore what he has to say about investing is that he has a terrible track record, in recent past. In my opinion, hedge funds have to be all about alpha. Al...
by BJJ_GUY
Fri Apr 17, 2020 7:06 pm
Forum: Investing - Theory, News & General
Topic: Us government buying their own bonds?
Replies: 27
Views: 1780

Re: Us government buying their own bonds?

Why are you speaking about yield curve control in future tense? That ship has sailed. While the Fed is doing "subtle" yield curve control, it's not yet announced an official Fed policy program with explicit targets for longer-term interest rates (like in the 1940s). This may come in the course of t...
by BJJ_GUY
Fri Apr 17, 2020 7:04 pm
Forum: Investing - Theory, News & General
Topic: Us government buying their own bonds?
Replies: 27
Views: 1780

Re: Us government buying their own bonds?

flyingaway wrote:
Fri Apr 17, 2020 7:03 pm
How is this different from a family in which husband is paying wife's debt?
Printing press doesn't exist in that household
by BJJ_GUY
Fri Apr 17, 2020 6:38 pm
Forum: Investing - Theory, News & General
Topic: Comparison of 5 Bond Portfolios amid Coronavirus
Replies: 12
Views: 899

Re: Comparison of 5 Bond Portfolios amid Coronavirus

Here are 5 different bond portfolios that are recommended by Bogleheads and many authors (I'll indicate where each comes from.) Looking at the Year-To-Date returns (and long-term returns) can help give us insight. How will a particular bond portfolio provide for investors over the longer term? How ...
by BJJ_GUY
Fri Apr 17, 2020 6:31 pm
Forum: Investing - Theory, News & General
Topic: Comparison of 5 Bond Portfolios amid Coronavirus
Replies: 12
Views: 899

Re: Comparison of 5 Bond Portfolios amid Coronavirus

iShares Intermediate Treasury (IEF) YTD 11.16% 10 Yr avg 5.28% Do you consider adding TIPS? As Swensen recommends? I'd love to hear Swensen's current thinking on TIPS as he recommended years ago. I wouldn't at all be surprised to find out that he thinks about it differently now. Many of the top end...
by BJJ_GUY
Fri Apr 17, 2020 6:24 pm
Forum: Investing - Theory, News & General
Topic: Us government buying their own bonds?
Replies: 27
Views: 1780

Re: Us government buying their own bonds?

How does US government buying their own bonds affect bond rates short and long term? The Fed's monetary stimulus programs primarily impact shorter-term interest rates (say 5 years or less). Longer-term rates (say 10 years and longer) are controlled more by the global bond market and their expectati...
by BJJ_GUY
Fri Apr 17, 2020 6:16 pm
Forum: Investing - Theory, News & General
Topic: S&P PE now at 19.47
Replies: 33
Views: 2697

Re: S&P PE now at 19.47

Should I sell all my stocks and move to cash or something else? No, IMO it's best to do nothing. Short term focus leads to behavioral mistakes and is usually a losing investment strategy. Keep you focus only on the long term. In the long term equity will recover and the market will go on to new hig...