Search found 394 matches

by lee1026
Sun Oct 25, 2015 8:44 pm
Forum: Investing - Theory, News & General
Topic: Market timing 2-year treasuries using Martingale-style bets
Replies: 87
Views: 7496

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

It's a term that I made up. It means that my effective purchase price of that futures position is reset to the new (lower) price. For example, say that I have 5 2-year note contracts purchased at $110.00. The price drops to $109.50. I buy 10 more contracts at $109.5 and then set a limit order to se...
by lee1026
Sun Oct 25, 2015 7:54 pm
Forum: Investing - Theory, News & General
Topic: Market timing 2-year treasuries using Martingale-style bets
Replies: 87
Views: 7496

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

I have been looking at the 2-year treasury data and noticed something. If the price ever drops, I can buy more and sell at the average price and effectively reset my basis. And it looks like I can sell a couple quarter ticks higher and cover my transaction costs. And about 80% of the time, it happe...
by lee1026
Fri Oct 16, 2015 7:15 pm
Forum: Investing - Theory, News & General
Topic: Why is my stock ask "missed"?
Replies: 25
Views: 4654

Re: Why is my stock ask "missed"?

OTC refers to "Over the counter". OTC stocks are not subject to regulation NMS and a single national best bid and offer. You are thinking of how the normal stock market works, this is closer to buying OTC medication at a drug store.
by lee1026
Sun Oct 11, 2015 12:55 pm
Forum: Investing - Theory, News & General
Topic: Ken Moraif must be getting nervous
Replies: 88
Views: 24882

Re: Ken Moraif must be getting nervous

Starting from the all time low is a wee bit unfair though. A better point would be to start from the initial "sell" order given before the 2008 plunge, assuming he gave one.
by lee1026
Wed Oct 07, 2015 6:16 pm
Forum: Investing - Theory, News & General
Topic: Gold synthesis and its effects on long term store of value
Replies: 77
Views: 7023

Re: Gold synthesis and its effects on long term store of value

Now it only has to be done on the "leveraged paper gold" futures market with gold that doesn't even exist, and blatantly manipulative and market-ruining moves are well known. It's well beyond the point where people can see the emperor has no clothes. The prices physical market is closely related to...
by lee1026
Tue Oct 06, 2015 6:00 pm
Forum: Investing - Theory, News & General
Topic: Gold synthesis and its effects on long term store of value
Replies: 77
Views: 7023

Re: Gold synthesis and its effects on long term store of value

There has already been enough manipulation exposed to prove that it really happens, so it's certainly not all just a lot of accusation either. I'm sure they don't call it the the "London Gold Pool" price suppression scheme for nothing with its own Wikipedia entry, for instance...https://en.wikipedi...
by lee1026
Thu Oct 01, 2015 5:45 pm
Forum: Investing - Theory, News & General
Topic: Gold synthesis and its effects on long term store of value
Replies: 77
Views: 7023

Re: Gold synthesis and its effects on long term store of value

My point was that in any one of these apocalyptic scenarios, gold is unlikely to be very liquid, or desired, as an asset or a medium of exchange.
Depends on how "apocalyptic" apocalyptic scenarios turns out to be. Massive inflation did happen in the US in 1980, people who had gold did fine.
by lee1026
Tue Sep 29, 2015 2:04 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20319
Views: 2778100

Re: U.S. stocks in freefall

Keep in mind that PE10 was not published until 1988, and didn't become popular until much later. Google trends suggest that it didn't become popular until around 2009-2010, but that is an unreliable way to say when something become popular. If you want to argue that PE10 failed after the 1990s, then...
by lee1026
Fri Sep 25, 2015 6:19 pm
Forum: Investing - Theory, News & General
Topic: Reducing Risk with Negatively Correlated Assets?
Replies: 87
Views: 8840

Re: Reducing Risk with Negatively Correlated Assets?

Not something that you would see in real life. A stock with a zero beta would have 100% specific risk and 0% market risk. I would postulate that there are no stocks like this. The value of a stock is future cash flows discounted by time. A good chunk of market movement is from the discount rate cha...
by lee1026
Fri Sep 25, 2015 4:24 pm
Forum: Investing - Theory, News & General
Topic: Who Believes in International Bonds and Why
Replies: 44
Views: 4602

Re: Who Believes in International Bonds and Why

If I understand the No Arbitrage Pricing Theory of Futures, futures don't tells us the price of something in the future - it tells us what the current yield curve is. Or am I missing something here? What data and calculations are you using? Yes, the market tells us what the current yield curve look...
by lee1026
Fri Sep 25, 2015 3:19 pm
Forum: Investing - Theory, News & General
Topic: Who Believes in International Bonds and Why
Replies: 44
Views: 4602

Re: Who Believes in International Bonds and Why

U.S. treasury bond rates are higher than those of major foreign markets. Foreign central banks have already gone down the path of trashing their currencies to stimulate export growth. The $USD has already strengthened considerably vs. those foreign currencies as a result. Janet Yellen is talking ab...
by lee1026
Tue Sep 22, 2015 9:19 pm
Forum: Investing - Theory, News & General
Topic: Reducing Risk with Negatively Correlated Assets?
Replies: 87
Views: 8840

Re: Reducing Risk with Negatively Correlated Assets?

You can flip a coin a thousand times and quite possibly get 10 heads in a row. If you happened to get that beginning within the first few flips you might be tempted to save it as your lucky coin. But it's not, and the long term probability or the probability on the next flip or the 300th flip is st...
by lee1026
Tue Sep 22, 2015 1:21 pm
Forum: Personal Investments
Topic: investing in nickels. Should i do this? or is it just hype?
Replies: 21
Views: 3867

Re: investing in nickels. Should i do this? or is it just hype?

My mental image is somewhere between the Breaking Bad storage locker and Scrooge McDuck's swimming pool of gold coins.... You will need a rather lot of money for that, I am afraid. To fill an olympic swimming pool full of nickels (which, as we have already discussed, isn't particularly valuable) is...
by lee1026
Tue Sep 22, 2015 1:16 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20319
Views: 2778100

Re: U.S. stocks in freefall

Selling to the point of sleeping well at night and selling to the point of indifference is is a bit different though. One of a function of your risk tolerance, amount of money in the bank, etc, the other is generally 0, or at most around 10-20% to counterbalance bond risk.
by lee1026
Tue Sep 22, 2015 12:47 am
Forum: Personal Investments
Topic: investing in nickels. Should i do this? or is it just hype?
Replies: 21
Views: 3867

Re: investing in nickels. Should i do this? or is it just hype?

It should fit in your garage or backyard. 3 tons of nickel (the element) is around 306 Liters. Assuming some space for air because of coins, it should fit with plenty of room to spare in two 55 gallon drums.
by lee1026
Fri Sep 18, 2015 7:51 pm
Forum: Investing - Theory, News & General
Topic: Decided to try timing the market. 100% short on 9/17/15
Replies: 361
Views: 69968

Re: Decided to try timing the market. 100% short on 9/17/15

For shorting the index, you use ES futures. There is a margin requirement of ~5000 per 100K worth of S&P 500. There is no short interest, and you make an implied lending interest of around 0.28%.
by lee1026
Fri Sep 18, 2015 5:32 pm
Forum: Personal Finance (Not Investing)
Topic: If You Have Savings In Your 20s, You’re Doing Something Wrong [article]
Replies: 148
Views: 18308

Re: If You Have Savings In Your 20s, You’re Doing Something Wrong [article]

I agree that for bachelor's degrees, it's unusual. I'm not even sure lenders would be willing to loan that much to an undergrad. $30k is probably about average for state schools, $35-40k for private schools. The difference in debt isn't that big despite the huge difference in costs because private ...
by lee1026
Fri Sep 18, 2015 5:13 pm
Forum: Investing - Theory, News & General
Topic: Decided to try timing the market. 100% short on 9/17/15
Replies: 361
Views: 69968

Re: Decided to try timing the market. 100% short on 9/17/15

If you trade at ultra-high-speed (roughly defined as being able to react within 1ms of your threshold being breached), each "whipsaw" on the indicator system would cost you almost nothing. Assuming the ES contract don't gap, you are looking 2 bps per switch from "100% stock" to "100% cash" and back....
by lee1026
Fri Sep 18, 2015 1:11 am
Forum: Investing - Theory, News & General
Topic: CFTC: Bitcoin Is a Commodity [Commodity Futures Trading Commission]
Replies: 21
Views: 2531

Re: CFTC: Bitcoin Is a Commodity

Gold and silver are not consumption items, but they are commodities.
by lee1026
Wed Sep 09, 2015 9:13 pm
Forum: Investing - Theory, News & General
Topic: Japan Market Up 7.71% Today
Replies: 21
Views: 3423

Re: Japan Market Up 7.71% Today

I don't think the major challenge to the EMH is a day like yesterday - the infamous black monday of 1987 is probably far better in that respect.
by lee1026
Mon Sep 07, 2015 8:42 pm
Forum: Investing - Theory, News & General
Topic: Has the "Equity Premium Puzzle" Been Solved?
Replies: 41
Views: 4042

Re: Has the "Equity Premium Puzzle" Been Solved?

Bills/notes/gold might have gained stock and/or bond purchase power though i.e. diversification. I am not sure what bills or notes you are referring to here. But in many of the countries mentioned, hyperinflation would have zeroed out any savings in bills or notes. Japan, Germany (twice!), Austria ...
by lee1026
Mon Sep 07, 2015 5:11 pm
Forum: Investing - Theory, News & General
Topic: Has the "Equity Premium Puzzle" Been Solved?
Replies: 41
Views: 4042

Re: Has the "Equity Premium Puzzle" Been Solved?

Keep in mind that in many of these devastating episodes for stocks, bonds didn't do great either.
by lee1026
Thu Sep 03, 2015 3:47 pm
Forum: Investing - Theory, News & General
Topic: Understanding the link between earnings yield and future returns
Replies: 31
Views: 2365

Re: Understanding the link between earnings yield and future returns

Yes, precisely. What I am trying to understand is why doubling P/E would reduce dividend growth. Assuming the stream of dividends and earnings is independent of the price. I think the assumption underpinning the difference is that not all growth in dividends will be captured as capital gains. So if...
by lee1026
Wed Sep 02, 2015 3:51 pm
Forum: Investing - Theory, News & General
Topic: Why did the markets recover from the 10% loss last October?
Replies: 25
Views: 3047

Re: Why did the markets recover from the 10% loss last October?

sawhorse wrote:It fell 10%? The press has been calling this the first correction since 2011.
It didn't close below 10%.
by lee1026
Tue Sep 01, 2015 2:07 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20319
Views: 2778100

Re: U.S. stocks in freefall

Let's just go with how much it loses until it bottoms out. I have no idea what the market will be on a particular day. As we speak, it looks like TSM is down 9% from it's high on June 23. I'll wager it goes down by another 40% from the June 23 high before it's done, sometime in the next 6 month per...
by lee1026
Tue Sep 01, 2015 11:12 am
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 20319
Views: 2778100

Re: U.S. stocks in freefall

The Dow is also a lot older. The DJIA goes back to 1896, and the S&P 500 only goes back to 1957.
by lee1026
Sun Aug 30, 2015 1:03 am
Forum: Investing - Theory, News & General
Topic: 100% Equities?
Replies: 86
Views: 9050

Re: 100% Equities?

rgs92 wrote:The market suddenly drops 30% and stays there for 4 years, which is not even a big crash, just a typical bear market.
I don't think that is a "typical" bear market. Outside of the great depression, I think that is more or less unprecedented in American history.
by lee1026
Sun Aug 30, 2015 12:29 am
Forum: Investing - Theory, News & General
Topic: REITs: The one Tilt that Makes Sense?
Replies: 47
Views: 6053

Re: REITs: The one Tilt that Makes Sense?

For another example, I'm not going to start investing in extreme small growth companies with venture capital funding, which are presumably a big part of the privately traded US economy. There are people here that think you should tilt small. I think their reasons are pretty silly, but these people ...
by lee1026
Fri Aug 28, 2015 6:04 pm
Forum: Investing - Theory, News & General
Topic: Should I use margin to buy a balanced fund?
Replies: 933
Views: 267995

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

26x on a portfolio like that can see you getting completely wiped out if the 2013 taper tantrum happened again, wouldn't it?
by lee1026
Fri Aug 28, 2015 12:09 pm
Forum: Personal Investments
Topic: Was about to change from 100% equity to 80%. Now what?
Replies: 71
Views: 10236

Re: Was about to change from 100% equity to 80%. Now what?

Interesting rule. What do you do when vix remains high for years? Stop rebalancing?
If rebalancing is part the strategy (decided before VIX went up) then rebalancing is fine. The only time where it would be struck for years is 2008-2012, which was a pretty good time to not panic, to be honest.
by lee1026
Thu Aug 27, 2015 7:58 pm
Forum: Investing - Theory, News & General
Topic: A glitch in the VIX itself when the market isn't "typical."
Replies: 5
Views: 1264

Re: A glitch in the VIX itself when the market isn't "typical."

VIX option settlement happens on market open. If this have happened at VIX settlement day, it would have been chaos.
by lee1026
Wed Aug 26, 2015 11:00 pm
Forum: Personal Investments
Topic: Was about to change from 100% equity to 80%. Now what?
Replies: 71
Views: 10236

Re: Was about to change from 100% equity to 80%. Now what?

Generally, when I get impulses like this, I have a hard rule - no changes in strategy is allowed when VIX is over 15.
by lee1026
Sat Aug 22, 2015 10:29 pm
Forum: Investing - Theory, News & General
Topic: Should I want the market to go up or down?
Replies: 35
Views: 4913

Re: Should I want the market to go up or down?

It does depend on "why" the stock market is crashing though. Lets say tomorrow, someone invents something amazing. Say, a cheap and easy way to get stuff from Earth to orbit. All of a sudden, rate of return on investment goes though roof. TIPS yields goes to 20% because everyone needs capital to pay...
by lee1026
Sat Aug 22, 2015 7:37 pm
Forum: Investing - Theory, News & General
Topic: Should I want the market to go up or down?
Replies: 35
Views: 4913

Re: Should I want the market to go up or down?

Many people here seem to think that the stock market is completely independent from the underlying companies. For example: If I was just starting out in my career, I want a market crash (not one 3% down day, but a serious market crash that spans the next 20+ years) where my regular 401 contributions...
by lee1026
Wed Aug 19, 2015 1:31 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

My understanding, at least at a high level, is that VIX is actually the volatility component for the S&P500 index, essentially spit directly out from the B-S options pricing model. It's the implied volatility at a point in time, based on market contracts & pricing; it's basically the one "unknown" ...
by lee1026
Wed Aug 19, 2015 11:02 am
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

Long XIV is broadly the better side. When large market swings occur to the share price downside both stocks and XIV lose out. Unlike stocks where share prices can stay down at the lower levels for ages, volatility tends to subside relatively quickly such that long XIV sees gains as volatility fades...
by lee1026
Tue Aug 18, 2015 5:24 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

I'm using my money to buy my lifestyle. If it's not enough to pay my bills, it's not very useful, so hopefully the floor makes sense. In fact, I might even argue that outcomes with less than my desired income deserve a negative utility (if that concept makes sense); avoiding them is "worth more" th...
by lee1026
Tue Aug 18, 2015 3:39 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

Uh... before you start gambling on volatility, can you clearly articulate what the VIX represents? IMHO, the answer needs to include a heavy dose of the Black-Scholes option pricing model/theory. Best 'o luck! Even though VIX is closely associated with Black-Scholes option pricing model, it is actu...
by lee1026
Tue Aug 18, 2015 12:39 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

Futures are pure capital gains. But you have to roll every expiration, so you constantly are realizing gains. With XIV/ZIV, you don't because its an ETN and there's no K-1s. With XIV, you will have to rebalance on a fairly regular basis (or else the rebalancing inherent in the ETN will eat you aliv...
by lee1026
Tue Aug 18, 2015 10:41 am
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

Treated as a 5x S&P500 and scaled to 1x i.e. 20% XIV, 80% bonds, periodically rebalanced (once yearly perhaps) and that can compare to the 1x reasonably https://www.portfoliovisualizer.com/bac ... ount=10000 Depends on what you mean by reasonably well. Your example have a 0.53 correlation. That red...
by lee1026
Mon Aug 17, 2015 10:20 pm
Forum: Investing - Theory, News & General
Topic: the 12 commandments of gold bugs
Replies: 62
Views: 6521

Re: the 12 commandments of gold bugs

This requires the buyers and the sellers of oil maintain large reserves of USD. Citation needed. Forex markets are extremely liquid, and dumping several oil tankers worth of Euros or JPY on the Forex markets won't do much to it. If a buyer of oil didn't want keep dollars on hand, he can easily conv...
by lee1026
Mon Aug 17, 2015 9:18 pm
Forum: Investing - Theory, News & General
Topic: the 12 commandments of gold bugs
Replies: 62
Views: 6521

Re: the 12 commandments of gold bugs

So, Nixon unpegged the dollar from one commodity - gold - and effectively "repegged" it to another commodity - oil - with that deal.
What do you mean by peg? Oil prices seem to follow a logic of its own. It certainly wasn't pegged the way that gold was, with gold at $35 an ounce for decades.
by lee1026
Mon Aug 17, 2015 5:14 pm
Forum: Personal Investments
Topic: How to invest in oil thinking oil prices will go up
Replies: 15
Views: 2747

Re: How to invest in oil thinking oil prices will go up

You can also sell options against long dated oil futures; those are American options, but again, given interest rates, no one is going to exercise if it is anywhere even remotely close to the money.
by lee1026
Mon Aug 17, 2015 5:00 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

I am not sure if daily rebalancing on something like XIV is the "correct" thing to do. VIX is really volatile. Really, really, volatile. Every single time VIX jumps, the number of contracts that each share of XIV is exposed to changes drastically. Part of it is obvious, since each share of XIV also ...
by lee1026
Mon Aug 17, 2015 4:20 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

XIV is a good dip in/trading choice IME. If you have a model/method that adds more as prices decline, reduces as prices rise.
At that point, aren't you better off just shorting the futures directly?
by lee1026
Mon Aug 17, 2015 4:18 pm
Forum: Personal Investments
Topic: How to invest in oil thinking oil prices will go up
Replies: 15
Views: 2747

Re: How to invest in oil thinking oil prices will go up

Given current interest rates, all options that are even remotely close to the money on USO is effectively European. No one is going to exercise because there is generally still some time value left.
by lee1026
Mon Aug 17, 2015 4:05 pm
Forum: Investing - Theory, News & General
Topic: Theoretic borrowing and arbitrage question
Replies: 6
Views: 761

Re: Theoretic borrowing and arbitrage question

Forget inflation, deflation, etc. In period 0, you borrow $x, and you invest $x. Total outlay is 0. In period 1, you get back $x + Tbill interest, and you pay back $x + loan interest. Total is Tbill - loan. So you spend 0 to get a non-zero amount of money. Unless if money have negative value in the ...
by lee1026
Mon Aug 17, 2015 3:30 pm
Forum: Investing - Theory, News & General
Topic: XIV - Bogleheads Approved "Risk Premium" Investing?
Replies: 42
Views: 4716

Re: XIV - Bogleheads Approved "Risk Premium" Investing?

I don't see how one can get better returns than 100% equity, or 100% equity with factor tilts. Once you go past 100% and the math starts to work against you.
A naive 130% S&P 500 leverage would get better returns than 100% equity. The CAGR math don't work that hard against you.