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Brett Steenbarger

 
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  • Suddenly, Safety is Sexy [View article]
    Great points; it is indeed risky to have most of one's dividend eggs in a single sector basket. It's when the stronger financial issues are offering yields comparable to relatively riskless returns that the sexy factor comes into play.

    Brett
    Aug 6, 2007. 10:24 PM | Likes Like |Link to Comment
  • Psychologically Sophisticated Trading: The Meek Shall Inherit Nothing [View article]
    Hi RS,

    Thanks for the data and comment. The key idea, indeed, is that returns are mean-reverting over a relatively short time horizon. In a recent post on my blogsite, I found no such mean reversion when looking at strong 100-day periods. At the other end of the spectrum, looking tick by tick, there are very strong reversion effects due to automated trade close to the market. Knowing the patterns that are relevant to your time frame is key. I appreciate the interest--

    Brett
    Dec 19, 2006. 12:52 PM | Likes Like |Link to Comment
  • Limits of Perception in Market Analysis [View article]
    Hi Greatest Trader,

    Yes, you can certainly think of this regime as one of short-term mean reversion. If you identify value regions (in Market Profile terms), you can handicap the odds of moves to the edges of the region breaking out vs. returning to the point of control.

    Brett
    Dec 14, 2006. 03:15 PM | Likes Like |Link to Comment
  • Limits of Perception in Market Analysis [View article]
    Hi Richard,

    Yes, I do test a variety of indicators, including the % of stocks trading above their volatility envelopes (Bollinger Bands), number of stocks making new highs/lows, put/call ratios, etc. Because many of these indicators are highly correlated with price change, it's important to partial out price before looking at the unique predictive value of the indicator. I'll be posting some of this work shortly. Thanks for your interest--

    Brett
    Dec 14, 2006. 07:08 AM | Likes Like |Link to Comment
  • Interview: Luciano Siracusano, Director of Research for ETF Firm WisdomTree Asset Management [View article]
    Hello Luciano,

    I want to thank you and the Seeking Alpha team for the creation of a conversation between traders and industry leaders. I very much hope this is the first in a series of such forums.

    My question builds on Roger Nusbaum's excellent query about international bond ETFs. There is a huge gap at present between those who trade positions (active retail and prop traders) and those who trade portfolios (hedge fund and bank traders; money managers). With the expanding universe of ETFs, I believe this gap will narrow and we will start to see individual traders becoming their own portfolio managers.

    What education do you engage in and what education do you foresee in the near future to help the active trading world take advantage of what is literally a universe of trading possibilities, such as those mentioned by Roger?

    Thanks again,

    Brett Steenbarger
    Dec 13, 2006. 11:55 AM | Likes Like |Link to Comment
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