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Frank Grossmann

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  • Why Work Yourself, If Silver Can Work For You? (My Silver Strategy) [View article]
    I changed my whole position in a short -3x DSLV position in January. Thats much less work. DSLV loses so much value just from rebalancing and compounding, that you just have to sit and wait.
    Apr 10 06:35 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    I just follow the monthly cycles because I backtested every type of stop-loss level and always the resulting performance was less good than without. However the strategy just gives you a ranking. It is not forbidden to think and act yourself.
    Also I don't invest only in this strategy. I am quite diversified with bonds (junk, convertible and treasury) and also precious metals (silver). This will normally offset losses in this strategy.
    Mar 11 06:20 AM | Likes Like |Link to Comment
  • The 'Sleep Well' Bond Rotation Strategy Which Has Returned 15% Per Year Since 2008 [View article]
    ETFdb.com or yahoo finance
    Jan 18 08:12 AM | Likes Like |Link to Comment
  • Are The VXX And XIV Just Providing Leveraged Market Exposure? [View article]
    Interesting article! I did some quick backtests with ZIV instead of XIV. ZIV is the inverse medium term VIX ETF. By combining a portfolio of 28% ZIV and 72% cash you get exactly the return of SPY. Volatility is 10.4 compared to 16.5 for SPY and Sharp ratio is 1.35 compared to 0.9 for SPY. Max drawdown is 13.6% compared to 18.6% for SPY. This backtest only begins Jan 4, 2011 when ZIV was available for the first time. If I do a backtest with XIV, then the interesting thing is that I also need 28% XIV to match SPY, even if XIV has a higher roll yield and a much higher volatility. So, finally ZIV gives me a much better result than XIV. So ZIV is the best SPY.
    Here are also 2 related articles:
    http://seekingalpha.co...
    http://bit.ly/1ig4bzW
    Jan 8 04:36 AM | 1 Like Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    I can not guarantee this, but Velocityshares is a good market maker. I used to trade up to 500'000$ in ZIV and never had a problem to sell. However I never had to sell during a really turbulent market.
    You can also short VXZ. It is basically the same as going long ZIV.
    Best is to short the VIX Future month 5 or 6. CBOE opens 2.5 hours before the stock market and these 2.5h are normally quite calm.

    I would not place market orders. Better place orders with a limit at bid price.
    Jan 6 11:00 AM | Likes Like |Link to Comment
  • The 'Sleep Well' Bond Rotation Strategy Which Has Returned 15% Per Year Since 2008 [View article]
    // Vola
    logchange=log(close/Re...
    sdlogchange=stddev(log...
    HisVol=sdlogchange*100...
    Dec 14 07:04 AM | Likes Like |Link to Comment
  • The 'Sleep Well' Bond Rotation Strategy Which Has Returned 15% Per Year Since 2008 [View article]
    The backtest uses dividend adjusted closing prices. Anyway some ETFs pay monthly dividends, others all 3 month, but normally the dividend is priced in already before. If it would not be like this, then you could buy the bond the day before dividend payment and sell it a day later. This would be a nice strategy!
    Dec 10 08:57 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    I am using closing prces of end month, because then I have time to do the ranking calculations after the closing. However you can also use opening prices at the beginning of the month. It makes not a big difference.
    Dec 8 11:28 AM | Likes Like |Link to Comment
  • Protecting An Industrial Portfolio: Market Timing Or Hedging? [View article]
    The problem with timed hedging is, that you should keep 50% of your assets in cash for the case you have to hedge. This means that you are only 50% invested overall.
    If you switch to cash or any other "save harbour asset", you can always do this with 100% of your assets.
    Dec 5 08:07 AM | 2 Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Dont't look only on return. GMRS has double return, but also twice the risk (volatility) of the BRS
    Nov 28 03:26 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Just look on my website http://bit.ly/15IIHte. You will find there all investments.
    Nov 28 03:23 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Each rotation strategy can be decomposed in some basic sub-rotation strategies. For the bond rotation you had TLH-JNK (Treasury-Junk bond) since 2007. This sub strategy is the basement of the strategy and returned 16% annually since 2007. BOND and AGG are just elements to reduce volatility. CWB goes hand in hand with JNK.
    A rotation strategy is never static. You can always add new ETFs if this makes sense.
    Nov 28 03:21 AM | Likes Like |Link to Comment
  • Why Work Yourself, If Silver Can Work For You? (My Silver Strategy) [View article]
    I am still invested. I entered at 19.50$ and now it is 20$. However in-between I made l lot of 50 cent differential trades which gave me quite some return. In fact the return is much much higher than the borrowing cost of 0.4% per year for my forex silver position.
    Nov 23 10:26 AM | Likes Like |Link to Comment
  • The 'Sleep Well' Bond Rotation Strategy Which Has Returned 15% Per Year Since 2008 [View article]
    No, I think 17% is right. I also get this with one ETF. However the 15.5% with two ETFs is better because you have a lower volatility and higher Sharpe ratio with the two ETF rotation.
    Nov 21 08:58 AM | Likes Like |Link to Comment
  • The 'Sleep Well' Bond Rotation Strategy Which Has Returned 15% Per Year Since 2008 [View article]
    just do a ranking by performance and a ranking by volatility (with lowest vola 1st rank) for all ETFs. Then you calculate 0.7xPerfRank+0.3*VolaR... Now you choose the two ETFs with the lowest results.
    Nov 21 08:55 AM | Likes Like |Link to Comment
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123 Comments
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