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Frank Grossmann

 
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  • ZIV Versus The Volatility ETP Competition [View article]
    There is one more very important point why I always prefer an investment in medium term inverse volatility (ZIV). Front month historical volatility is about twice the volatility of medium term VIX, but if you look at VIX spikes due to some unexpected events, like terrorist attacks, war or similar, then you will see that the front month spikes up to 5x as fast.
    An example was some bad Ukrainian news of July 16. The front month spiked 8% within one day. Medium term volatility is always lagging and spiked only 1.6%.
    If really a black swan event happens, the front month will spike so fast, that you can not close your position fast enough. If however you invest in medium term volatility, you can still close your position with acceptable losses.
    If instead of investing in ETFs like ZIV, you invest in mid term Futures which are traded nearly 24 hours, then this allows you to close your position even before the stock market opens.
    Sep 8 03:13 AM | 3 Likes Like |Link to Comment
  • Why Work Yourself, If Silver Can Work For You? (My Silver Strategy) [View article]
    I closed my position during the last short squeeze in July, but I will reopen it soon when silver hits 19$
    Sep 2 04:17 AM | Likes Like |Link to Comment
  • How To Build An ETF Rotation Strategy With 50% Annualized Returns [View article]
    The problem will probably be to find a replacement for ZIV, but anyway if you have a margin account, then you don't need to convert your Euros into US$. The trades are in US$, but once closed the profit is converted immediately into Euros.
    I have a IB Swiss Francs account and trade US ETFs without any problem.
    Sep 2 04:15 AM | Likes Like |Link to Comment
  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    I normally do the trade within the first 2 days of the month. You don't have to time the trade and you should not trade at market at the open of the first day of the month.
    Jun 24 08:59 AM | Likes Like |Link to Comment
  • 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 | 1 Like 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
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127 Comments
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