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Fred Piard

 
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  • How To Design A Market Neutral Portfolio - Part 3 [View article]
    Thanks for sharing
    Jan 27, 2015. 12:16 PM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 3 [View article]
    The major shareholder was Porsche AG. Porsche's CFO was fired (or resigned) after that.
    Jan 27, 2015. 05:40 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 3 [View article]
    If your question is about the hedge, 100% Market Neutral means $1 long SPXU for $3 long stocks, 75% hedged is $1 for $4, 50% is $1 for $6. Personally on this portfolio I am 75% hedged, not full market neutral.
    Jan 27, 2015. 04:22 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 3 [View article]
    Thanks for your comment. The quant models behind this portfolio are the core of my own portfolio and also my newsletter business model. I hope you understand that I won't disclose them. The point is to select a group of "better than average" stocks using fundamental factors, to be diversified in defensive and cyclical sectors, to use different factors in different sectors, and to rebalance the hedge every week. This idea can be implemented with quant models if time is a critical point (what I do), or with much more work by a smart discretionary stock picker (due diligence).
    Jan 27, 2015. 04:00 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 3 [View article]
    Thanks for your question. Mine: why take the additional counterparty risk of an ETN when the holdings are the same as an equivalent ETF?
    Jan 27, 2015. 03:46 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 2 [View article]
    Hi varan, thanks for your (always) insightful comments. It is a good strategy, but not based on the same logic. Relying on the negative correlation of asset classes for hedging is not market neutral. A market neutral model should stay in the same market (well, I would accept index futures instead of an ETF on the short side).
    Jan 22, 2015. 04:43 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio - Part 2 [View article]
    There is an example in my previous article (first link in the text). But market neutral investing is a science or an art for stock pickers, whatever the methodology (quant or due diligence).
    Jan 21, 2015. 06:40 PM | Likes Like |Link to Comment
  • IWM Divergence: Small Caps Are Still Overpriced [View article]
    Scott, with P123 you can build custom aggregate data series on prices and fundamental ratios. Info for an extended free trial:
    http://bit.ly/116JOdw
    Then go to the tab Tools/Series. The tutorials, examples and community forum may help you.
    Jan 17, 2015. 08:40 AM | 1 Like Like |Link to Comment
  • Possible Costs Of The Grexit [View article]
    If the Greeks reactivate their own currency, I doubt they will be able to buy a lot of German products. No matter if they stay EU member on this point.
    Jan 15, 2015. 02:35 PM | Likes Like |Link to Comment
  • European Investors: How To Protect Yourself From Deflation [View article]
    well, I was wrong. The SNB broke the ceiling today (1/15/15). For my defense they are good at manipulating information.
    Jan 15, 2015. 02:14 PM | Likes Like |Link to Comment
  • European Investors: How To Protect Yourself From Deflation [View article]
    Thanks for the article. It confirms some concerns I have for a while. People holding CHF are in the same situation. It seems that the Swiss National Bank has recently said it will continue its unlimited Euro buying to defend the 1.20 limit at any cost. A kind of way to enter Eurozone without asking, neither to other members nor to the Swiss people...
    Jan 12, 2015. 04:27 PM | 1 Like Like |Link to Comment
  • How To Design A Market Neutral Portfolio [View article]
    If you look at the long-term trendline, it is just a reversal to the mean after excessive returns in October and November. Whipsaw may occur in any market timing model. PHDG price fell harder than VQT because of a cash distribution.
    Jan 8, 2015. 08:54 AM | Likes Like |Link to Comment
  • How To Design A Market Neutral Portfolio [View article]
    Thanks for your comment. Since inception this ETF has a slightly lower annualized return and a much higher volatility than the two basic examples presented here. Moreover, liquidity is very low and fees are very high.
    Jan 7, 2015. 12:02 PM | Likes Like |Link to Comment
  • My New Market Neutral Portfolio [View instapost]
    Thanks for your kind words, Alpha Man!
    Dec 28, 2014. 06:40 AM | Likes Like |Link to Comment
  • Gold And Silver: 11% Discount In Bullion Funds, But Don't Buy In The Next 8 Days [View article]
    Hey goldhunter. Horizontal supports and resistances may work also in manipulated markets (better imho). Look closely at the chart. Too many coincidences on reversals.
    Dec 25, 2014. 10:28 AM | Likes Like |Link to Comment
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