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Fred Piard

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  • Momentum ETFs: Really A Good Idea? [View article]
    I agree 0.95% expenses for UPRO is too high for the job, but it is not so high for the service: compare it to a borrowing rate / margin cost. Two articles about leveraged S&P500 ETFs:
    http://bit.ly/1fYNKK6
    http://bit.ly/1ggaRN7
    Apr 17 08:28 AM | Likes Like |Link to Comment
  • Strategy-Based Sector ETFs: How Do They Work? [View article]
    171, your comment on FXH supports my answer to randy. Let me give you an explanation about your "sometimes". The main reason is that AlphaDEX use the SAME fundamental factors for all sectors, and they don't work the same way in all sectors. BTW sector-oriented quantitative fundamental analysis is the subject of my next book (at Harriman House, likely Q3 2014).
    Apr 17 07:41 AM | Likes Like |Link to Comment
  • Strategy-Based Sector ETFs: How Do They Work? [View article]
    "FXG and FXH get my thumbs up while the other AlphaDex ETF's don't add enough for me to get too excited about them"
    mav2knight, that's exactly what I think of the Alphadex series.
    Apr 16 04:26 PM | Likes Like |Link to Comment
  • Strategy-Based Sector ETFs: How Do They Work? [View article]
    Thanks for your comment. I understand your approach. In my tactical allocation strategies I also use broad-based index funds. ETFs like AlphaDEX are targeted at investors interested in following quant strategies, without the work and transaction costs. Underweighting the pharma in FXH is a consequence of the methodology at this point in time.
    Apr 16 11:59 AM | Likes Like |Link to Comment
  • Strategy-Based Sector ETFs: How Do They Work? [View article]
    rrjjgg, you're absolutely right. Thanks a lot for the link. Setting the timeframe to 1746 days in your chart gives the equivalent of my Yahoo screenshot. Yours is more accurate and the relative positions stay the same.
    Apr 16 09:38 AM | Likes Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    Thanks for your comment. The total return makes little sense when it is at the price of a significantly higher risk. When the Sharpe ratio of the benchmark is higher, it means that you can have a better return by leveraging the benchmark to the same risk (the risk being measured by the volatility, in other words the standard deviation). In your example (PDP, 5 years) a leveraged position x1.2 in the S&P500 gives a better return for the same risk as PDP. Using UPRO (3x SP500), it takes only 40% of the capital you would need with PDP, and you can invest the rest elsewhere. Considering that the correlation of PDP with the benchmark is high, investing in PDP makes little sense for me.
    Apr 16 08:36 AM | Likes Like |Link to Comment
  • Strategy-Based Sector ETFs: How Do They Work? [View article]
    Thanks for your comment. Answers to your 3 points:
    1-As we have the data, starting in 2007 is better to compare products in all market conditions.
    2-Being overly reliant on the total return is blind. Sharpe, Sortino, Sterling and Kelly ratios tell much more about a strategy or an asset.
    3-"I'll bet you $10,000 I could go through all the AlphaDEX sector funds against cap-weighted funds and find similar results. "
    Have a look at FXH vs. XLV. Thanks for sending the money to a charity.
    Apr 16 07:54 AM | 1 Like Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    BTW even last year IWM had a better Sharpe ratio than DWAS (2.46 vs. 2.37 - and SPY at 2.60)
    Apr 15 07:57 AM | Likes Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    randy, I understand what momentum means. I'm using momentum strategies on asset classes for years.
    Apr 15 07:19 AM | Likes Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    randy, thanks for you comment.
    About DWAS vs. Russell 2000 you are wrong: since inception DWAS has a Sharpe ratio of 1.05, IWM has 1.43. The name of the game is risk-adjusted performance, not total return. In this case, you'd better leverage the benchmark to the same risk and you'd get a better return.
    33 months of test are not enough to decide to put my money in a strategy, but it is enough to decide that I don't want.
    Apr 15 07:11 AM | Likes Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    Just two thoughts:
    1- I wouldn't touch this, neither long nor short.
    2- it has nothing to do with the article.
    Apr 14 05:54 PM | Likes Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    As I wrote in the article, momentum is not a good edge -alone- with individual stocks, it is a good edge -alone- with aggregates (sectors, but also countries, bond categories, global asset classes). It is the basis of tactical allocation (a few chapters about this in my book, including paired switching). My next articles will show that strategy-based ETFs combining momentum and valuation ratios outperform the benchmark.
    Apr 14 03:02 PM | 1 Like Like |Link to Comment
  • Why I Am Still Trading XIV And ZIV. [View instapost]
    "VQT/PHDG price action generally correlates to the VIX for spikes 20 and under"
    => this is more complicated than that. You can find a methodology document about the Veqtor index on http://spindices.com

    The model 2 was originally designed without VQT/PHDG (waiting mode in cash). Simulations shows that putting the idle cash in VQT brings an additional return and no additional risk since 2011. As you noted, it gives a long exposure to volatility in significant downturns (in my profile you can find two more detailed articles about VQT/PHDG).
    About possible haircuts: taking losses is part of the game in trading, this is not value investing and even less "buy and hold". It is about the probability of gain and the average gain/average loss ratio.
    Apr 14 02:35 PM | 1 Like Like |Link to Comment
  • Momentum ETFs: Really A Good Idea? [View article]
    Thanks for your comment David.
    My next articles will be on strategy ETFs that take into account momentum AND fundamentals: they do much better. Stay tuned and follow me if you don't want to miss that...
    Apr 14 01:55 PM | Likes Like |Link to Comment
  • What You Need To Know About The Decay Of Leveraged ETFs [View article]
    There is no definitive answer. During a mid-term steady trend up, beta-slippage may be positive. But on the long run it looks negative compared with an unleveraged ETF on a very close index: http://bit.ly/1eE3E7V
    Apr 14 07:51 AM | Likes Like |Link to Comment
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512 Comments
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