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Fred Piard

 
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  • XIV: How To Avoid A Disastrous Loss And Boost Your Total Return. [View article]
    lorienbrune, a 80% daily loss is the threshold that may trigger a termination (="acceleration") event for XIV, but in this case the real loss will be calculated on close. The residual value for shareholders may fall to zero. More explanations about termination events are in this article:
    http://bit.ly/1wjp0S9
    To my knowledge there is no such rules on future contracts.
    Jun 22 04:50 PM | Likes Like |Link to Comment
  • The Quant Strategy That Returned 36% YTD With ETPs [View article]
    windwine, if you take "3*TLT weekly return as a proxy for TMF" it may change significantly the beta-slippage: http://bit.ly/1ggaRN7
    TMF rebalancing is daily.
    Jun 20 11:59 AM | 1 Like Like |Link to Comment
  • Canadian Discounts On Gold And Other Precious Metals (June Update) [View article]
    Thanks for your insight tinbox. In this case discounts can still be compared to their values 5 weeks ago. Do you know if Sprott does the same?
    Jun 20 08:30 AM | Likes Like |Link to Comment
  • Canadian Discounts On Gold And Other Precious Metals (June Update) [View article]
    I refer to numbers in the table: they trade with a premium (or close to metal price for PHYS)
    Jun 20 08:26 AM | Likes Like |Link to Comment
  • Canadian Discounts On Gold And Other Precious Metals (June Update) [View article]
    Thanks for your comment.
    You write "% discounts to NAV are the same in $US or $CAD"
    => no, discounts/ premium are not the same for CEF, GTU and SBT if you buy on TSX in CAD or on NYSE in USD.
    As for annual fees, no matter if they are included in the price or not: that's something you lose anyway on the metal you buy.
    Jun 20 08:22 AM | Likes Like |Link to Comment
  • The Quant Strategy That Returned 36% YTD With ETPs [View article]
    The basis is good, but it needs to add some inter-market timing rules. I trade such a XIV+TMF model for 9 months. Its YTD return is about 23%, which is much less impressive, but with a 4% drawdown and a Sharpe ratio 4.4 (real trading). In simulation since 2011, Sharpe is 2.9. Past performance is never a guarantee. Investors take care and calculate the position size you can afford.
    Jun 19 10:30 AM | Likes Like |Link to Comment
  • The Best Dividend Growers, Part 22: International Paper [View article]
    Thanks for the article. IP is in the 4 positions of my SP500 Growth&Value strategy (dividends are not taken into account in this ranking). Long IP since the second week of May.
    Jun 10 10:22 AM | 1 Like Like |Link to Comment
  • Results Of My VIX ETPs Models, January To June 2014 [View instapost]
    Updated 6/5 after close.
    Jun 6 11:08 AM | Likes Like |Link to Comment
  • Results Of My VIX ETPs Models, January To June 2014 [View instapost]
    Thanks Edmund. About HH: yes, I'm waiting for a feedback on my second book's manuscript (no VIX trading inside, neither in the 1st book). I don't invest yet in Model3. Some checking to do about logical interactions with other models before. It would be in ZIV this week.
    Jun 3 12:52 PM | Likes Like |Link to Comment
  • Make 40% A Year With Math And Without Shorting [View article]
    I agree Mike. That's why in my version I added timing rules, and that's why it is in cash for 10 days. However no model is a guarantee. The closest to a guarantee is to trade various models based on different logics, to be aware of their risks, and to allocate money accordingly.
    Jun 2 11:32 AM | Likes Like |Link to Comment
  • Make 40% A Year With Math And Without Shorting [View article]
    Thanks for the article.
    I trade a similar strategy in weekly rebalancing for 8 months with some differences:
    -equal weight
    -timing rules to go cash from time to time (it is in cash when I write this)
    -volatility position in XIV or ZIV depending on some conditions.
    Backtest since 2011: CAGR 60%, Max Drawdown -14%, Sortino ratio 3.8
    Real performance YTD: return 23.5%, Max Drawdown -4%
    I have backtested the model since 2009 reversing the model with short positions in VXX, VXZ, TBT: CAGR 55%, Sortino ratio 3.6
    Past performance, real of simulated, is never a guarantee for the future...
    Jun 2 10:17 AM | 2 Likes Like |Link to Comment
  • Canadian Discounts On Gold And Other Precious Metals (May Update) [View article]
    Cyclesguy, Thanks for your comment.
    Discounts change everyday, this article was published 10 days before your comment. All PM discounts went up since then. SBT has very low trading volumes on the US market (zero in a day when I write this). I suspect the discount is calculated from the last transaction, so it is immaterial for the US version of SBT.
    May 29 08:39 AM | Likes Like |Link to Comment
  • The DIA-IEF Double Switch: One Of The Safest And Laziest Strategies [View article]
    Hi Les.
    You're right: DIA-IEF equal weighting is just another benchmark.

    "This article describes a strategy mixing in equal weight two paired switching models on treasury bonds and stocks." Both models are shortly, and I hope clearly described in the second paragraph. Thus, the Double Switch is an equal weight mix of A and B (as I know you have read the book I will refer to it: this is a modified version of the "no brain no gain" strategy).
    May 28 06:59 PM | Likes Like |Link to Comment
  • The DIA-IEF Double Switch: One Of The Safest And Laziest Strategies [View article]
    bjb57, this article describes a combination of two paired-switching strategies, hence the name.
    May 28 11:55 AM | Likes Like |Link to Comment
  • The DIA-IEF Double Switch: One Of The Safest And Laziest Strategies [View article]
    Stephen, thanks for your comment and your kind word about my book. All market timing methods (seasonals, price-based, volatility-based, sentiment-based, ...) are about improving the risk adjusted performance, not necessarily the total return. Being out of the market the bad months brings a lower volatility, not always a better total return (depending on the country). If interested, you can download Jacobsen's article here: http://bit.ly/1mERu4p.
    May 28 09:58 AM | Likes Like |Link to Comment
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