Seeking Alpha

Harry Long

 
View as an RSS Feed
View Harry Long's Articles BY TICKER:
  • Introducing The ZOMMA Quant Warthog Index
    Wed, Dec. 10 GLD, TLT, XLP 21 Comments

    Summary

    • The strategy index has zero down years during the test period.
    • The strategy index has far lower drawdowns than the S&P 500.
    • The strategy index has outperformed the S&P 500 over an entire market cycle.
  • A Refined All-Long Strategy III
    Sun, Nov. 2 77 Comments

    Summary

    • We have made further improvements.
    • The refined strategy uses multiple markets for both return generation and hedging.
    • This smooths returns.
    • It also increases the strategy's robustness to shocks in both the equity and the fixed income markets.
  • Making Money With Math Has Been Too Easy For Too Long III
    Thu, Oct. 30 TMV 7 Comments

    Summary

    • Our publicly-released version of Hedged Convexity Capture continues to destroy the S&P 500.
    • The potential tail risks continue to be unacceptable.
    • Readers should close out their positions in our publicly-released version of this strategy.
  • A Weird All-Long Strategy (That Beats The S&P 500 Every Year) II
    Thu, Oct. 30 SPXL, TMF, TVIX 138 Comments

    Summary

    • I was too hard on this strategy originally.
    • I like its strengths.
    • Modifying the strategy creates a unique tail-hedge index.
  • It's Amazing How Well Dumb Things Work II
    Thu, Oct. 30 SPY 22 Comments

    Summary

    • Investors often make simple things complex.
    • If it's stupid, and it works, it's not stupid.
    • We can improve dumb rules logically.
  • Ideas For An Ultra-Low Volatility Index Part IV
    Thu, Oct. 30 SPLV, TMF 25 Comments

    Summary

    • Our provisional Ultra-Low Volatility Index has reached an all time high.
    • It handled recent market volatility splendidly.
    • Recent market volatility served as an interesting out-of-sample test.
  • Making Money With Math Has Been Too Easy For Too Long Part II
    Tue, Sep. 2 TMF, XIV 17 Comments

    Summary

    • Each of our publicly-released strategies continue to smash the indices.
    • Even I am surprised by the massive degree of their outperformance.
    • I again implore readers to close out positions in these public strategies.
    • It's time to take the profits.
    • These public strategies have had an historic run--but nothing lasts forever.
  • Does Trend Following Work?
    Editors' Pick • Sun, Aug. 31 SPY 73 Comments

    Summary

    • Trend following is highly popular.
    • It's not magical.
    • As a method, its use effectively exchanges one risk factor for another.
  • It's Amazing How Well Dumb Things Work
    Mon, Aug. 18 11 Comments

    Summary

    • Investors often make simple things complex.
    • I'm constantly amazed at how well "dumb" rules work.
    • If it's stupid, and it works, it's not stupid.
  • Does Broadly Shorting Inverse Leveraged ETPs Work?
    Mon, Aug. 18 EDZ, GLL, SCO 9 Comments

    Summary

    • There are a variety of leveraged inverse ETPs.
    • Readers have asked me to test shorting a broad basket.
    • Here are the results.
  • A Weird All-Long Strategy
    Mon, Aug. 18 SPXL, SPXU, TMF 22 Comments

    Summary

    • We usually capture convexity using Hedged Convexity Capture.
    • This time, we are examining giving convexity a chance to eat us.
    • The results are weird.
  • Ideas For An Ultra-Low Volatility Index Part III
    Sun, Aug. 17 SPLV, TMF 7 Comments

    Summary

    • Our provisional Ultra-Low Volatility Index has reached an all time high.
    • YTD, our provisional Ultra-Low Volatility Index is outperforming the market.
    • Creating an Ultra-Low Volatility Index involves trade-offs.
  • Structural Arbitrage: Making Money With Math
    Sun, Aug. 17 TMF, XIV, ZIV 20 Comments

    Summary

    • Structural Arbitrage can be implemented with mid-term volatility.
    • Our public strategies should be starting points for further investigation.
    • There are numerous extensions to Structural Arbitrage.
    • It's time to head to the beach and to enjoy the profits.
  • The Rabbit Hole Of Hedged Convexity Capture
    Wed, Aug. 13 4 Comments

    Summary

    • Critics claim that HCC is dependent upon a buoyant bond market.
    • The critics are wrong.
    • Here's the proof.
  • TIVA Is The Next BRIC
    Wed, Jul. 30 AFK, EIDO, IDX 3 Comments

    Summary

    • Thailand, Indonesia, Vietnam, and the continent of Africa are interesting.
    • TIVA countries have a fascinating combination of great people and poor government.
    • Investors can push for governance reform and do good while doing well.
  • Ideas For An Ultra-Low Volatility Index Part II
    Mon, Jul. 28 SPLV, TMF 7 Comments

    Summary

    • Creating an Ultra-Low Volatility Index involves trade-offs.
    • I have some provisional ideas, but no definitive solutions yet.
    • Our provisional Ultra-Low Volatility Index has reached an all time high.
  • Awilco Drilling Is Still The World's Most Undervalued Company
    Tue, Jul. 22 AWLCF 208 Comments

    Summary

    • Awilco Drilling sports an 18.32% dividend yield.
    • Awilco Drilling has grown its dividend substantially.
    • Awilco Drilling still represents the world's most compelling value.
  • Making Money With Math Has Been Too Easy For Too Long
    Thu, Jul. 17 SPXU, TMF, TMV 84 Comments

    Summary

    • Our Hedged Convexity Capture Indices are at an all time high.
    • Our Non-Correlated Hedged Convexity Capture Index is at an all time high.
    • Our Structural Arbitrage Index is at an all time high.
    • Our Integrated Index is at an all time high.
    • Correlations to the S&P 500 for all benchmarks remain moderate.
  • The Quant Strategy That Returned 36% YTD With ETPs
    Thu, Jun. 19 XIV, TMF 25 Comments

    Summary

    • Structural Arbitrage continues to outperform the S&P 500.
    • The strategy has outstanding Sharpe, MAR, and correlation statistics.
    • Structural Arbitrage is easily implemented using ETPs.
  • Some Ideas For An Ultra-Low Volatility Index
    Tue, Jun. 3 SPLV 9 Comments

    Summary

    • Low volatility indices have become popular.
    • Creating an Ultra-Low Volatility Index involves trade-offs.
    • I have some provisional ideas, but no definitive solutions yet.
  • Make 40% A Year With Math And Without Shorting
    Mon, Jun. 2 TMF, XIV 45 Comments

    Summary

    • Structural Arbitrage can be implemented without shorting.
    • The strategy eliminates open-ended tail risk.
    • Investors should shrewdly choose lower returns to sleep soundly.
  • Make 70% A Year With Math
    Thu, May. 29 SPY 135 Comments

    Summary

    • Investment Management must be elevated to a Science.
    • Quant methods and AI will replace most human PMs.
    • Combining strategies boosts performance.
    • Elegantly simple math can beat more complex alternatives.
  • Hedged Convexity Is Still The World's Best-Performing ETP Strategy
    Mon, May. 19 SPY 34 Comments

    Summary

    • Every version of Hedged Convexity Capture is destroying large and small cap indices.
    • The strategies represent an excellent source of alpha.
    • Evidence-based quant strategies are the future of intelligent investing.
    • Traditional stock-picking cannot effectively compete with advanced quant approaches.
  • Part VII: Non-Correlated Hedged Convexity Capture Bulldozes Through Market Chop
    Thu, Apr. 17 SPY 42 Comments

    Summary

    • Hedged Convexity Capture continues to plow through market turbulence.
    • Investors must embrace data and systematic quant techniques.
    • Traditional stock-picking cannot effectively compete with advanced quant approaches.
    • Most investors and traders resist change until they are sick and tired of being sick and tired.
    • Unfortunately, emotional rock-bottom usually correlates with financial rock-bottom.
  • Part VI: Non-Correlated Hedged Convexity Capture Revisited
    Mon, Mar. 31 SPY 15 Comments

    Summary

    • Hedged Convexity Capture is not dependent upon bull markets.
    • It is not a perfect strategy.
    • Hedged Convexity Capture is merely superior to the publicly available alternatives.
    • The strategy represents an actuarial approach which is revolutionary.
  • Part V: Hedged Convexity Capture Continues To Be The World's Best-Performing ETF Strategy
    Editors' Pick • Wed, Mar. 26 SPY, TZA 42 Comments

    Summary

    • Long-biased Hedged Convexity Capture continues to destroy the S&P 500.
    • Investors are wasting their time with tired, archaic, complex strategies.
    • Brilliant quantitative insights will continue to dominate.
  • Hedged Convexity Capture Part IV
    Wed, Mar. 19 TMV, SPXU 2 Comments

    Summary

    • Long-Biased Hedged Convexity Capture is dramatically outperforming the S&P 500 YTD.
    • In a choppy market, it is proving to be far more conservative than the equity indices.
    • Its high Sharpe ratio and low correlation to equity indices makes it a shrewd strategy.
  • Awilco Drilling's Big Undervaluation Makes It A Juicy Acquisition Target
       • Tue, Feb. 25 AWLCF 76 Comments
  • Awilco Drilling Could Get Acquired At A Massive Premium
    Oct. 28, 2013 AWLCF 10 Comments
  • Awilco Drilling Is The World's Most Undervalued Company
       • Oct. 24, 2013 AWLCF 160 Comments
  • Solving The Debt Crisis Will Require Real Politik
    Editors' Pick • Oct. 9, 2013 SPY 53 Comments
  • Hedged Convexity Capture Part III
    Editors' Pick • Sep. 10, 2013 SPXU, TMV 16 Comments