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Josef Friedman  

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  • A Focused High Yield ETF: What Could Go Wrong? [View article]
    It is an ETF. I think the issue is that the velocity of the equity is much faster than the underlying.

    The various articles about HYLD on here make it look ugly, probably justifiably.
    Dec 19, 2014. 11:24 AM | 1 Like Like |Link to Comment
  • A Focused High Yield ETF: What Could Go Wrong? [View article]
    I'll probably tell my friends that I didn't see the decline in energy prices coming, but there's probably a good half a dozen other errors I made in taking a position in this thing.

    "What could go wrong?" nicely sums it up.

    Thanks for writing this.
    Dec 18, 2014. 04:36 PM | 4 Likes Like |Link to Comment
  • Unsupportable Fervor Requires An ETF Wish List [View article]
    My research may indicate entries can be random.

    However, it is generally better to buy a stock when it is down than when it is up, which I thought is the main point of this article.

    I'm not sure ABC... understands my comment but that isn't his fault. I was simply pointing out that it is better to buy stocks below a given average price than above. I was surprised that selling when the price returns to a given average works as well as it does.
    May 17, 2013. 08:08 AM | Likes Like |Link to Comment
  • Unsupportable Fervor Requires An ETF Wish List [View article]
    I worked on a strategy in the 1980s to sell overbought and buy underbought markets where the over and under was defined by the percentage of stocks over or under a given moving average. This stopped working in the mid 80s.

    Simple moving average systems (like a 10 day crossing a 40 day) stopped working in the early 80s I think.

    Now, moving average systems are better to play backwards. That is, it is better to buy when a stock goes below a given moving average and sell when it crosses above than the reverse. I think this is sort of what the article is discussing.

    I've been planning on writing an article about this.
    May 16, 2013. 08:29 AM | 2 Likes Like |Link to Comment
  • So How Is 'Sell In May, Go Away' Working Out This Year? [View article]
    Thanks for linking one of my rare articles.

    Something I discovered after the fact was that the median return was substantially lower than the average. I'm not sure what that means except that it suggests that sell in May is a little less good than I thought.

    My guess for the current year is that it is good to hold. I think the giant triple top in the S&P from 2000 through now will break to the upside which would give the S&P 500 a possibility of over 2100.(and the Indus 17,000). Who knows, but it's worth a shot.
    Apr 10, 2013. 03:17 PM | Likes Like |Link to Comment
  • Higher Yielding Income ETFs Pull Back... Are Stock ETFs Next? [View article]
    Thanks for the interesting article.

    As you imply, HYG also outperformed LQD during December and January so a return to the mean is not unreasonable.

    Personally, I was looking for a yield play in early January and even things like PFF made ridiculous looking jumps on Jan 2. So it seemed advisable to wait. HYG (and JNK) has since retreated to almost its 50 day MA while PFF is on its 20 day. These things seem like decent short term buy ideas at the moment as they are all around support areas.
    Feb 7, 2013. 08:47 AM | Likes Like |Link to Comment
  • When This Indicator Hits 19, Stocks Always Rally [View article]
    This is a good article, I'm surprised at the negative tone of the comments.

    The statistical critiques seem baseless.

    The current bottom is certainly playable from a swing trading perspective.

    If anything, the comments here make me more bullish. Thanks for bringing this interesting indicator to my attention.
    Jul 23, 2012. 12:16 PM | 6 Likes Like |Link to Comment
  • Why I'm Not Selling In May And Going Away [View article]
    Using that logic, when you buy when prices are above the mean you will lose money. I have my doubts that that is true, but a guy pocketing a cool 2.5% every year doesn't need to worry about details.

    I guess the question is what is the mean.

    Not every fool can figure that out.
    May 25, 2012. 08:59 AM | Likes Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    It turned out I used an old spreadsheet for my analysis which had a bug. This can be seen in the EWG detail above where 3/01/05 is the buy date but the sell date is 5/21/12. This is a tough business if one is overly sensitive to making mistakes.

    Here are my corrected results:

    B&H Fred BIO BIN

    EWA 298 238 251 198
    EWC 173 105 155 176
    EWG 38 351 235 176
    EWH 96 101 115 94
    EWJ 0 41 22 50
    EWS 177 134 181 214
    EWT 35 173 241 221
    EWU 42 147 97 77
    EWW 427 359 383 386
    EWY 353 425 473 437
    EWZ 388 377 709 560
    IWM 96 197 166 161
    MDY 122 184 206 201
    QQQ 44 200 167 68
    SPY 38 121 92 85
    XLB 119 206 213 185
    XLE 164 167 247 236
    XLF -29 78 16 36
    XLI 51 218 142 141
    XLK 15 176 113 37
    XLP 62 63 53 56
    XLU 65 104 53 81
    XLV 53 103 95 116
    XLY 97 217 185 145
    Avg 122 187 192 172

    All strategies work better than B&H

    Breaking out the Foreign ETFs

    EWA 298 238 251 198
    EWC 173 105 155 176
    EWG 38 351 235 176
    EWH 96 101 115 94
    EWJ 0 41 22 50
    EWS 177 134 181 214
    EWT 35 173 241 221
    EWU 42 147 97 77
    EWW 427 359 383 386
    EWY 353 425 473 437
    EWZ 388 377 709 560
    184 223 260 235

    The US ETFs

    IWM 96 197 166 161
    MDY 122 184 206 201
    QQQ 44 200 167 68
    SPY 38 121 92 85
    XLB 119 206 213 185
    XLE 164 167 247 236
    XLF -29 78 16 36
    XLI 51 218 142 141
    XLK 15 176 113 37
    XLP 62 63 53 56
    XLU 65 104 53 81
    XLV 53 103 95 116
    XLY 97 217 185 145
    69 156 134 119

    The US ETFs do better with the Sell strategies than the foreign ones.

    Fred's strategy works best for US ETFs, while the Buy in October strategy (without the Sell in January) works best for the foreign ones. The Buy in November (no sell in January) seems to be a little worse than Buy in October.

    EWG is an interesting choice in that it is one of the worst performers for B&H, however there are other excellent possibilities.
    May 23, 2012. 11:18 AM | Likes Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    Of course, I made a mistake on my calculation.

    The Sell Amount is the actual amount and that is $5,786,709 on the last line. This is already subtracted in the P&L.

    Therefore the profit is 479% not 379%.

    Here are my results for 24 popular etfs using your parms

    B&H SIM
    EWA 298 484
    EWC 173 241
    EWG 38 479
    EWH 96 218
    EWJ 0 32
    EWS 177 373
    EWT 35 257
    EWU 42 160
    EWW 427 1096
    EWY 353 835
    EWZ 388 1273
    IWM 96 327
    MDY 122 345
    QQQ 44 457
    SPY 38 189
    XLB 119 328
    XLE 164 370
    XLF -29 1
    XLI 51 327
    XLK 15 342
    XLP 62 181
    XLU 65 203
    XLV 53 168
    XLY 97 375
    Average 122 377

    These are impressive numbers as SIM beats B&H for every etf.

    My third article http://seekingalpha.co... uses a simple Sell in May Buy in November and gets slightly worse results.

    Other than the return discrepancy, my concern is whether the January sell is curve fitting in addition to the October instead of the November buy. I'll check those out a little.
    May 22, 2012. 10:57 AM | 1 Like Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    Oops, GLD was introduced in December 2004, not 2005.

    It is easy to make mistakes in these things.

    Regarding the inferred prices... that occured to me, still one might think it was interesting or important enough to bring up..
    May 22, 2012. 09:30 AM | Likes Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    In addition to the 2006 Varan mentions with SH, TLT has been around since July 2002 so it couldn't have been bought in 2001. GLD was introduced in late 2005, yet it seems to play a key role in article 2. That doesn't make it easy to accept the analysis.

    I've also written a trilogy on this topic so have followed this with some interest.

    I cannot agree with the 639% return for trading EWG alone. I think the correct result is 379%.

    The table below shows my impression of the strategy - Buy in March, Sell in May, Buy in October, Sell in January

    Buy Date Buy Sell Sell Date Shares

    03/01/01 16.44 15.65 05/01/01 60827
    10/01/01 11.11 13.44 12/31/01 85684
    03/01/02 12.78 13.30 05/01/02 90109
    10/01/02 8.55 8.86 12/31/02 140169
    02/28/03 8.21 9.72 05/01/03 151267
    10/01/03 11.65 14.77 12/31/03 126207
    03/01/04 15.00 14.06 04/30/04 124272
    10/01/04 14.68 17.18 12/31/04 119023
    03/01/05 17.07 20.45 05/21/12 119790
    09/30/05 17.92 18.83 12/30/05 136703
    03/01/06 20.72 22.35 05/01/06 124233
    09/29/06 22.28 24.94 12/29/06 124623
    03/01/07 25.15 29.30 05/01/07 123583
    10/01/07 32.51 33.35 12/31/07 111380
    02/29/08 29.15 31.19 05/01/08 127428
    10/01/08 22.17 18.16 12/31/08 179273
    02/27/09 12.74 16.46 05/01/09 255542
    10/01/09 20.86 21.88 12/31/09 201640
    03/01/10 19.81 20.86 04/30/10 222710
    10/01/10 21.66 23.34 12/31/10 214485
    03/01/11 24.91 28.06 04/29/11 200966
    09/30/11 18.27 19.22 12/30/11 308654
    03/01/12 23.22 22.65 05/01/12 255484

    My algorithm invests $1 million initially and reinvests the Sell Amount at the next buy point

    Buy Date Buy Amt Sell Amt P/L P/L

    03/01/01 1000000 951946 -48054 -48054
    10/01/01 951946 1151589 199643 151590
    03/01/02 1151589 1198446 46857 198446
    10/01/02 1198446 1241898 43452 241898
    02/28/03 1241898 1470310 228412 470311
    10/01/03 1470310 1864075 393765 864076
    03/01/04 1864075 1747260 -116815 747261
    10/01/04 1747260 2044818 297558 1044819
    03/01/05 2044818 2449709 404891 1449710
    09/30/05 2449709 2574108 124399 1574109
    03/01/06 2574108 2776608 202500 1776609
    09/29/06 2776608 3108106 331498 2108107
    03/01/07 3108106 3620974 512868 2620975
    10/01/07 3620974 3714533 93559 2714535
    02/29/08 3714533 3974487 259954 2974488
    10/01/08 3974487 3255601 -718886 2255603
    02/27/09 3255601 4206216 950615 3206218
    10/01/09 4206216 4411889 205673 3411891
    03/01/10 4411889 4645735 233846 3645736
    10/01/10 4645735 5006069 360334 4006070
    03/01/11 5006069 5639113 633044 4639114
    09/30/11 5639113 5932335 293222 4932336
    03/01/12 5932335 5786709 -145626 4786710

    This shows the results of each transaction. The last column shows a running profit and loss. The $4,786,710 in the last row is the total profit. As I found from painful experience, the percent profit is 379% as we must subtract the $1 million initial investment.

    Buying in October has been better than November for the last ten years, and selling in January has also worked for that period however it is not clear that the author's use of it is just curve fitting.

    Interesting analysis though, but it requires some work to evaluate it.
    May 22, 2012. 09:01 AM | 2 Likes Like |Link to Comment
  • Gold: The Fate That Awaits Once Fed Stimulus Ends [View article]
    I counted 16 times that the word print has been used in the comments. The one above is the most recent one.

    It would be easier to take this wisdom more seriously if someone could find a less used word.
    May 20, 2012. 02:27 PM | 1 Like Like |Link to Comment
  • Why I'm Not Selling In May And Going Away [View article]
    I'm hoping my third article on this subject will be published soon.

    Data on 320 companies going back to 1996 is used.
    May 20, 2012. 02:10 PM | Likes Like |Link to Comment
  • JPMorgan's (JPM) losses from its disastrous trades could reach $5B or more, the WSJ reports, as the bank struggles to unwind its positions. Major problems include increasing worries about Greece and the the EU economy. Meanwhile, the CFTC becomes the latest government agency to open a probe into the debacle, the NYT reports.  [View news story]
    As De Niro says in Ronin

    I never walk into a place I don't know how to walk out of.

    or

    Whenever there is any doubt, there is no doubt.

    Personally, I don't recall any losses going 2,5,6. You guys are optimists.
    May 20, 2012. 01:57 PM | Likes Like |Link to Comment
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