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Macro Investor
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I like to identify market inefficiencies that are impacted by macro events. Currently my 2 areas of focus are gold miners and volatility. I also invest in index ETFs, especially leveraged.
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  • S&P500 Still Projected To Hit 2100 By End Of Year

    I had written an article last year predicting S&P500 end 2013 price of $1950 and end 2014 of $2100. I just updated by 2014 predictions using the same methodology (for details, click the link to see the methodology in my original article). The key factor is what the 10 year would be at in the end of 2014.

    End year 10-year TreasuriesEnd year S&P500
    2.40%$2,404
    2.45%$2,337
    2.50%$2,273
    2.55%$2,212
    2.60%$2,155
    2.65%$2,101
    2.70%$2,049
    2.75%$2,000
    2.80%$1,953
    2.85%$1,908
    2.90%$1,866
    2.95%$1,825
    3.00%$1,786

    At the current ~2.65% for the 10-year, S&P500 should still be at ~$2100 by end of year. However, notice the sensitivity to the interest rate. I hope the rates remain steady to trending low.

    Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Tags: SPY
    Jul 06 12:41 PM | Link | 8 Comments
  • Long Straddle On SVXY

    Just tested the effect of a long straddle on SVXY.

    Time period: Jan to Jan (1 year)

    Strike: At the Money

    Put share: 50%

    Call Share: 50%

    IV: 53% (the current one)

    Average annual return from 2005-2014 : 120%

    Max annual Drawdown: Amazingly, this strategy is not down even a single year.

    YearReturn
    201358.1%
    2012290.8%
    20110.5%
    2010303.3%
    2009289.1%
    200876.1%
    200752.0%
    2006121.2%
    2005112.8%

    If I increase IV to 60%, average annual return is 95%, and max annual drawdown is -11%.

    This is as lazy as a strategy can be. Basically no thinking involved.

    Disclosure: The author is long SVXY.

    Tags: SVXY
    Jul 06 10:24 AM | Link | 13 Comments
  • Simpler SVXY Strategy

    I had earlier posted a strategy which combined SVXY puts and calls and a SVXY/UVXY combo strategy. I was asked what the returns would be if the SVXY UVXY combo strategy was replaced with pure SVXY, so that the strategy would be in autopilot with one annual rebalancing each year. This is for someone who doesn't have time to watch the markets (and I completely understand that, as I am drowning in work myself). Here's the updated Strategy:

    On each January, buy one year SVXY puts with strike 30% out of money, and one year SVXY calls with strike 40% out of money. Put 12.5% of entire portfolio in puts, 37.5% in calls, and the remaining in SVXY.

    Average annual return from Jan 2005 to Jan 2014 is ~125%. Max annual drawdown is -48%. Strategy returns by year

    YearReturn
    201384.2%
    2012504.1%
    2011-48.3%
    2010526.7%
    2009501.1%
    2008-3.0%
    2007-17.4%
    2006198.0%
    2005183.0%

    So 3 down years and some massive up years.

    Disclosure: The author is long SVXY.

    Tags: SVXY
    Jul 04 11:51 AM | Link | 37 Comments
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