Comments on Michael Stokes' articles RSS Syndication from SeekingAlpha.com http://seekingalpha.com/author/michael-stokes/articles http://seekingalpha.com/article/112381-investor-clubs-vs-individual-investors-is-there-a-better-way-to-invest?source=feed#comment-693650 693650 Sun, 27 Sep 2009 23:05:27 -0400
Thanks for compliments on bivio. Many small hedge funds use our service so I'm not surprised to see an article here.

Cheers,
Rob Nagler
bivio.com
]]> http://seekingalpha.com/article/153818-timing-a-strategy-using-mean-reversion-a-critique?source=feed#comment-623257 623257 Regarding both strategies, the problem is -- how do you know what > the market will close at, and secondary can you get an execution > based on the strategy? > > Perhaps what one should do is to use the opening price for the next > morning as the input value, and close the position at the close for > the day -- then see what kind of performance one gets]]> Mon, 10 Aug 2009 11:19:22 -0400 marketsci.wordpress.co.../). In a nutshell, we're making our best estimate re: the market's closing level just prior to trading cutoff time. Occassionally the market moves in the closing minutes and we get the trade wrong, but this is the exception rather than the rule (and hasn't materially affected our results).

MarketSci


On Aug 10 03:11 AM Blair wrote:

> Regarding both strategies, the problem is -- how do you know what
> the market will close at, and secondary can you get an execution
> based on the strategy?
>
> Perhaps what one should do is to use the opening price for the next
> morning as the input value, and close the position at the close for
> the day -- then see what kind of performance one gets]]> http://seekingalpha.com/article/153818-timing-a-strategy-using-mean-reversion-a-critique?source=feed#comment-622870 622870 Mon, 10 Aug 2009 03:11:33 -0400
Perhaps what one should do is to use the opening price for the next morning as the input value, and close the position at the close for the day -- then see what kind of performance one gets]]> http://seekingalpha.com/article/153818-timing-a-strategy-using-mean-reversion-a-critique?source=feed#comment-616291 616291 Wed, 05 Aug 2009 11:27:00 -0400
Good discussion. I much more like looking at reversion potential with multi-year time spans. Long-term moving averages (multi-year) tend to cycle back and forth around very long averages (many decades). I looked at an example of this about a year ago seekingalpha.com/artic...
]]> http://seekingalpha.com/article/109682-understanding-the-oex-put-call-strategy?source=feed#comment-614881 614881 Tue, 04 Aug 2009 12:44:08 -0400 http://seekingalpha.com/article/151412-9-market-extreme-days?source=feed#comment-604604 604604 Would you mind to elaborate a little more on Our abnormal market > filter? It sounds interesting.]]> Tue, 28 Jul 2009 04:32:04 -0400
marketsci.wordpress.co.../


On Jul 27 03:01 PM Susan Weerts wrote:

> Would you mind to elaborate a little more on Our abnormal market
> filter? It sounds interesting.]]> http://seekingalpha.com/article/151412-9-market-extreme-days?source=feed#comment-603999 603999 Mon, 27 Jul 2009 15:01:47 -0400 http://seekingalpha.com/article/151412-9-market-extreme-days?source=feed#comment-603339 603339 Mon, 27 Jul 2009 09:18:53 -0400
Its at 99.96 and has been around the 98-99+ level since the 14th or 15th. Sto has been at mid to upper 90's that entire time.

I look at the collapse in revenues this earnings season, and the lay-off induced "earnings" YoY comparisons, and I just scratch my head and wonder... but stand in front of this train up 'til now and you may be right, but you'll also be very dead.]]> http://seekingalpha.com/article/105643-trading-strategy-vix-spread-and-the-stock-market?source=feed#comment-581745 581745 Fri, 10 Jul 2009 02:37:43 -0400 http://seekingalpha.com/article/147772-on-short-term-price-trends-in-russia-s-stock-market-part-ii?source=feed#comment-580789 580789 Thu, 09 Jul 2009 12:28:33 -0400
The idea that different countries favor one behavior over another is peculiar (to put it tactfully); perhaps you are interpreting the data differently because you don't take into account the difference in _volatility_ which is endemic to each particular market.

To go even farther and say, as you have, that one market functions _only_ on momentum, and another _only_ on reversion, flies in the face of over a century of technical studies. Blaming the apparent discrepancy on currency strength or weakness just reinforces the sense that this author is completely lost.]]> http://seekingalpha.com/article/146912-a-historical-look-at-day-after-options-expiration-trends?source=feed#comment-574268 574268 Sun, 05 Jul 2009 06:22:06 -0400
Anyway, Michael Stokes point on options is great. I am not at all surprised behavior in them changes significantly over time. Options traders tend to be the best of breed or soon die out due to loss of funds. That's probably because not only are they sophisticated enough to get the point that you can hedge, bet on volatility, and arbitrate with options; but also because it's a zero sum game (unlike the stock market which it recently has been proven that everyone can loose at the same time without someone correspondingly gaining lol).
]]> http://seekingalpha.com/article/145909-on-short-term-price-trends-in-russia-s-stock-market?source=feed#comment-566889 566889 Mon, 29 Jun 2009 10:28:56 -0400 madhedgefundtrader.com...). I predicted that the RSX would deliver double the upside of the S&P 500. Well I lied. It actually came in at 2.4 times the US market performance. It even would have worked as a pairs trade, long Russia, short the US. This turned out to be an oil play on steroids, and a recovery in the ruble gave you a nice hockey stick effect in the dollar traded ETF. The bounce in the Russian currency stopped the country’s reserve outflow dead in its tracks, and enabled the Russian Central Bank to start shaving interest rates from the nosebleed territory of 13%. There is plenty of room for further cuts. Russia is not out of the woods yet. Some 30% of the $780 billion in corporate debt is due for rollover this year, the unemployment rate is at 9.5% and climbing, and ruble short term rates are at a sky high 15-20%. It also doesn’t help that they lock up oligarchs on bogus tax charges, and will expropriate foreign assets, as they did with Shell, at the drop of a hat. But none of my investors told me I could only do business with nice people who gave me a warm and fuzzy feeling. I had to bribe my late wife out of Moscow’s notorious Lubyanka prison once. But a rising oil price atones for all sins. Use this dip in crude to add to your positions, but watch out for the volatility.
]]> http://seekingalpha.com/article/145051-the-golden-cross-with-transport-index-confirmation?source=feed#comment-561768 561768 Thu, 25 Jun 2009 09:02:10 -0400 ]]> http://seekingalpha.com/article/145051-the-golden-cross-with-transport-index-confirmation?source=feed#comment-561480 561480 The nonconfirming transports are easy to explain (rationalize?). > The transports are almost entirely dependent on energy. We are coming > off an oil bubble (forming a second peak). When the price of oil > returns to normal (30-40 dollars) the transports will quickly confirm.]]> Thu, 25 Jun 2009 02:44:48 -0400
The oil price is a red-herring.


On Jun 24 01:21 PM CLH wrote:

> The nonconfirming transports are easy to explain (rationalize?).
> The transports are almost entirely dependent on energy. We are coming
> off an oil bubble (forming a second peak). When the price of oil
> returns to normal (30-40 dollars) the transports will quickly confirm.]]> http://seekingalpha.com/article/145051-the-golden-cross-with-transport-index-confirmation?source=feed#comment-560739 560739 Wed, 24 Jun 2009 14:30:06 -0400 http://seekingalpha.com/article/145051-the-golden-cross-with-transport-index-confirmation?source=feed#comment-560646 560646 Wed, 24 Jun 2009 13:21:16 -0400 http://seekingalpha.com/article/145051-the-golden-cross-with-transport-index-confirmation?source=feed#comment-560039 560039 Wed, 24 Jun 2009 06:00:43 -0400
RR June 11th "...the Industrials recorded a high on May 8 at 8574.65 while the Transports recorded their high of 3404.11 on May 6. A minor decline followed, and on the ensuing advance Industrials continued to rise to a new high above their May 8 high. But on the latest rally, the Transports have failed to confirm the Industrials by refusing to advance to a new high above their May 6 peak. Twenty-four trading days have now elapsed since May 6 and despite talk of "a better economy" and numerous "green shoots," the Transports still have not confirmed."

And subsequently the DJTs have dropped further, indicating that a confirmation is extremely unlikely without a significant downward correction in the DJIA.]]> http://seekingalpha.com/article/144332-i-m-intellectually-in-love-with-john-bogle?source=feed#comment-556926 556926 As much good as John Bogle has done for the mutual fund business > by championing low costs, he has equally damaged retail individual > investors (and Vanguard fund buyers) with his mantra of "buy-and-hold." > Simple common sense logically proves that lower costs can improve > investment returns. However, preaching to the masses that "buy-and-hold" > is an investment startegy that everyone should follow has destroyed > more portfolios, investor confidence and long-term plans than any > single idea in investment history.]]> Mon, 22 Jun 2009 02:10:11 -0400

On Jun 21 10:19 AM Indexor wrote:

> As much good as John Bogle has done for the mutual fund business
> by championing low costs, he has equally damaged retail individual
> investors (and Vanguard fund buyers) with his mantra of "buy-and-hold."
> Simple common sense logically proves that lower costs can improve
> investment returns. However, preaching to the masses that "buy-and-hold"
> is an investment startegy that everyone should follow has destroyed
> more portfolios, investor confidence and long-term plans than any
> single idea in investment history.]]> http://seekingalpha.com/article/144332-i-m-intellectually-in-love-with-john-bogle?source=feed#comment-556456 556456 Sun, 21 Jun 2009 16:42:22 -0400 I personally, have a moral problem with encouraging gambling and pornography. I am told, with the S & P 500, that I have to finance casinos and Playboy (or had to when Playboy was large enough to make the 500). Yet this index is held up as the panacea to all of my problems. ]]> http://seekingalpha.com/article/144332-i-m-intellectually-in-love-with-john-bogle?source=feed#comment-556401 556401 Sun, 21 Jun 2009 15:13:30 -0400
Index funds can charge low fees because they are free riders. Other investors do research that create ballpark values for stocks, index funds take advantage of that. If all investors switched to index funds stock valuations would be completely arbitrary: any price vector would be self-fulfilling.

One of the main functions of the stock market is to serve as a signaling device, with stock prices reflecting the underlying economics of listed corporations. Index funds dilute that information and are socially damaging institutions.

Some people argue that mutual funds are inferior to index funds because 85% of mutual funds underperform the index. This reasoning is misguided. The underperformance is the price paid by society to have meaningful valuations for stocks.

Bottom line: there should be a tax on index funds, the proceeds could be used to subsidize stock research. ]]> http://seekingalpha.com/article/144332-i-m-intellectually-in-love-with-john-bogle?source=feed#comment-556048 556048 Sun, 21 Jun 2009 10:26:03 -0400
But remember that outperform means on a "risk adjusted basis".

Hedge funds are highly leveraged and take huge risks.

It's not obvious that hedge fund are really beating the market when
risk is taken into account.
]]> http://seekingalpha.com/article/144332-i-m-intellectually-in-love-with-john-bogle?source=feed#comment-556043 556043 Sun, 21 Jun 2009 10:19:14 -0400 http://seekingalpha.com/article/109216-using-the-5-10-20-strategy-to-trade-the-s-p-500-and-nasdaq-100?source=feed#comment-549196 549196 Tue, 16 Jun 2009 16:30:47 -0400
]]> http://seekingalpha.com/article/143103-leveraged-etfs-not-pushing-the-indices-to-extremes-often?source=feed#comment-547027 547027 Mon, 15 Jun 2009 09:59:26 -0400
Thanks in advance,
Michael Stokes
MarketSci]]> http://seekingalpha.com/article/142140-india-s-stock-market-currently-momentum-driven-not-contrarian-driven?source=feed#comment-539862 539862 Tue, 09 Jun 2009 23:05:08 -0400
Thanks for the feedback. You have just described the portfolio structure I have been moving to post October 08. I have mostly international equities, a lot still in ADRs, but the greater diversity of ETFs and ETN holding foreign instruments has allowed.

I have started to pick up a little foreign debt, and have begun looking at offshore funds that might be worth adding as diversification.

With apologies to C&W singer Alan Jackson------- "Its a bull market somewhere!!!"]]> http://seekingalpha.com/article/142140-india-s-stock-market-currently-momentum-driven-not-contrarian-driven?source=feed#comment-539166 539166 Thanks to you and Soham Das for this very interesting observation. > I think information on international markets is important, especially > now. I have ADRs, but have always believed that the depository receipt > correlation with US markets was to high to be a really effective > diversification.]]> Tue, 09 Jun 2009 14:23:00 -0400
An interesting observation about a too close correlation of ADRs to the overall US market. There's probably some truth to your theory, insofar as a down market will tend to weigh on all stocks, and vice versa. Of course, the alternative is to use the pink sheets, or the OTC-BB, leaving one open to wide spreads between bid and ask. Having said that, if one has a longer time horizon (i.e. is not attempting to day-trade), its not that big a deal, I'd think. I've got about 35% of my portfolio in foreign equities, and big chunk in global sovereign debt, on the fixed income side of things. Both are play against long-term dollar weakness, as well as out-performance in foreign markets, compared to the US.


On Jun 09 12:03 PM Henry Buttal wrote:

> Thanks to you and Soham Das for this very interesting observation.
> I think information on international markets is important, especially
> now. I have ADRs, but have always believed that the depository receipt
> correlation with US markets was to high to be a really effective
> diversification.]]> http://seekingalpha.com/article/142140-india-s-stock-market-currently-momentum-driven-not-contrarian-driven?source=feed#comment-538858 538858 Tue, 09 Jun 2009 12:03:20 -0400 http://seekingalpha.com/article/142136-market-forecasting-are-you-accurate-or-popular?source=feed#comment-538827 538827 Tue, 09 Jun 2009 11:43:24 -0400 http://seekingalpha.com/article/142136-market-forecasting-are-you-accurate-or-popular?source=feed#comment-538417 538417 Tue, 09 Jun 2009 07:33:37 -0400 This surely makes the case for saving account managing money and going for tracker funds.
Even that has been pretty much of a mug's game for years though, as the real profits are skimmed by insiders, leaving the downside to punters.]]> http://seekingalpha.com/article/138015-more-on-the-gold-stock-market-correlation?source=feed#comment-507442 507442 Sun, 17 May 2009 14:54:49 -0400