Seeking Alpha
View as an RSS Feed

My ETF Hedge Fund  

View My ETF Hedge Fund's Comments BY TICKER:
Latest comments  |  Highest rated
  • Our Conservative ETF Model Portfolio [View article]
    Dear Robin,

    Thanks a lot for your interest. As I hope it is clear from the article, the strategy is mostly based on relative strength. This being said, the addition of value and technical criteria as filters has proved to be a very helpful complement to identify ETF with high ranking but about to experience a correction.

    To be more specific:
    1/ Technical: if an ETF has been overbought for an extended period of time AND trades above x% of a reference MA, the odds that it is about to coorect are high. As of May 31 it was not the case for FXI.

    2/ Fundamental: current P/E shall not be in an extreme perceptile compared to historic P/E (for equity ETFs). As of May 31, it was not the case for FXI.

    Hope this is useful.
    All the best,

    Jun 3, 2011. 11:48 AM | 3 Likes Like |Link to Comment
  • The Best SA Articles Of All Time, As Chosen By Their Authors [View article]
    Just saw our article received the most votes! So thank you all voters, authors and of course Seeking Alpha for building such a great community.

    I must confess we did not expect (and probably did not deserve) to win this at all, especially given that there were pieces by Chuck Carnevale and David Fish to name only a couple. Very good surprise and thanks again
    Mar 29, 2012. 01:28 PM | 2 Likes Like |Link to Comment
  • How To Build A Core Portfolio Of Strong Dividend Stocks [View article]
    ARLP seemed perfectly fine. We excluded it for the reason mentionned in the article: most of our assets are managed according to an ETF strategy we wrote about. The universe for such strategy includes AMJ, which replicates an index of MLPs. And we prefer to gain exposure to the sector through this ETF when conditions warrant it
    Jan 19, 2012. 02:44 PM | 2 Likes Like |Link to Comment
  • A Global Tactical Asset Allocation Model [View article]
    RM13 -

    Thanks for the comments.

    The results of the model presented in this article are baktested.

    It should be noted that the objective of this kind of strategy is not to beat SPY (or any other benchmark) every single year, but to record positive returns every year, with lower volatility and small drawdowns. The latter part is key when judging a strategy in my opinion: the less risky a strategy is, the more likely an investor will be able to stick to it and let emotions out of the decision-making process.

    This said, one can note that over the last 10 years, returns were positive every year. The strategy underperformed SPY only twice:
    - once in 2006. The 3 subsequent years (2007-2009, remember?), the strategy returned +56%, +34% and then +54%
    - once in 2012...
    Jan 21, 2013. 01:01 PM | 1 Like Like |Link to Comment
  • Top 20 Dividend Growth Stocks For 2013 [View article]

    Thank you for your comment.
    Jan 16, 2013. 11:33 AM | 1 Like Like |Link to Comment
  • An Income-Growth Portfolio For 2012: 4%+ Yield, Dividend Growth And Lower Beta [View article]
    Great article! It is nice to see investors with similar philosophies. I agree that stocks with high yield, high DGR and low payout tend to outperform over time. I have started building a portfolio along these lines, which are pretty similar to your approach. I added further consideration on valuation and earnings to avoid stocks that seem overvalued.
    Feb 3, 2012. 05:37 PM | 1 Like Like |Link to Comment
  • Momentum Trading Strategies Part VII: Hot Hands ETFs 2011 Summary [View article]
    Thanks for the article, which gives a sneek peak at what can be done using relative strength. However I think one of the drawback of the current approach is that you have little control over asset allocation or over the correlation between the ETFs chosen. I have written several articles on Seeking Alpha that provide guidance on how to overcome these hurdles: or for instance
    Jan 23, 2012. 03:46 PM | 1 Like Like |Link to Comment
  • How To Build A Core Portfolio Of Strong Dividend Stocks [View article]
    Indeed. I should add, as we detail it on our website, that we use here a weighted average of the 1-y, 3-y, 5-y and 10-y dividend growth
    Jan 19, 2012. 08:55 PM | 1 Like Like |Link to Comment
  • Boosting Portfolio Returns With Tactical Asset Allocation To Best-Performing Sectors [View article]
    We track the above strategy on our website, including 6-month returns and position vs 6-month moving average
    Dec 7, 2011. 09:22 AM | 1 Like Like |Link to Comment
  • Achieving Positive Returns in This Market [View article]
    Yes, and investing in the Top 1 of our universe has returned over 43% annually since 2003. But is it a portfolio strategy? Who would seriously put 100% of his hard won money in one single position at all times? You certainly would not, and your remark is therefore not relevant in the context what's disscussed in the article
    Aug 5, 2011. 03:39 PM | 1 Like Like |Link to Comment
  • Indonesia ETFs Soar Amidst Global Uncertainty [View article]
    Our aggressive model portfolio indeed holds a position in IDX, as our relative strength ranked it first among emerging markets.
    Jun 20, 2011. 08:29 PM | 1 Like Like |Link to Comment
  • Our Conservative ETF Model Portfolio [View article]
    One additional remark: we have rerun some backtesting assuming that the fixed-income part is not a mix of TLT, SHY and AGG, but simply cash (SHY). The results are almost the same: 15.7% annual return (CAGR) with, of course, lower volatility (9.2%) and lower maximum drawdown (-4.2%).
    Jun 4, 2011. 09:08 PM | 1 Like Like |Link to Comment
  • Our Conservative ETF Model Portfolio [View article]
    Thanks everyone for these comments. The portfolio composition will indeed be updated monthly on our site, but we will write several more articles here to drill down further on the mechanics and performance of the strategy and other more aggressive strategies.

    Shorts answers to some of the questions in the meantime:
    - Portfolios are rebalanced monthly to the best ranked ETFs. Overall over the backtesting period, this has led to an average of around two round-trip (a buy and a sell) a month.
    - BND and AGG are almost perfect substitutes so you'd get roughly the same results with BND. FXI and GXC are less perfect substitutes because their sector composition is a bit different, but the results should not be affected too much.
    - the remark about TLT is very relevant. I would stress that its share is high for the month of June 2011 because it has performed well since February. This ranking also highlights the higher risk aversion since early may. Note however that our allocation process is quite dynamic and at some points TLT share was as low as 10%. But neverless though. This is not the case in our more aggressive portfolio.
    - Backtesting over 30 or 40 years is not possible because ETFs did not exist back then. However, several backtests have been performed over a 1972 - 2010 period based on indexes performance, such as the ones performed by the great Mebane Faber. These studies confirm the soundness of this kind of strategies.

    Looking forward to discuss further all these issues.

    Happy investing

    Jun 4, 2011. 05:27 PM | 1 Like Like |Link to Comment
  • A Global Tactical Asset Allocation Model [View article]
    Dear Ypa Finance,

    It would have been kinder (and more professional given that you seem to use similar strategies) to ask questions rather than being so disrespectful.

    Then our answer regarding "under the hood mechanics of the backtest" could have been that it is pretty straightforward to replace GLD by the price of spot gold before the creation of the ETF, etc...
    Jan 22, 2013. 05:38 AM | Likes Like |Link to Comment
  • A Global Tactical Asset Allocation Model [View article]
    Sheerace -

    Thanks for your interest.
    No, taxes are not taken into account given the range of individual situations - from Mr. Buffet to his assistant :-)
    Jan 17, 2013. 01:01 PM | Likes Like |Link to Comment