Seeking Alpha
View as an RSS Feed

Ploutos  

View Ploutos' Comments BY TICKER:
Latest  |  Highest rated
  • 5 Ways To Beat The Market: Part 5 Revisited [View article]
    I will look into it and try and pull in the underlying indices to get a longer track record - thanks
    Aug 2, 2015. 06:46 PM | Likes Like |Link to Comment
  • The Low Volatility Anomaly: Risk Parity [View article]
    Galicianova and zkmg01: An equal risk allocation example - in the graph above, the authors of the referenced article compare a "risk parity" portfolio to a traditional 60% equity/40% fixed income balanced portfolio. Of course, in a 60%/40% portfolio, the investor would still have much more equity risk than 60% because of the higher riskiness of equities. To accomplish risk parity, one would have to increase the proportion of fixed income. We would expect a higher proportion of fixed income to lower expected returns. That assumes that we remain un-levered. The authors are suggesting that levering fixed income such that half of the riskiness of the portfolio is in fixed income and half is in equities would outperform. In this series, I am pointing out that investors traditionally eschew lower volatility fixed income in favor of higher risk, higher expected return equities, but are not being properly compensated for this higher risk portfolio as compared to levered fixed income. Let's discuss further if this explanation again falls short, and I will try and edit the article with an improved description.
    Aug 1, 2015. 06:40 PM | Likes Like |Link to Comment
  • Capitalizing On The Low Volatility Anomaly: An Introduction [View article]
    TM - I sourced the index data via a Bloomberg terminal subscription. The S&P 500 Low Volatility Total Return Index is SP5LVIT INDEX.
    Aug 1, 2015. 09:46 AM | Likes Like |Link to Comment
  • Low Volatility Anomaly: Buffett's Alpha Example [View article]
    Marc - here is an article on Leverage Aversion or Leverage Constraints

    http://seekingalpha.co...
    Jul 29, 2015. 06:31 PM | 1 Like Like |Link to Comment
  • The Low Volatility Anomaly: Overconfidence Bias [View article]
    Thanks Hardog
    Jul 29, 2015. 06:28 PM | Likes Like |Link to Comment
  • Capitalizing On The Low Volatility Anomaly: An Introduction [View article]
    TM - As you stated, the data set with the replicating ETFs is limited. I am using the underlying indices with data back to 1990, which covers three economic recessions. I view this as a more apt analysis.
    Jul 28, 2015. 06:12 PM | Likes Like |Link to Comment
  • The Low Volatility Anomaly: Overconfidence Bias [View article]
    Thanks for the comment Ginny
    Jul 28, 2015. 06:09 PM | Likes Like |Link to Comment
  • The Low Volatility Anomaly: Lottery Preferences [View article]
    I understand what you are saying Craig, and yours is a perspective that many share. All dollars are worth the same, but you have mentally accounted for them separately. Many investors do the same, adding a large idiosyncratic "bet" to their otherwise diversified portfolio. I believe that these bets - like a slot machine or the Washington lottery - lead to lower risk-adjusted returns. I prefer the disciplined long-run approach, but understand why some would hope to reach the next "plateau" as you describe through a successful short-run bet that gets you their faster than my long-term approach. I must admit that on occasion I am tempted by short-term market opportunities that I believe could provide this short cut, but realize that the increased idiosyncratic risk of this bet could push me off my path.
    Jul 25, 2015. 03:30 PM | 1 Like Like |Link to Comment
  • The Low Volatility Anomaly: Lottery Preferences [View article]
    If you are spending $1 to win a lottery of $1M, and the odds are lower than 1 in 1 million than the bet has a negative expected value. You might derive "value" from an entertainment standpoint, but it is not economic value.
    Jul 25, 2015. 03:03 PM | 1 Like Like |Link to Comment
  • The Low Volatility Anomaly: Lottery Preferences [View article]
    You could use beta (analytically the covariance of a stock's return with market returns divided by variance of market return). The S&P Low Volatility Index use the trailing 1-yr price volatility of constituents.
    Jul 24, 2015. 05:50 PM | Likes Like |Link to Comment
  • The Low Volatility Anomaly: Lottery Preferences [View article]
    Galicianova - I covered just that topic recently:

    http://seekingalpha.co...
    Jul 24, 2015. 05:48 PM | Likes Like |Link to Comment
  • Capitalizing On The Low Volatility Anomaly: An Introduction [View article]
    Augustus - through this series, I am going to show that Low Vol stocks have outperformed for far greater periods than just the last two major market drawdowns and will try to build a justification for why that has occurred. Certainly, much of the outperformance of these strategies does come from periods of weak market returns, but these strategies have not given up much in bull markets either as you can see from this article... http://seekingalpha.co...
    Jul 19, 2015. 10:16 AM | 1 Like Like |Link to Comment
  • Capitalizing On The Low Volatility Anomaly: An Introduction [View article]
    Please share a link
    Jul 18, 2015. 12:33 PM | 1 Like Like |Link to Comment
  • 5 Ways To Beat The Market: Part 5 Revisited [View article]
    I believe that the outperformance of capitalization-weighted indices in the 1990s was a function of the tech bubble run-up.
    Jul 15, 2015. 06:37 PM | Likes Like |Link to Comment
  • 5 Ways To Beat The Market: Part 5 Revisited [View article]
    tmow - I am going to put something together on SPLV vs. USMV - it is a topic that has been broached several times. I have a sneaking suspicion that minimizing vol and certain constraints imposed by the index USMV replicates could lead to a modest underperformance versus a less constrained factor tilt - will publish the results either way
    Jul 14, 2015. 06:39 PM | 1 Like Like |Link to Comment
COMMENTS STATS
529 Comments
295 Likes