Seeking Alpha

Roman Chuyan, CFA

 
View as an RSS Feed
View Roman Chuyan, CFA's Comments BY TICKER:
Latest  |  Highest rated
  • Making Money With Math Has Been Too Easy For Too Long [View article]
    @leopard:
    I think the whole idea of shorting, say, TZA is taking advantage of the 'negative convexity' in its returns. Meaning TZA's returns lag substantially (-3 x Russell 3000) returns. TNA returns also lag 3xR3000. The lag (negative convexity) depends on experienced returns and volatilities, but it's a lot. That's why they all decay, as you noted. The author's strategies short this stream of underperformance, thus earning the alpha. So you have to short a leveraged ETF/ETN in order to earn it, going long 50 TMF + 50%TNA is not a valid test at all.
    Jul 18 09:52 AM | 3 Likes Like |Link to Comment
  • How Does REM Pay That 15% Dividend? [View article]
    @critter,
    I would not buy but I will hold. If you want to time it as you descried, you would want to do it after div announcement date (when the amount is announced), not ex-div date. On ex-div, the price typically just drops by the amount of the dividend, so it's a wash.
    Jun 17 09:00 AM | Likes Like |Link to Comment
  • How Does REM Pay That 15% Dividend? [View article]
    If you read what you posted, there was no $2.35 cash-only election. The "most cash" is $0.9159 + .097 shares, which is what happened. So compare WMC's $916 Dec-2013 dividend to $.67 Mar-2014.
    Jun 17 08:55 AM | Likes Like |Link to Comment
  • How Does REM Pay That 15% Dividend? [View article]
    I think there is confusion about WMC's Jan-28th $2.35 dividend. It included a stock portion, 2.55 mil shares, a 10.5% increase to shares outstanding. I'm not sure if it was passed to REM's shareholders as part of $0.5067 dividend, instead, it may have increased REM's holdings of WMC. We will see if this was the case in REM's April-2014 semi-annual report (WMC holding should increase by 10.5%). If so, WMC paid $.916 Cash dividend in Dec-2013, and $0.67 in Mar-2014 - a drop, yes, but not as sharp as you present by comparing to $2.35.

    This may explain most of your projected REM's dividend of $0.30 - you don't provide anything else here that explains it. The rest can be summarized as "REM's price dropped in the summer of 2013, while dividends did not." That's why it has higher yield.

    Having said this, I do agree that REM's dividend is likely to drop somewhat, perhaps to 12-14% yield (at current price). At this yield, it's still tremendously attractive as income investment, as are diversified mREITs in general: http://bit.ly/SO41rx
    Jun 16 02:17 PM | 3 Likes Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    @eagle1003, hosing construction and sales in 2005-07 was driven by speculative demand. Look at a longer history - long-term demand, driven by population growth, household formation, is about 1.5 mil. That excess buildup had to be absorbed, and it now has. You don't want housing to go back to the bubble levels - if it does, the same people will complain about low affordability.
    Jun 9 10:44 AM | Likes Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    I mention P/E very briefly in this article.. we found as part of our modeling based on long(er) history that P/E compared to its average over 5-10y years matters most as one of the factors that influence equity market returns. The reason may be that people give higher weight to recent history.
    Jun 8 10:31 PM | 1 Like Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    @Pharma, you can see answers from the P/E chart. In 2011 P/E was ~16, and there was a correction. But P/E was much higher, most recently in 2009-10, and in 2013, with no corrections. The point is that P/E alone is not a good predictor of near-term (6-12m) market moves, and not great for mid-term (2-3y) either. No single factor is, there are always multiple factors in play - not only valuation, but also economic, sentiment, etc.
    Jun 8 04:01 PM | 1 Like Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    Thank you :)
    Jun 8 03:53 PM | 1 Like Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    Diego - Consensus Q2 earnings growth is 5.7% YoY. Actual earnings "beat" estimates by 2-3%, on average, so we may see about 8%. Inflation is just under 2% now, below the Fed's target of 2% - it should get to 2%-2.25% in the short term.
    Jun 8 03:53 PM | 2 Likes Like |Link to Comment
  • Equity Rally Is Just Getting Started [View article]
    ..or you didn't read beyond the title.
    Jun 8 11:10 AM | 3 Likes Like |Link to Comment
  • Bond Yields Make Some Sense [View article]
    @Vincent1966, thank you. However, 3.4% is the yield on corporates. I hedged duration for many years. When you hedge duration, you end up earning, after hedging cost, short-term rate (say, 3m T-bill rate) + corporate spread, total maybe 1%-1.2%. This is where products get creative - I think IGHG pays out corporate coupon, but has the cost of hedging (long Treasury minus t-bill) come out of NAV/price. Which means that its price will likely decay over time (we don't see it yet in short IGHG history).
    Jun 3 01:56 PM | Likes Like |Link to Comment
  • Retirees Please Don't Index, You Deserve Better Than Average [View article]
    Actively managed, as opposed to passive (index). Read it to see the point.
    Jun 2 05:39 PM | Likes Like |Link to Comment
  • Retirees Please Don't Index, You Deserve Better Than Average [View article]
    In your article you looked at DA's historical performance vs. the S&P to support your argument that DA are "Better Than Average" (part of your title, no?), or better than index. I (and others) simply pointed out the serious flaw in the way you look at historical performance - hindsight bias. It's pretty basic.

    It is well-known (at least among professional investors) that most active managers/strategies underperform index - e.g., S&P Indices Versus Active (SPIVA) study is updated every 6m: http://bit.ly/Z5wQQm

    Note that I'm not advocating index-only - I do think that there is a place for both index investing, and for active strategies by sophisticated managers who have an edge.
    Jun 2 02:49 PM | Likes Like |Link to Comment
  • Retirees Please Don't Index, You Deserve Better Than Average [View article]
    An actual investment portfolio, such as an ETF, would not have this bias. Here's one: SPDR S&P Dividend ETF (SDY), which has high overlap with the DA methodology. It started in late-2005; from 2006 to now, its TR underperformed the S&P by about 8% cumulative, before fees. Where's the outperformance? Hmm...
    May 29 06:17 PM | 8 Likes Like |Link to Comment
  • Retirees Please Don't Index, You Deserve Better Than Average [View article]
    Dear Chuck:

    Sorry to rain on your fan party here, but your analysis suffers from a major flaw of hindsight bias. (in addition to minor issues such as the period being 18.4y not 20y, and the S&P performance over the period being 8.2%):

    As @martinfrosa and others pointer out correctly, the current Dividend Aristocrats are nothing like the list at Dec-1995. We know NOW that these companies grew their dividends and earnings over the last 20 years. We didn't know in Dec-1995 that these 55 companies would do so. You must select the Aristocrats as of Dec-1995, then look at their performance over subsequent period.
    May 29 05:31 PM | 21 Likes Like |Link to Comment
COMMENTS STATS
139 Comments
117 Likes