Uday Maitra

CSD: Spin-Offs Work

Interesting idea, but too low volumes hurt other investors. I tend to believe that two things if different could have helped

1. the spin-off index was nevertheless a long only product and has to compete with huge number of other long only products. a better alternative could have been a product capturing the out-performance of the spin-off index and say their parent companies or say the broader market.

2. secondly, even if you had a product on the outperformance of spin-off vs say their parent (which resembles more of a strategy), the volatility is going to be low because this is a hedged strategy. to attract sufficient retail clients, you need to add leverage - say 2x or better 3x or 4x versions of this.

Essentially something different than a long only twist (e.g. DBV or QAI which gained more traction recently), and something to match the volatility of FAS or EDC.

Here's Why Asia Must Eventually Ditch the Dollar

WWII

On Oct 26 04:42 PM User 183836 wrote:

> So what was it that caused the Sterling to stop being used?
> GC

How Rebalancing Added Over 2% to the Returns of a Simple ETF Portfolio

All this headache of rebalancing every month for that 2% - wouldn't transaction costs eat that up?

VIX ETN: Ineffective as Both Short-Term, Long-Term Play

The main issues with vol futures products is that you can't buy or sell the underlying, i.e. you can't arbitrage between the VIX and VXX etc. So all kinds of funny things can happen. A futures contract is the "expected future price", not really supposed to be reflective of the current spot. Similar funny stuff happened when the spot crude went to $140 etc, but futures traders kept on losing due to the rollover.

The Stealth Commodity Index

btw, i just also remembered that a few people look at weather trading data (hdd, cdd or otc instruments) which is also not very liquid, but they claim it can be sometimes be a leading indicator for nat gas. (although i doubt it!).

The Stealth Commodity Index

very interesting idea.

btw, i am not sure about the inflation angle, but usually it is the soy complex futures in agriculture (not wheat) that leads the trends in the sector and usually is also the most liquid.

Thoughts on the New World Order: Israel as a Developed Market, S. Korea as an 'Almost'

From a hedge fund perspective, we use an important criteria (among others) often overlooked: shorting allowed along with liquid lending/borrowing markets. although it is a narrow criteria, i think it serves us better to look at the characteristics of the market or its micro-structure, rather than the GDP - because the GDP can make many EU countries look developing and China a developed country.

South Korea, not among the best as far shorting mechanism, but reasonably good enough, better market structure than countries like Spain, Italy etc - so for us definitely developed. No doubt Israel has great companies like Teva, but not sure about the lending/borrowing mechanism and currently it seems like only naked shorting is prevalent (i might be wrong) - hard to argue that can be called developed - most likely it might be better off classified as developing. Another similar example: India - shorting legally allowed, but non-functioning lending/borrowing while shorting is mostly done by single stock futures which is often inefficient with basis risks and rollover costs - hence definitely developing. China - no shorting, and hence developing, but Hong Kong is on par with western infrastructure and therefore developed. South Africa on the other had has much lending/borrowing than say India or China and a better candidate to put in the same category as developed countries in spite of its GDPs and economic numbers.

Global Markets: Pause or the Start of a Slide?

One of the interesting thing that your charts highlights is the increasing (although still weak) coupling of some or many of the commodities, particularly oil, with equities. Perhaps some spreads trades could be interesting.

Shock and Awe: More on the BlackRock-BGI Deal

Jim, I recently had an hour long conversation with one of the BGI sales bus dev guy and a head of one of their hedge fund teams. In spite of their huge AUM on the ETF business, their main revenues are from their massive Hedge Fund/Alternatives business: funds like Global Ascent, 32 Capital etc and the ETF business contributes quite little to their bottom line relatively.

FAS and FAZ: A Short-Seller's Dream?

i would expect that the cost of shorting these ETFs would be quite high. also, some of the short interest could be due to option market makers.

Reverse Split Some of the Direxion 3x ETFs?

kkerr, interesting link. To your comment, the bull (or bear) will never go to 0 as long as the one-day down (or up) move is less than 33.33% (ignoring management costs) for the 3x levered etfs and 50% for the 2x levered etfs. But, that won't stop anyone of the more volatile lines like FAS or FAZ from trading in pennies. Currently, they are down by -80% in the 6 months since launch. In another 6 months, if the same volatility continues, they could potentially be down another 80%, or i.e. 96% since inception and so on every year. If such a volatile etf started trading at 100, then after a year it can be hypothetically 4, and after the second year it can be hypothetically 0.16 etc.

iShares Mortgage REIT Index ETF: Undervalued and Overlooked?

Ron, you are right on that yields can be deceiving. My preference is to use the SEC Yield based on the most recent 30-days - usually available from the website of iShares (instead of the last quarterly payout). As of today, it is 11.68%.

A General Hypothesis on Real Estate Prices

H.J.,
Sometimes the real value of assets can differ from their traded assets. If you are interested about investing in real estate, you might want to look at REITs more carefully as many are very cheap with respect to the holdings (which by themselves are depressed). For e.g. I recently wrote about REM, where the index is currently trading below the book value of the underlying. If you are interested in REM, you can check some data related details at my blog: seekingalpha.com/insta... with other comments. Best.