Edison International (EIX)

All Comments on EIX

  • commenter
    Geoff
    Considine
    Jul 08 10:37 AM
    My Website
    The Do-It-Yourself Market-Neutral Portfolio [view article]
    Steve:

    Over the last 12 months, I get about the same result--depending on whether you drop OMM when it was delisted due to acquisition or substitute its acquirer. Either way, the portfolio is down by an amount close to the S&P500, as you suggest. That said, note that the R^2 of 20% or less over long periods of time means that it is not really a good idea to benchmark against something like the S&P500--most of the volatility in the portfolio is not due to moves in the S&P500. A "market neutral" apporoach that has fairly high volatility (like this one) may not drop when the market drops--or it may--the market direction is not the driver. In this case, the credit crisis has been a big driver because of the exposure to banks here.

    This kind of portfolio is a good one to monitor over the long haul--thanks for the reminder :)

    Geoff     Reply
  • commenter
    Steveal50
    Jul 08 06:07 AM
    The Do-It-Yourself Market-Neutral Portfolio [view article]
    Geoff,

    Any comment on this article in the light of a subsequent years performance?

    The banks were hammered, of course, but the overall performance seems right in line with the indices.

    Steve     Reply
  • commenter
    mmbc
    Jul 07 05:32 PM
    My Website
    Utilities Shine Again in Q2, Trailing Only Energy [view article]
    Good article.
    For a list of ETFs that invest in the Utilities sector, please visit my ETF Ranking and Signals page here for Utilities:

    www.maxmoneyblog.com/b...

    For the Ranking dashboard post:
    www.maxmoneyblog.com/b.../
     Reply
  • commenter
    AJ30
    May 09 01:00 PM
    Wall Street Breakfast: Must-Know News [view article]
    Gebby you are SO correct! "If it bleeds, it leads" mentality of the press has almost destroyed their readership. Mark Twain was right on the money when he said "To NOT read a newspaper is to be Uninformed, but to read them is to be Misinformed". Unfortunately the other media outlets are folloeing in the newspapers footsteps. Reply
  • commenter
    Rick S.
    May 08 01:07 PM
    Wall Street Breakfast: Must-Know News [view article]
    Falcon: To be perfectly clear, nobody "knows" whether the market is headed up or down. Never. It's always a prediction, and fallible Reply
  • commenter
    falcon56l
    May 08 12:15 PM
    Wall Street Breakfast: Must-Know News [view article]
    Does anyone know where the market is headed-up or down? Or are we just playing games for the hedge funds? Reply
  • commenter
    gebby
    May 08 11:13 AM
    My Website
    Wall Street Breakfast: Must-Know News [view article]
    the most interesting piece of news this morning was ener earnings. did you see them? stock up 10. there was never going to be a recession unless the government failed to address the failure of the credit market. and they did respond. the media jumps on the notion of recession because fear sells not because it is liberal but because it is motivated by profit . the bias is towards useless information. Reply
  • commenter
    Dave M.
    May 08 10:56 AM
    Wall Street Breakfast: Must-Know News [view article]
    Whenever there is a Democrat President, the talk is always of a "soft landing". Whenever a Republican is President, it's always a recession. Yet another example of the left-wing bias of the media. Reply
  • commenter
    Richard
    Schweitzer
    May 08 10:07 AM
    Wall Street Breakfast: Must-Know News [view article]
    Much overlooked: the rate of increase in productivity and increase in manufacturing output.

    Much is written about the "decline" in U.S. manufacturing, which has consistently increased in output (not payrolls).     Reply
  • commenter
    LoveShorting
    May 08 09:33 AM
    Wall Street Breakfast: Must-Know News [view article]
    White house economist sees no recession? Consider the source. Reply
  • commenter
    SeekingAlpha
    Editors
    Apr 06 05:16 AM
    My Website
    General Discussion on EIX
    Is this a buy or a sell? Reply
  • commenter
    manhapf
    Dec 28 08:20 AM
    The Do-It-Yourself Market-Neutral Portfolio [view article]
    Hello Geoff,

    Thanks for your software and articles; they've been insightful and helpful. I've been interested in portfolio asset allocation for many years and am a user of some complex software tools; love QPP's format, nicely done! I've been trial using your software and have some questions/observations...

    Rebalancing/Optimizati... of Allocations:
    One of the implementation details in using QPP is when to future adjust and at what frequency the 'final' asset/security allocations? At present, you either define an allocation weighting of equal or some proportion that 'suits' the investor's preferences for risk/return ideally based on empirical knowledge; eg, 70% equities/30% bonds.

    I'm not a fan of software optimization in general as applied to portfolio allocations, I'm quite familiar with the pitfalls and the bad results that typically are produced from even excellent out-of-sample and supposedly robust models. However, since with QPP we're using monte carlo simulations of forward looking return possibilities and 'experimenting' with various assets/security combinations/allocatio... weightings anyways, there is a temptation to use Excel's built-in Solver tool to optimizatize. For example, we can maximize the forward returns by modifying the asset/security allocation weights constrained by the forward looking standard deviation for example.

    Ideally, the optimized forward returns/SD yield the best weights and are robust in the sense that they deliver similar optimized/simulated results compared to the historical results over 1, 3 & 5 year time horizons; would you consider longer time horizons? I've attached a before/after example using your market-neutral article to demonstrate the effect of optimizing the allocation weights which appears quite compelling since it also improves on the portfolio beta and diversification values.

    So, what frequency of re-running the simulations to adjust the allocation weightings do you normally recommend once they're established to ensure the expected return/SD results are still meaningful; annually? What's your opinion of optimizing the weightings in this manner?

    Disclaimers:
    1) To what index is Beta used to capture correlation; am assuming S&P500, but should be stated.
    3) Based on research I've done, asset/security returns are not normally distributed. I realize that this makes the programming/math easier, but this is an area that could be improved and make QPP a more valuable tool and one that I'd be willing to pay more for!
    6) Based on your articles, I assume that this refers to the 1:1 relationship normally displayed between returns and standard deviation; is this correct?

    Thanks much for your time and consideration of my questions/observations...

    Reply
  • commenter
    mcaudit
    Jul 20 12:57 PM
    Renewable, Green Power is Flowing – But Where Are the Power Lines? [view article]
    great article...hit it on the head Reply
  • commenter
    Geoff
    Considine
    Jun 05 12:20 AM
    My Website
    The Do-It-Yourself Market-Neutral Portfolio [view article]
    Hi Dan:

    Yahoo's stock screener also gives CEF's--it is free and easy. In this case, with the P/E criteria that I used, these industries ended up with high representation--this is a consequence of looking for low Beta and low P/E.     Reply
  • commenter
    Dan Sweet
    Jun 04 11:06 PM
    The Do-It-Yourself Market-Neutral Portfolio [view article]
    I'm screening for stocks using the MSN Money Deluxe Stock Screener, what tool do you use to screen closed-end funds? Is there a better tool that will scan for both concurrently?

    And to restate my question from above more explicitly...did you just screen and end up with concentrations in these asset classes? Or did you say "I want some debt funds, some utilities, some energy" and run screens for picks within those specific sectors?     Reply
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