IYG Forum Topics
- All Comments on IYG
- General Discussion on IYG
- U.S. Bank Dividend Yields Revisited [view article]
- In Search of Low (or Negative) Correlation Between Asset Returns [view article]
- Key ETFs Furthest Above and Below Their 50-Day Moving Averages [view article]
- Housing Affordability Proves Elusive [view article]
- Exchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
- A Good Time to Cover Bank of America [view article]
- Bullish on the Market, With Caution [view article]
- The Credit Crunch Is Far From Over [view article]
- The Real Threat of the Housing Bubble [view article]
- Financial Sector ETFs [view article]
- For and Against Banks Cutting Their Dividends [view article]
- New Rules on Leverage Would Hit Goldman More Than Its Peers [view article]
loading ...Recent IYG Articles
- REIT ETFs: Beaten by a Dart-Throwing Monkey
- U.S. Bank Dividend Yields Revisited
- Key ETFs Furthest Above and Below Their 50-Day Moving Averages
- Most Overbought and Oversold ETFs
- Housing Affordability Proves Elusive
- ETF Update: Gold Staging a Turnaround, Financials Stumble
- Bullish on the Market, With Caution
- John Hussman: Market Moves to the Risk Sectors
- The Credit Crunch Is Far From Over
- For and Against Banks Cutting Their Dividends
- Full List of Articles »
Nusbaum
This Decline Has Been By The Book [view article]
y ReplyThis Decline Has Been By The Book [view article]
Is he saying the inverted yield curve is bad for financials? ReplyETF Performance YTD: The Good, the Bad and the Ugly [view article]
Nice summary. Regarding Russia, isn't RSX a Russia ETF ReplyExchange-Traded Funds and Closed-End Funds by Asset Class, Type and Provider [view article]
Are there any EFT funds that are purelt composed of vietnam companies? lasmatas@yahoo.com ReplyAre You Missing the ETF Rally? [view article]
Uncle Bill -Thanks for your question. I can see that you did some research with genuine interest, so let me try to clarify a few things.
While I have been trading market sectors through model-based rotation systems for nearly ten years, the application to the ETF's, and particularly to iShares, is a new approach for us. I have tried to explain why this universe is especially good for our model, and I'll write more on this in the future. Meanwhile, the record you see here is what we actually did. The articles include a rapid trade in and out of a sector in August, and how we were out of the market for a month.
I am trying to illustrate what it is really like to trade a system. Most people do not understand at all. I do not expect to call bottoms and tops with this method. In fact, I know that I will get whipped around at transitional points. How? From studying the careful, out-of-sample back tests, so I am prepared for what I get. I also know there will be some negative patches and drawdowns.
We use this model for our intermediate outlook even when I personally disagree. (Over the years, the model and I have been pretty close overall, both with excellent records.) Because we make our position public on the Ticker Sense blogger sentiment poll, you can check us out for a longer period. When the model is negative, we include short ETF's to hedge the position. We might still be net long, but the percentage has been reduced.
I am still trying to figure out what to include in these articles, and what the timing should be. Your comment is helpful in that regard.
Thanks,
Jeff Reply
Are You Missing the ETF Rally? [view article]
I noticed that your positions in this article are only a month old, so I checked your previous posts to see how you've been doing. On June 20, with SPX a 1512, your post was Outlook Continues to Be Bullish. About two weeks later, July 3, with SPX at 1534, your title was Outlook Moves to Neutral from Bullish. Three weeks after that, with SPX at 1511, your title was Outlook Shifts to Bullish. Ten days later on August 2, with SPX at 1472, you wrote "What has happened in the last week has little to do with the valuation of most stocks. We find many attractive buys on our "watch list" and we have added to our positions." Two weeks later, on August 17, you wrote, "Our intermediate term model turned neutral as we reported on August 1st, and negative a couple of days later." At the time of the post, SPX stood at 1411. That was pretty much the low for the summer. What's a thoughtful reader to conclude? ReplyMean Reversion and Cheap Financial Stocks [view article]
Hi Bill,The mean is the overall US Equity Market. No matter what proxy you use (Russell 3000, S&P500, etc), the Financial Services stocks have underperformed. They’ve been lagging pretty much all year (especially over the last three months).
I have been waiting for something in the market to initiate a regression toward the mean, and I think we may have gotten it on Tuesday via the Fed rate cuts and the better than expected earnings announcement from Lehman Brothers (Lehman has significant exposure to subprime credit markets, which has been the main source of fear that caused poor Financial Services performance in the first place).
I did not calculate the standard deviation, but you can do it easily by pulling historical data from Yahoo!Finance, pasting it into Excel, and using the statistics functions and data analysis toolpack.
I do think a lot of the financial stocks will make a strong run and outperform the overall market. Some of my favorites are Fortress Investment Group (FIG), the Blackstone Group (BX), and almost all of the bulge bracket investment banks (MER, GS, BSC, LEH, etc). You are welcome to continue the discussion, and check out all of my holdings at TheClearmarkFund.com.
Reply
Mean Reversion and Cheap Financial Stocks [view article]
Mark, where's the mean these stocks are reverting to? Is that as far as they'll go, back to the mean? Also, how do you figure your standard deviation and your mean? Finally, did you think these stocks would revert to the mean back in June? I'm interested in your approach -- this looks like good stuff.Reply
Okkerse -
CEO
OK-Rating
Inst.
Risk-Return Balance Across iShares ETFs [view article]
I am obliged by this amount of work and surprised by its result.During my investigations within the total ETF's of Dutch AEX index the following could be ascertained :
During eight years the annual and preselected stocks of that AEX delivered together a Bèta of 0,62 and an Alpha of >9%
Reply
Gold, Silver ETFs Lead the Way Lower; Financials Gain [view article]
Nick,...You better wake up ! Like Jim said, this is pure specullation !When times go bad, really bad,...do you think you can take a bar of gold to your local bank and get cash or go the local grocery and get food ? Get serious,...I could never figure out people who get involved in pure speculation. Like the housing bubble,...not braging but I saw that bubble coming when prices were on the way up ,..way, way up ! Housing is an easy one to "Do the MATH !" If you buy a home, especially as an investor, you better figure all the costs and the probable income, and then tell yourself if it will at the very least,...PAY FOR ITSELF ! Most of todays investors are of the "Herd" mentality,...if joe Blow says it's a good idea and Joe does it, then it must be great,...right ? WRONG,..if you don't do the math,...meaning calculating "Return on Investment ".... it can be a real disaster, like Gold and housing !!
Gold is worth only what people are willing to pay, which is truly dumb ! At least with housing, one can calculate what the return should be ! There are so many MILLION $$ waterfront high rise condos for sale all over, it's really mind boggeling ! What are these people thinking ? There is no way that one can put 20-30 pct. down and have rental income pay for it ! Think I am wrong,...then "Do the math " !!! LC Reply
Gold, Silver ETFs Lead the Way Lower; Financials Gain [view article]
Stupid Goldbugs thought the credit bust would be the main event that powered gold to all-time highs. They didn't realize that Gold is in the same boat as everything else. Steel, copper, titanium, small-cap stocks, houses, classic cars....all in the same credit bubble boat.lmfao!! Reply
Guy
Financials, Homebuilders Drag On Market [view article]
Homebuilders are not surprising; just look at the tone here:usmarket.seekingalpha.... Reply
In Search of Low (or Negative) Correlation Between Asset Returns [view article]
Geoff ... I am reasonably confident that your points concerning the utility of Monte Carlo for portfolio PLANNING purposes are valid ... and not here in question or doubt. But my previous query (which see above) was not about portfolio DESIGN (i.e the Strategic Asset Allocation, or the Benchmark posture for the portfolio) ... rather, the question was whether Monte Carlo is of any practical value in the "active" ongoing management of the portfolio after it's architecture has been decided ... in other words, is it useful for Tactical Asset Allocation once the SAA has been selected? Since it is self-evident that market activity alone WILL alter the alter the initial SAA with the passage of time, your comments on the TAA aspect of the matter would be appreciated. ReplyConsidine
In Search of Low (or Negative) Correlation Between Asset Returns [view article]
Guys....while philosophical comments on what Monte Carlo may or may not achieve are interesting, you will find a number of postings on my site and here on SA that specifically validate the model approach. There are a variety of ways to validate these models as being better for planning than looking backwards and I cover a number of these. In my analysis--which my users can reproduce easily--I tend to get the result that you can improve forward-looking estimates of average portfolio return by a factor of two over looking backwards. While Monte Carlo may sound esoteric to you, it is a standard of practice in many professional portfolio management disciplines. Yes, there are bad MC models and they should be treated with skepticism, but they can be validated and I have numerous articles that demonstrate this. ReplyIn Search of Low (or Negative) Correlation Between Asset Returns [view article]
I'm sorry I can't claim much expertise or experience in Monte Carlo simulation. However I'm aware that it involves generating outcomes with a computer, which represent possible returns for the asset or portfolio. Of course they are generated using *assumptions* concerning distribution of returns, however the distribution doesn't have to be "standard normal distribution" or anything like that.For instance to determine possible returns for a bond portfolio, the analyst needs to define the set of interest rates, or some path, which is clearly influenced by the analyst's preconceptions about the functioning of the bond market as well as international liquidity flows or the Federal Reserve and things like that (which will probably mirror the recent past, hence my objection to "forward-looking data"). What you put into the model determines what you get out of it. Of course these are categorized as "model risk".
That's all I know... Reply