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  • Year-End Positioning With UVXY Opportunity Highlighted  [View article]
    Shorting UVXY has a lower Sharpe Ratio than going long SPY.

    Shorting UVXY has a S&P beta of 10 most of the time. That does great in a bull market.

    You don't seem to grasp the idea of risk adjusted return.

    An Oct 1987 Vix spike to 150 and market down 23% will not look so good with an ETF with a beta of 10.
    Jan 10, 2016. 12:23 PM | Likes Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying)  [View article]
    Considering SVXY has a Sharpe Ratio lower than SPY, that billionaire thing will take awhile.

    3 years 5 years
    SPY 1.37 1.06
    SVXY 0.55 0.59

    Everyone confuses high leveraged beta in a bull market with success.
    Jan 10, 2016. 12:10 PM | 1 Like Like |Link to Comment
  • Year-End Positioning With UVXY Opportunity Highlighted  [View article]
    The chart doesn't lie and the chart does not include a bear market.

    Andrew Koay is correct. The beta of UVXY is very close to 10.

    Ask this....

    Since Oct 2011 when I have first data for UVXY, would you be better off shorting UVXY or just going long an S&P index fund with buy and hold?

    Obvious right. UVXY "always goes down"

    Shorting and maintaining $1,000,000 of UVXY would have earned 5.6 million in profit. This assumes you keep a steady $1 million in it. You must rebalance. Costs money to rebalance and those insane HTB fees.

    Wow. Awesome. 5.6 million in profit in 4 years... off of just $1 million invested.

    But if you bought boring SPY instead and kept the same risk, then you would have made 6.5 million

    The Sharpe ratio is better for S&P indexing

    So, shorting UVXY has done great because it is insanely leveraged in a bull market.

    Let me know how that works out. Mr. Sharpe forecasts big trouble
    Dec 21, 2015. 11:56 AM | 2 Likes Like |Link to Comment
  • The Current VIX ETP Landscape  [View article]
    Down 17% YOY
    Dec 8, 2015. 03:28 PM | Likes Like |Link to Comment
  • I Was Wrong About Shorting Volatility  [View article]
    "It was ONLY WRONG because you leveraged too much."

    Whatever....Vix went from 25 to 152 but you weren't wrong? What leverage? You don't need any leverage to go kaput in that scenario. And if you bet small enough to survive, they you won't make much any money being short in the good times.

    "Short and hold" volatility doesn't work because it's too risky. And when it does work in a bull market like 2009-2015, then the Sharpe ratios aren't that good.

    95% drawdowns are easily to survive in a backtest on paper.
    Oct 18, 2015. 08:40 AM | Likes Like |Link to Comment
  • Exiting A Short VIX Trade  [View article]
    Well, VXX has a lot more assets now that it did 5 years ago so I doubt that it is going to zero anytime soon.

    But eventually, all things in life go to zero...including you and I
    Oct 13, 2015. 04:01 PM | 1 Like Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying)  [View article]
    "I think we all agree that SVXY is an incredible investment over the long-term"

    No, I don't agree.

    Since this article was written...over two years ago... The market (SPY) is up 18.5% with a standard deviation of 12.7%.

    SVXY is down 7.5% with a standard deviation of 60.2%.

    SVXY looked great in a bull market with a volatility of 5x the S&P. Closer inspection shows it's a 4x index fund with serious performance drags.
    Sep 30, 2015. 09:41 PM | 3 Likes Like |Link to Comment
  • I Was Wrong About Shorting Volatility  [View article]
    "Shorting volatility at well above long-term average, is NEVER WRONG."

    Well, the VIX was a healthy 28 on Oct 15, 1987. It had been over 20 since mid August. Good time to short it.

    Of course, the next week, the VIX was 152. But, you wouldn't be wrong, though. A year later after your bankruptcy filing had come through, the VIX snuck back below 20 for the first time.

    Back on Leap Day in 2000 the VIX had been hovering mid 20's. The next three years, VIX averaged 26.
    Sep 28, 2015. 09:26 AM | 3 Likes Like |Link to Comment
  • Sell UVXY: It's Still A Busted ETF Heading Lower  [View article]
    Yes, IB did this to me a few times and I was furious. But they haven't done this to me in a long time.

    Ironically, they would liquidate my positions without warning or notification and they made my position SIGNIFICANTLY MORE RISKY by dumping one side of my hedge.

    When I complained, they just ignored me and said it was their right.
    Sep 20, 2015. 05:30 PM | Likes Like |Link to Comment
  • Sell UVXY: It's Still A Busted ETF Heading Lower  [View article]
    Excellent reply and spot on. XIV is the opposite but it has performance drags. VXX has performance drags. On a day to day basis, their returns are nearly equal and opposite, but over time, an equal investment in both would decay steadily. Shorting both in equal amounts would seem like an easy win... but it's not...numerous costs and risks offset the decay.
    Sep 12, 2015. 09:55 PM | 1 Like Like |Link to Comment
  • Sell UVXY: It's Still A Busted ETF Heading Lower  [View article]
    It is funny... that we would argue over arithmetic. I sell $10,000 of Oct at $16 and buy $10,000 of Nov at $18. No rollover cost at all (except friction). I still have my 10k

    Both markets are fairly traded. Both have half the market thinking it's too cheap and half think it's too dear. Oct contract is not the same as Nov contract and sells for a different price just like AAPL and CSCO aren't the same and sell for a different price.

    The fact that this is so misunderstood and people think that VXX (and other Volatility ETFs) are so flawed is a good thing. The lack of understanding leads to an inefficient market and profits for those who exploit the resulting inefficiencies.

    I'll shut up now while there are still nickels to be picked up on the bicycle path.
    Sep 12, 2015. 09:48 PM | 1 Like Like |Link to Comment
  • Sell UVXY: It's Still A Busted ETF Heading Lower  [View article]
    The author says...

    "Every day, VXX and UVXY have to sell some of their September contracts at 16 and buy Octobers at 18. They lose more than 10% of their net asset value (NAV) every month rolling over."

    I guess you can write anything on Seeking Alpha. Today I sold CSCO at 26 and bought AAPL at 113 and didn't lose anything. Same with selling Sept at 16 and buying Oct at 18. You don't lose a thing except commission and slippage.

    VXX is down 99% since inception because it has a beta of about -4. The S&P is up about 170% since the 2009 VXX launch. Simplified math says -4 times 170 is not a good buy and hold result...of course it's down 99%+ but it is one of the most successful ETFs in the world.

    If VXX was terribly flawed, then XIV would be brilliant because it is simply the opposite of VXX. Yet XIV has a lower Sharpe ratio than SPY.

    These volatility products are excellent and do exactly as designed and trade billions of dollars a day.
    Sep 11, 2015. 01:31 PM | Likes Like |Link to Comment
  • True Contango: The Real Reason To Short VXX Long Term  [View article]
    You can get "bought in" when they need the shares and informed later. If you have the shares as a hedge, then you are exposed to an unhedged position until you are informed. Interactive Brokers can be terrible about you in now... or at the end of the day...and tell you later. If they buy you in at the close, then you can spend the night sweating bullets.

    I have not had this problem in a while so maybe IB is doing better about this.
    Aug 18, 2015. 09:38 AM | Likes Like |Link to Comment
  • Beware The Sweet Siren Song Of XIV  [View article]
    Jan 1, 2011 to Aug 1, 2015

    XIV Sharpe Ratio 0.76 vs 1.04 for SPY
    Beta = 4.33
    Alpha per year -4.02

    Those eye-popping returns for XIV seem great until you realize the insane beta and the lagging risk adjusted returns.
    Aug 3, 2015. 11:15 AM | Likes Like |Link to Comment
  • XIV: How To Avoid A Disastrous Loss And Boost Your Total Return.  [View article]
    VQT has much lower liquidity with big bid/ask spreads
    Jul 27, 2015. 05:07 PM | Likes Like |Link to Comment