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Scoe

Scoe
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  • 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
  • VXX Vs. XIV: Enhancing Profitability In The Volatility Sector [View article]
    Contango doesn't cause the price to fall.

    Neither VXX nor XIV have a long term price expectation of zero

    Shorting VXX comes with significant hard to borrow costs and risks of shares being forced buy backs.

    Why did XIV so dramatically underperform (short) VXX last year ... especially last fall?
    Apr 20, 2015. 02:19 PM | 1 Like Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]
    BTW, the VIX spiked to 150 in the '87 crash
    Apr 9, 2015. 07:48 PM | Likes Like |Link to Comment
  • Arbitrageurs Beware: This Popular Volatility Trade Just Doesn't Work [View article]
    It's not an issue. That's why nobody is doing anything about it.

    VXX works as it is designed and is one of the most popular ETFs on the planet. The creation of new shares simply allows the ETF to stay very close to the NAV. The liquidity and arbitrage possibilities and derivative nature of the product make a "short squeeze" impossible
    Apr 9, 2015. 07:44 PM | Likes Like |Link to Comment
  • Arbitrageurs Beware: This Popular Volatility Trade Just Doesn't Work [View article]
    This is off base in so many ways that I don't even know where to start
    Apr 9, 2015. 07:38 PM | 1 Like Like |Link to Comment
  • Arbitrageurs Beware: This Popular Volatility Trade Just Doesn't Work [View article]
    VXX has been below $24 many times. Then they do a reverse split.

    It's price at inception was $3476.91 adjusted for splits
    Apr 9, 2015. 07:36 PM | 1 Like Like |Link to Comment
  • Arbitrageurs Beware: This Popular Volatility Trade Just Doesn't Work [View article]
    Shorting VXX has had a lower sharpe ratio than simply going long SPY the last couple of years.

    The chart looks so enticing. Down 99% since inception and all that stuff. But the stock market has soared since inception of VXX. VXX has a beta of roughly -4x vs SPY.

    If this trade was so great, the sharpe ratio would be better. It's not.
    Apr 9, 2015. 07:34 PM | 1 Like Like |Link to Comment
  • Arbitrageurs Beware: This Popular Volatility Trade Just Doesn't Work [View article]
    Except of course in the crash of '87 when VIX went to 150. So the VIX spikes to 25 and you think that's high and then it's 150.
    Apr 9, 2015. 07:31 PM | Likes Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]

    Comparison of SVXY to SPY since the article was written
    http://bit.ly/1CsH4jy
    Mar 17, 2015. 04:31 PM | 1 Like Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]
    Since this was written, Jul 24, 2013, to today, March 16, 2015....

    SPY + 27.5 %
    SVXY +26.8%

    SVXY has 4.7 time the daily volatility

    Same return with nearly 5 times the risk. Not the kind of Sharpe that makes one a billionaire.
    Mar 17, 2015. 04:22 PM | 3 Likes Like |Link to Comment
  • Peak Resorts: A Smooth Ride Up The Hill [View article]
    So, why would you want to own a company that borrows at double digits and turns around and pays out a sizable dividend... in a lousy business (skiing) with bad demographics?

    I just don't see anything remotely bullish here. But somebody must think so.
    Feb 8, 2015. 10:56 PM | 1 Like Like |Link to Comment
  • Peak Resorts: A Smooth Ride Up The Hill [View article]
    I don't know much about how to analyze a company like this... but why does a company so deeply in debt pay a huge dividend? Instead of paying their cash flow to shareholders, shouldn't they be paying down their debt ?

    This seems to me to be like borrowing off credit cards because you don't want to deplete your bank account.

    Can anyone explain this strategy to me ?
    Feb 2, 2015. 11:06 AM | Likes Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]
    I don't buy and hold...but that's beside the point.

    XIV has gone up so much in recent years because...

    ... bull market
    ... high beta
    ... volatility continually lower than expected

    In 2014, the tide turned. The bull market continued but volatility was higher than expected. XIV underperformed the stock market by a large margin on a beta-adj basis.

    XIV has no free lunch. Free lunches are arbitraged away. The long XIV trade became over-crowded.
    Jan 20, 2015. 11:34 AM | 1 Like Like |Link to Comment
  • The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying) [View article]

    The Best ETF Of Our Time (AKA How To Become A Billionaire Without Really Trying)...

    Since July 3, 2014

    SPY + 1.8%
    XIV -41%
    SVXY -41%

    How is that billionaire thing working out? Everything seems easy in a bull market.
    Jan 13, 2015. 04:57 PM | 2 Likes Like |Link to Comment
COMMENTS STATS
221 Comments
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