Susan

17 Comments

    • Risk Management in Trending Markets [view article]
      Excellent article.
      One correction though: DBA is agricultural commodities, MOO is Agricultural stocks, not the other way round.       Jul 27 09:25 PM
    • Energy: The Year In (P)review [view article]
      Too much "conventional&quo... thinking here. Allow me to play devil's advocate. Actually, perhaps I should say, Angel's advocate.

      Current prevalent estimates greatly underestimate the effect of clean alternative energy deployments and Solar in particular. Advanced solar cells are already at grid parity (same cost to generate electricity with current technology as coming from the grid). High-end solar PV cells (from Spectrolab, SolFocus and others) are already achieving 200-500x sunlight intensity concentration, while at the low-end, thin-film PV (from First Solar and others) is seeing manufacturing efficiency and price drops reminiscent of the drop in the cost of flat-panel technology in the past few years. Remember a 24" LCD monitor dropping from $5000 to $600? The same thing will happen with solar panels. After a period of shortages, world polysilicon (the main basic material used in the manufacturing of PV cells) capacity is growing fast as a large number of new fabs are being built, especially in China.

      The biggest consumer of Oil is transportation (cars). Tesla motors (100% electric car) founder Elon Musk sees a $30k model coming in 4 years. 5-10 years from now with a critical mass of consumers investing in Solar panels to power the home and turn the utlity meter backwards during daylight, plug-in hybrids and pure-electric cars getting into the mainstream, plus flex-fuel cars as options, Oil consumption and prices, will be taking the dive of a lifetime.

      The high price of Oil has brought about an unprecedented venture capital investment in alternative energy. Go to pickensplan.com (T Boone Pickens site) and read about his wind-farm plan for the central plains. In his view the US is the Saudi Arabia of wind energy. The stakes are huge (the US imports about $700B/year of Oil. Never before have the stakes, and the amount of investment been this high.

      The results will come sooner rather than later.       Jul 22 12:32 AM
    • Black Swans, Real Estate and Financial Stocks [view article]
      Mr Taleb's is a great thinker/writer.
      His main issue is lack of numbers in his arguments.       Jan 02 12:56 PM
    • Things You Should Know About ETFs XLK & QQQQ [view article]
      Indeed, based on the past 52 weeks, on a weekly basis, QQQQ and XLK are 0.94 (Pearson linear correlation coefficient) correlated. XLK wins on overall value; for instance, it's average P/E is about 15% lower. QQQQ's "wins" on past return. In the past 52 weeks QQQQ is up 29.93% (vs XLK's 22.33%). This is another reason to prefer XLK, when momentum reverses QQQQ should be more vulnerable.
       Oct 25 11:49 PM
    • Is the Red Hot Korean ETF Still Cheap? [view article]
      Apologies for the double post. When I submitted the first time, there was no indication that the post went through. Unlike the second time where both appeared together. Oct 01 01:04 PM
    • Is the Red Hot Korean ETF Still Cheap? [view article]
      The statement that korea's etf PE is higher that Singapore, Netherlands and Sweden seem wrong. Numbers from Morningstar, (confirmed also on yahoo finance):

      EWS (Singapore): 17.84
      EWD (Sweden): 15.13
      EWN (Netherlands): 14.36

      None of these are lower than "a bit above 13" which the article claims EWY (South Korea) trades at.

      Something's wrong with the data?       Oct 01 01:02 PM
    • Is the Red Hot Korean ETF Still Cheap? [view article]
      The statement that korea's etf PE is higher that Singapore, Netherlands and Sweden seem wrong. Numbers from Morningstar, same numbers on yahoo finance:

      EWS (Singapore): 17.84
      EWD (Sweden): 15.13
      EWN (Netherlands): 14.36

      None of these are lower than "a bit above 13" which the article claims EWY (South Korea) trades at.

      Something's wrong with the data?       Oct 01 01:00 PM
    • Emerging Markets Now Trading At Premium To Developed [view article]
      How good is EEM as a proxy for emerging markets?
      How is the average representative of all the countries?

      Two extreme points to consider:
      One Brazil proxy (EWZ) trades at about PE=13
      One China proxy (FXI) tardes above PE=21

      So the disparities seem very large. China with its large average market-cap pulls the averages way up.
      It seems like some emerging countries are reasonably values while others are in bubble territory.

      By the way, some countries classified as Emerging, like Korea and Taiwan are very close to being considered "developed" at this point.

       Sep 27 05:33 PM
    • Moment and Omega Rankings of Index ETFs [view article]
      Since Omega already takes into account all the moments of the distribution, what is the rationale behind the double accounting?

      Also, during bear markets, when the means are negative, skewness cannot possibly be a positive thing, right?       Sep 25 11:46 AM
    • More Support For Disciplined ETF Strategy [view article]
      The main problem with the approach of selling when a holding dips 8% from its high is that often when there's a sharp correction, almost all assets become very correlated. In fact, last summer, (May-June 2006) was a classic example where almost all ETFs had a very significant dip, with almost no hiding place to park money and with most exceeding the 8% threshold suggested in the article. Last summer, even "defensive ETFs" like energy, commodities, precious metals, all went down with the emerging market ETFs.

      It is not clear whether in that case the author would have liquidated his whole portfolio at the worst possible moment.

      Of course, in hindsight we can say that June 2006 was the best time to load up the truck on the ETFs that dipped 8% or more. I'm not sure if the 8% rule was rigorously back-tested with historical data, but I suspect it would have faired pretty poorly as a general "golden rule" to live by,       Jul 03 10:15 PM
    • Can ETF Options Offer Cheap Leverage to Reliably Boost Returns? [view article]
      This idea is not new. If you want to take it further (more diversifiation and longer time horizons) see indexroll.com
      -- Susan       May 08 11:26 AM
    • Overvalued, Overbought, Overbullish Conditions [view article]
      >>&g... Overvalued: S&P 500 price/peak earnings greater than 18

      Does this refer to forward looking earnings?
      The TTM on the SPY right now is P/E=15.75       Jan 24 03:22 AM
    • Portfolio Building With Forward Looking Asset Allocation [view article]
      This is an unusually insighful article. Thank you!
      Bernstein (both books, not just the first) is a must read.       Jan 19 01:50 PM
    • The 'Best' Way to Capture Foreign Exposure [view article]
      EWM and EWS have high correlation among themselves but relatively low correlation vs the SPY.

      I have wondered if this is because of the time (one day) difference between the markets, but when I switch from daily to weekly price change correlation (past 1 year) I still get low correlations vs the SPY:

      <blockquote>
      <code>
      Correlation vs SPY
      ----------------------
      Ticker: Daily Weekly
      EWS 0.62 0.65
      EWM 0.51 0.45
      </code>
      </blockquote>

      This data is based on closing prices (daily and weekly) over the past year (252 trading says). Correlation is simple linear correlation between two percent change series.       Jan 19 12:09 PM
    • Emerging Market ETF Has Seen Better Times [view article]
      These kind of predictions rarely pan out. Globalization did not exist in 1988. Brazil and other emerging economies were big debtor nations, now many are running surpluses. China's growth and growing middle-income class is driving significant growth in raw material exporting countries.

      The big drop was an overreaction to Chavez Venezuela's nationalization plans.

      My prediction: EEM will break new highs this year, several times.       Jan 11 09:15 PM
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