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connellybarnes

connellybarnes
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  • The #1 Stock In The World [View article]
    I am not a trader. But those who are interested in trading volatility ETFs may wish to check out these two links:
    - "Easy Volatility Investing" by Tony Cooper:
    http://bit.ly/10wNbK7
    - Contango and Backwardation Strategy for VIX ETFs by Nathan Buehler:
    http://seekingalpha.co...

    One caveat to the first paper though is that I don't think they should have suggested to go long the long volatility intra-day funds such as VXX. The reason is that VIX futures are usually in contango except when the VIX is super high [1]. And in addition you have to pay for the daily rebalancing. So being long funds such as VXX in my opinion has too low of a probability of success, for it to have positive expected value. Even if the long volatility strategies show positive EV in some special cases, that may be a fluke. This could be caused by overfitting, or an unstable effect due to momentum or black swans, or some other strange thing, rather than because of an economically robust reason.

    [1]. http://bit.ly/1CQrZ6o
    Jul 3, 2015. 10:51 AM | 3 Likes Like |Link to Comment
  • Troll Hunting [View instapost]
    Trolls can educate:
    http://bit.ly/1NaaWld
    Jun 24, 2015. 07:28 AM | 1 Like Like |Link to Comment
  • A Good Pair Trade Might Be Going Long King While Shorting Twitter [View article]
    I mostly agree with the KING long (but as with everything it depends on the price).

    I do not agree with the TWTR short. Like other commentators, I have concerns that for short positions the timing needs to be right. So we would need to wait for a short catalyst, such as Twitter's revenue leveling off or the overvalued tech sector starting to blow off steam.
    Jun 23, 2015. 07:49 AM | Likes Like |Link to Comment
  • Is Yield All That Matters? [View instapost]
    I like short CUBA better, because:

    - It has yield (5.8%)
    - Gigantic premium (46%)
    - High fees (2.47% per year)
    - Presumably low-information retail investors have piled in based on an event in the headlines ("Cuba is opening up, so buy CUBA!"). The catalyst is then that everyone forgets the headlines and moves on.
    - The country of Cuba maintains a poor credit rating with Moody's. But the fund doesn't have that much exposure to the country.
    - The NAV has trended down from $9.65 in 2007 to $7.5 currently

    But unfortunately for me it is not optionable, and I don't establish short positions without options protection.
    Jun 22, 2015. 08:23 AM | Likes Like |Link to Comment
  • The #1 Stock In The World [View article]
    Actually, you can get data going back 11 years from investing.kuchita.com:

    http://bit.ly/KtCLTR

    The most exciting event is the 92% drawdown in SVXY in 2007-2008. Nevertheless, if one bought at the worst possible time in 2007, one would be made whole by early 2013. Dollar cost averaging would have done substantially better.

    Also, I would second Brad's concerns about the accelerated redemption, as well as many of the other "screw you" clauses in both SVXY and XIV's prospectuses, and the high fees of ~14% per decade. One possible solution is to maintain an appropriately hedged short position in the 2x long volatility funds, as previously discussed on Chris's blog.
    Jun 16, 2015. 08:52 AM | 1 Like Like |Link to Comment
  • The Best Long Opportunity For The Remaining Days Of 2012: Ocean Shore Holding [View article]
    I bought some OSHC. I haven't found many great bargains recently so this seems reasonable in a generally overpriced market.
    Jun 16, 2015. 05:08 AM | 1 Like Like |Link to Comment
  • Who Will Win The 2016 U.S. Presidential Election?  [View instapost]
    My bet is on Hillary.

    I found a fun quiz "isidewith.com," which lets you identify a preferred Presidential candidate based on policy preferences. My candidate is Rand Paul (R). I liked his father Ron Paul also despite his wackiness.

    My economic views have changed from when I was younger, when I preferred more Democratic candidates. But I still tend to disagree with people like Rand on social issues, where I have a more progressive view.

    http://www.isidewith.com
    Jun 12, 2015. 08:27 AM | 1 Like Like |Link to Comment
  • Capitol Acquisition Corp.: All Aboard, This Ship Is Ready To Sail [View article]
    Sounds promising. Thanks for the update Dane!
    Jun 11, 2015. 01:43 PM | Likes Like |Link to Comment
  • Capitol Acquisition Corp.: All Aboard, This Ship Is Ready To Sail [View article]
    Thanks Dane for another good article and idea (I also liked the TACO idea but the company was too expensive for me).

    See also the articles on CLAC by Eric Novinson, particularly the latter article, which goes through the accounting adjustments necessary to get the EV:
    http://bit.ly/1Fq9RQO
    Jun 2, 2015. 01:34 PM | Likes Like |Link to Comment
  • GCVRZ Forum [View instapost]
    I sampled a bunch of Scotches on my trip to Scotland, but my favorite remains Lagavulin. I like the rugged, peaty, smoky character -- reminds me of stories of proud Scottish nationalism -- Robert Burns or William Wallace. Lagavulin was also the first Scotch I ever had. Must be fate. I bought a bottle and am camping out with it in France.

    My second and third favorites are Laphroaig and Highland Park. Thanks to various SeekingAlpha contributors for Scotch recommendations!
    Jun 1, 2015. 06:53 PM | 1 Like Like |Link to Comment
  • Be A Value Investor Without Doing The Work II: Alternatives To The Magic Formula [View article]
    Nice article.

    Given the extensive research showing the difficulty of outperforming the market, I personally tend to just go for minimizing fees. I consider a 0.7% per year fee very high, because that gives 7% of one's money to an "investment manager" over a decade. I prefer fees in the Vanguard or DIY investing range, like 0.2% per year. But even lower is better -- the Merrill Edge does look like a good option.

    I suppose if a website like magicformulainvesting.com went down, someone would put up another one. Programmers can also build screens from less reliable data than Compustat, such as Yahoo data. This would not be totally ideal for retail investors, because the screen would make some errors, but the upside is I think some random Internet denizen could create such a screen in short order. So I'm not really worried about Magic Formula screens going away.

    FYI, the Compustat data can also be accessed by most academics for non-profit uses. I haven't read the terms closely but I would guess publishing academic papers about stocks counts as a non-profit use. Interestingly, despite its generally high quality, Compustat still suffers from survivorship bias -- one can find obscure Ben Graham stocks from long ago that don't show up in it, and it excludes some bankrupt companies.

    I'm curious, how much does the short rebate typically give in terms of return per year for IB?
    May 26, 2015. 07:59 AM | Likes Like |Link to Comment
  • When To Sell Net-Nets [View article]
    Nice article Ruerd.

    I periodically build lists of net nets that I passively follow, but they usually lose money in aggregate, so I end up not pursuing this strategy. For example, one list I made contained AMIN, EDCI, SCMR, TAIT, and IOT (you discussed the last two in this article). This portfolio showed a -24% return since creation about a year ago.

    Do you have any comments about how I could improve these portfolios? My thoughts were (1) These were mostly U.S. based net-nets, which I think may be quite bad companies, so non-U.S. ones may do better; (2) The sample size is too small; and (3) Maybe the portfolio-level returns of net-nets are inherently highly volatile. But I don't have much experience with net-nets so I don't know what the explanation is.
    May 26, 2015. 07:11 AM | Likes Like |Link to Comment
  • UVXY: What The 5-To-1 Reverse Split Means For You [View article]
    @Noah: American options include the right to exercise the option before the expiration. So if you are short the option, you do have an obligation, and could end up being assigned.

    However, option traders can close out a short option position by simply purchasing back an equal quantity of options as were sold. This leaves one with zero of the given options, so the obligation is gone.

    Opening and closing options though can be a bit costly because the spreads can be higher due to the illiquidity of the option.
    May 19, 2015. 02:25 PM | Likes Like |Link to Comment
  • The Biffy Butler Bidet Sprayer/Digital Accessory Caddy Of Investments  [View instapost]
    Correction to my previous comment:

    The maximum gain of UVXY over its previous low would have been 16x, from 2007-02-22 (UVXY price of $1,900,608) to 2008-11-20 (UVXY price of $30,637,770). This is using the backfilled data. So position sizing should be even smaller than what I previously implied.

    I had a spreadsheet error in my previous data.
    May 18, 2015. 05:42 PM | Likes Like |Link to Comment
  • Risk And Reward With Xinyuan Real Estate [View article]
    For Xinyuan Real Estate the basic share count since 2010 has been roughly flat while the diluted shares has increased. I'm not sure why the diluted shares have increased so much in the last fiscal year.

    Shares outstanding for XIN on December 31 of each year (from [1]), in millions:

    Year Diluted Basic
    2010 155.4 152.6
    2011 151.3 151.3
    2012 144.7 144.3
    2013 149.5 145.7
    2014 177.1 151.9

    [1]. http://1.usa.gov/1PoK9XR
    May 15, 2015. 06:49 PM | Likes Like |Link to Comment
COMMENTS STATS
418 Comments
143 Likes