Quant Girl

Building a Do-It-Yourself ETF Hedge Fund

Interesting; I've been following a fund on SA which is also using the Sharpe Ratio to manage a portfolio of ETF's. Don Dion interviewed the manager of the fund, ETF Market Opportunity, symbol ETFOX. It has 5 stars which helps prove some of the sections of this article. Thanks for doing all the work and sharing it with us.

Emerging Market ETFs Come Unhinged

Geoff: you're the smartest person that contributes to this portal; so it is reassuring when I'm in agreement. I see the increasing positive correlations as a solar system where all the planets and moons are sucked into the sun/center. When they all hit 1.0 correlation, there is a massive explosion. I don't think it will matter what you are short at that time, as long as you're short with a solid credit on the other side.

Book Review: 'Financial Reckoning Day' by William Bonner, with Addison Wiggin

Cycling Scholar: living to 250 isn't fluff ? If you really believe that you shouldn't be wasting time on Seeking Alpha, you should be out buying land. Wow.

Thursday Outlook: Commodities, Global Markets

Dave: Awesome Nat Gas chart, be prepared for a long flat line, that dog isn't going anywhere. Also, love the EWZ chart, that dog is due for another leg down. But Dave, add GSG into your mix, a lot of people jumped in today, we'll see where it gets them. The sun isn't active because it can't believe our "leaders" say they saved the world today. If drunk spending could save anyone, some of my friends will live forever. Thanks for your insight.

ETFOX: A Mutual Fund for ETF Investors

Tony: I checked into your claims and this is what I found: In 2006 this fund returned 5 Star numbers. YTD it is ahead of the S&P 500 by 7%. The SEC filings show the co-manager from 2008 was terminated by the Board of Directors, he didn't quit. Also, 2008 was the Fund's only losing year, nothing to brag about.

Eclectica Asset Management's Hugh Hendry Is Wickedly Good: See for Yourself

Oh, now I see the writer is the "fund my fund" guy, haven't you been trying that for a few years. Well run funds can make money at $10mm in AUM, if you're not there yet there is probably a good reason.

Eclectica Asset Management's Hugh Hendry Is Wickedly Good: See for Yourself

CNBC anything is garbage; europe, asia, us - it is all a waste of time. Reading and doing your own homework will help you much more. So this guy thinks Quantitative Easing "QE" is going to debase the sterling, that is the whole point.

ETFOX: A Mutual Fund for ETF Investors

First, looking at the Fund's return from 3/18/2009 I can bet you it didn't own that TBT anymore. The S&P 500 was up 3% the Fund was up 3.2%, with TBT down more than 7%. Today the Fund was down 0.25% with the S&P 500 down more than one percent. What makes you think the TBT was a long-term holding anyway? The Fund's turnover ratio wouldn't lead to that conclusion. Actively managed funds can be long-term holdings for people even if they trade in "short-term investments". The Fund's beta as reported by Morningstar is 0.73, not too volatile.

Second, Healthcare was a pretty good harbor during down periods. The manager's interview stated that he stays invested. Looks like he choose correctly with Healthcare, better than being pounded in some of the other sectors.

Third, the interview said he stays invested and moves between different market caps and styles in US market, seems like the Vanguard funds are a good way to do this. Obviously if the average investor can do this themself and beat the S&P 500 they should, but some people need a manager to accomplish this.

Fourth, QQQQ and IGW are leading the way this year. They are probably one of the reasons this Fund is 7% ahead of the S&P 500 in the first two-and-one-half months of 2009.

Seems like this manager has built a pretty nice portfolio. His web page gives the Fund's investment process. He's using modern portfolio theory which with the right combination can turn average volatility plus high volatility into below average volatility. That is what people should be looking for in funds. If they want plain vanilla they can buy it inexpensively; but I doubt they have the skill to beat the S&P 500 by 5% per year on average. Hey betweenthenumbers, what are your numbers this year?


On Mar 17 02:44 PM betweenthenumbers wrote:

> First, 14% in an ultra-short ETF gives me pause, even if I think
> long-dated treasuries are overbought. There is a lot of discussion
> on SA how the ultra-short ETF are not a good choice for most long
> term investors. It is a very volatile investment, so I am skeptical
> that the fund as a whole would have low volatility.
>
> Second, the healthcare sector is likely overweight. 21.3% in IBB
> plus IYH, means one would be very exposed in this area.
>
> Third, over 40% of this fund is just the most vanilla broad-market
> ETFs (VUG, QQQ, IWM) , for which one would like to pay 25bps to hold,
> not 175bps plus the ETF fees.
>
> Fourth, this is a portfolio heavily exposed to credit risk. Lots
> of debt-laden tech in QQQQ, junk bonds (seekingalpha.com/symbo...)
> for fixed income exposure, plus IGW, IYZ, and ITA are full of cash-poor
> debt-heavy companies with middling to poor credit ratings.
>
> In conclusion, this fund is trying to accomplish too many things
> at once, and is likely not the best choice for many investors. Part
> of the fund seems to seek stability and capital preservation, yet
> charges far to much in fees to be a good choice for that type of
> investor. The other part seems to want to aggressively speculate
> on leveraged, undiversified, sector-specific positions (many of which
> I happen to have and like, yes) while trying to dodge credit risk
> in a contracting economy. Break this into two funds, one with minimal
> fees that seeks the simple stable play, while another that uses the
> manager's skill to find alpha and with fees appropriate for that
> level of risk.

Tuesday Outlook: Commodities, Global Markets

TLT chart does look scary; but what really scares me is what the FOMC is going to say tomorrow. If they state that they are buying the long-end, that head could become downside resistance. I sold all my TBT today. Sidelines make the most sense right now. Keep up the great work Dave, and yes there are young woman who dig your charts and commentary.

Interview with ETF Market Opportunity Fund Manager Paul Frank

I read this Fund's report, posted this past week [by Dion] and I became interested. I just read the interview and watched the video and I'm starting to believe. SteveTN on Feb. 4th didn't like his VUG holding, said own PWV or IWD instead. From the close on Feb. 4 to the close on Friday, March 13:

VUG -6.3%
PWV -13.3%
IWD -10.8%
SPY -8.7%

Glad the manager [Paul Frank] listens to his system.

Timely Insight for Trading ETFs More Effectively

Bloomberg


On Mar 09 03:38 PM whidbey wrote:

> IV is not available on most platforms, including most sponsor sites.
>
>
> Any suggestion

Friday Outlook: Commodities, Global Markets

Even though the charts speak for themselves, your insight is appreciated. I'm like you, turned off CNBC a long time ago. Think of the bloated market cap and how GE took advantage........did I mention I've been short GE for over a year?

ETFOX: A Mutual Fund for ETF Investors

j'adoube: It isn't an ETF, its a open-end 1940 Act No-Load Fund. I pulled up the Prospectus and it lists the fees of the ETF's the Fund owns, doesn't seem like they're hiding anything. I'm all about the numbers, and the Fund is beating the S&P 500 by about 5% per year, after all fees. I don't own the Fund [yet], but I guess I could own Vanguard's S&P fund and pay less, and trail this Fund by 500 bps per year. Since you use only a pseudonym, I guess your Fund must be closed to new investors? To conclude, Seeking Alpha is for serious people discussing serious matters. I've reviewed your postings and in my humble opinion, you should probably stick to your AOL chat rooms.