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  • Emerging Market Debt's Wild Ride [View article]
    Hi Brad, Thanks for the analysis!

    Do you know if the spread between EM Earning-yields and Rate-yields has increased?

    Why did you decide to compare this play based on Mutual Funds and not ETFs? Looking at the ETP database, I count 48 ETFs Globally on this theme.

    I suspect some of the active managed has indeed carved out RMB exposure
    Jan 7 05:12 AM | Likes Like |Link to Comment
  • Deceived By Correlations: A Quant Conundrum [View article]
    The author has a ultra important message here, examples contrived through generating a number of GBM processes or not!

    Think of the implication on Minimum Variance investment product. Such product are constructed through the use of the co-variance matrice only, and highly sensitive to correlation estimates..

    Ps. For Minimum Variance products based on Indices from MSCI or S&P, a 6 month out-of-sample return-serie is used to calculate the co-variance matrice.
    Apr 10 09:28 AM | Likes Like |Link to Comment
  • Deceived By Correlations: A Quant Conundrum [View article]
    Hi Francois Lhabitant also wrote a peper on this some years ago:

    Apr 9 01:19 PM | 1 Like Like |Link to Comment
  • Bridgewater, Dalio And The Gospel Of Diversification - Post-Modern Value Investing? [View article]
    @Snoopy, as i understand it Dalio look at investing from a return driver rather than asset classes. Many of the asset you mention share the same return driver.

    I also believe that if you can then "Port" out systematic factors/beta exposures, you are essentially able to engineer a set of market-neutral, relative-value return streams, that are not only less volatile and smoother, but likely also non-correlating. (at least only the non-correlating should be combined).
    Nov 6 03:09 AM | 1 Like Like |Link to Comment
  • Underlying Disaster In Europe Accelerating: Spain's Finances Collapsing [View article]
    James.. speaking of an eventual Armageddon! Why would you not handle this through a tail risk overlay. Have you seen basis risk between cash markets and derivatives increase during prior "Black Swans" to an extend that the derivatives has no credibility when needed?
    Sep 25 04:00 PM | 1 Like Like |Link to Comment
  • Revamping Your Bond Portfolio With A Simple Momentum Strategy [View article]
    Im all for pairs-switching strategies, but how many times did you switch, and is the momentum return series net commissions?
    Aug 31 03:03 PM | Likes Like |Link to Comment
  • My Dividend Retirement Plan [View article]
    @HackFab - Regarding the Covered Call, how do you implement it.

    Are you writing calls on stock you believe, is running out of steam in the short term. Or

    Are you writing Calls on Sector ETP's in those sectors you are overweighted?
    Jan 10 10:51 AM | Likes Like |Link to Comment
  • How To Protect Your Portfolio Now [View article]
    I have read the book, and im all in on the concept. Im however struggling with getting my head around the thought process. I guess im damaged by the traditional way of approaching the semantic.

    A starting point could be, to split products into two starting groups.

    A. Unconditional Directional Exposure, this is for of ETPs that just take a long or short, leveraged or un-leveraged directional exposure.

    B. Conditional Dynamic Exposure, this is for product , that take a position conditional on some parameter. And hence much more dynamic.


    Trend - Single Asset - Pair Switching
    Trend - Multi Asset - (WDTI, VQT)
    Trend - Currency - Carry Trade (DBV)
    Market Neutral -
    Dec 16 10:27 AM | Likes Like |Link to Comment
  • How To Protect Your Portfolio Now [View article]
    Hi Joseph, how do you evaluate what return driver a ETP belong to. Is there a Taxomony or framework developed yet?
    Dec 16 08:47 AM | Likes Like |Link to Comment
  • Identifying Portfolio Risk: Characteristics Vs. Factors [View article]
    Most of us has been indoctrinated by CAPM/APT to the point where no one question the soundness of the methodology. If one look at the volatility of factor loadings, it makes me wonder if their is really any value in polishing a kalman filter.
    Perhaps the count of principal component at a given explanation point, and under a steady regime, could produce some evidence into the soundness of all this beta conversation.
    Nov 23 06:38 PM | Likes Like |Link to Comment
  • In Search Of The Best Emerging Market Bond ETF [View article]
    Im looking at EM local curr. denominated ETP vehicles atm.
    and have not been able to get a major index provider like Barclays to forward index methodology behind their relevant EM debt indices.
    All i have is information provided by ETP providers.

    At a time where everyone is talking about transparency I dont see why anyone should put money into a ETP with opaque index methodology. Elements like weight caps or credit requirements are essential elements of a prudent due diligence, but this is not always available.
    Nov 23 06:21 PM | Likes Like |Link to Comment
  • Getting Granular With Emerging Markets [View article]
    Dear Russ, yes we can create a allocation mix synthetic but
    unfortunately not all ETP providers are as transparent on holdings as iShares. I actually think many index providers are doing a very poor job at holding and methodology disclosure. Often the only quality information i can get on this is from ETP provider website and prospectus. Perhaps in a revision of your excellent "ETP due diligence" paper you will stress the importance of holdings transparency.
    Nov 18 04:47 PM | 1 Like Like |Link to Comment
  • Do Buybacks Destroy Shareholder Value? [View article]
    Your logic is sound, but i think that buy back has sort of also gotten some investors to be suspicious, as it has sometimes been used by companies with difficulties reaching earnings expectations. There is also a tendency for dividend paying companies to have traded at a higher multiple.

    I also like the reasoning that dividen yield growth rate should not exceed earnings growth rate. But would suggest using managerial accounting framework and look at growth rate of Cash from Operation vs. dividend yield. subject to a Debt/equity constraint.
    Nov 13 04:48 PM | Likes Like |Link to Comment
  • A 'Hidden Reality' Of Vertical Options Spreads [View article]
    haha..good stuff
    Nov 3 05:13 PM | Likes Like |Link to Comment
  • Brent And WTI Crude Oil: How To Trade A Narrowing Spread [View article]
    Thanks Richard, I was actually just passing by ICE Exchange today, and they have a monthly report that highlight some of the same findings.

    But lets talk about execution. At the moment Crude is in Backwardation as you mention. So on the long side you want to pick a vehicle that maximize roll yield. Unfortunately USO is a first generation product that will just roll into the next future. Perhaps we could find another like DBO based on DB Optimum yield methodology, that seek to maximize such roll yield, or OLEM tracking Barclays Pure Beta index, set to position itself in the futures with best liquidity. This would better tune the long side.

    Regarding the Short side. While BNO may be a fine product, it is an Active ETF with a mandate to include other crude based product and Natural Gas. So there is basis risk. There is also the issue of borrowing BNO, and it does not have Single Stock Futures.
    Perhaps it would be better to write one month options, and profit form Theta bleed. If one don’t like options, there are also Crude indexes like UBS CMCI that stay exposed at a fixed window at the term-structure. These comes in a variety of currency flavours for those with a more Global Macro orientation.
    Nov 3 12:46 PM | Likes Like |Link to Comment