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explo

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explo last won the day on February 10

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About explo

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  • Location :
    Europe

Portfolio

  • Portfolio %
    30/20/50 Stocks/Bonds/Hedges Capital: 30/70 Equity/Debt
  1. SunPower (SPWR)

    It's another great money losing machine in the industry. They had 1 billion in equity a year ago and lost 85% of that in one year. It is hard to understand the excitement about that causing it to rise from 6's to 9's in Q4. Investors can't separate those that create shareholder value from those who destroy it in the solar industry.
  2. Trading Strategy

    It seems to have gotten back its footing again. I wonder how many (long <-> short) position flips were triggered (its a completely algorithmic position selector). It's likely better if it did not flip them too much as I suspect this was just a market blip which can be quickly recovered with retained positions.
  3. Trading Strategy

    I don't really believe this as it would be a true scandal for the fund. More likely it has to do with this: https://finance.yahoo.com/news/record-23-billion-flees-worlds-033238004.html The SPDR S&P 500 exchange-traded fund (ticker SPY) suffered a record $23.6 billion in outflows last week amid the worst momentum swing in history for the underlying U.S. equity benchmark. Outflows amounted to 8 percent of the fund’s total assets at the start of the week, a rate of withdrawals not seen since August 2010. A blowup in volatility-linked products sent markets haywire , eliciting waves of risk aversion from jittery investors. Strategists at JPMorgan said the swiftness and severity of the positioning unwind is a sign that further selling from the likes of commodity trading advisors and risk parity funds “should be limited from here.” Both their long position on stock index and their short position on the dollar turned on them last week. It should be called an anti-hedge fund. I will unwind it to the lower target over time and feel really lucky that I've already completed most of that. The risk averse strategies that won't bet on directions should play well together with this sustained direction betting strategy, but its weight need to be limited due to the aggressive strategy. If it has been betting on low volatility I will drop it as that would indicate that the managers' lost their senses in a desperate search for strong trends.
  4. Trading Strategy

    Some discussion here on whether volatility targeting risk parity strategies using leverage could be blamed for the volatility spike. Conclusion is that it is unlikely and that the (now broken) leveraged short volatility ETFs likely is too blame. https://www.marketwatch.com/story/stock-market-investors-weigh-potential-aftershocks-from-volatility-spike-2018-02-08?siteid=yhoof2&yptr=yahoo
  5. Trading Strategy

    It's probably good to own a bank strategically. Short-term I don't know. Unrelated: The volatility spike looks quite nasty And here's what happened to those investing in short selling volatility: XIV I wonder if my directional hedge fund did this. My broker is reducing its margin. I'm glad I sold more than half of it before it crashed.
  6. Trading Strategy

    Just to break this down. The index I use was down 5.10%, but converted to the portfolio currency it was only down 2.85%. I then produced 1.55% alpha (the part not explained by the index and USD move) during the week by having different stock weights than the index. With my beta stream down 2.85% and my alpha stream up 1.55% I was then in total down 1.34% on my stocks in the portfolio currency the past week.
  7. Trading Strategy

    Another interesting point is that although my stocks have fared fairly well, my portfolio did worse. The trend following hedge fund that was off to a flying start of 2018 by being up 8% in January has been on the wrong side of the trend in February and is already down 15% (!) in February making it down 7% YTD. Luckily I had planned to divest 70% of the fund and did divest 55% of it close to its peak. I have one third more of it to divest that I will patiently wait for it to get on the right side of trend first, but its volatility has already been down weighted comfortably.
  8. Trading Strategy

    Yes, but it does not result in less return over the long-term. The USD seems to be a bit stronger than my local currency in the long haul and therefore adds around 1% return over the very long-term (my net currency exposure is 100% USD as all debt is in local currency). During a V-shaped crash and recovery the USD flattens the curve of my asset values to a more prolonged horizontal move that starts to surge when the US stock prices starts to plateau several years later. The profile looks more like bonds but without correlated timings on the surges (and not being as flat between them) so it combines well with bonds. The basic effect of the USD is not to reduce volatility (in fact it increases a bit) but to make the return distribution more normal. A normal distribution is assumed by the volatility measure for it to be a good indicator of drawdown risk. The high auto-correlation nature of stock prices causing bull and bear markets is reduced when combined with the sharp asset price moves anti-correlated USD, which is what I think many investor wants to achieve (because less drawdown risk allows amplifying average returns more through leverage).
  9. Trading Strategy

    Here's a chart over February showing some of that negative correlation between stock prices and price of the USD when stock prices fall. February EUR=x vs ^SP500TR The financial crisis in 2008 is an even better example. 2008 EUR=x vs ^SP500TR The USD is often a good cushion when the stock index falls rapidly. It works best for foreigners (to US) who can invest in US stocks rather than local or other markets. The correlation properties of the USD is a critical component in the expected risk-adjusted return of my portfolio. When buying USD denominated assets it allocates no capital, but it adds exchange fees when trading those assets.
  10. Trading Strategy

    Yes my portfolio is not in USD so my US stocks are one part PPS and one part USD. In February PPS is down 5.6% and USD up 2.6% making my stocks down 3.1% in total. The USD part adds volatility but negatively correlated to the PPS volatility. In total volatility is not less but with slightly lower and differently timed drawdowns.
  11. Trading Strategy

    The flattening of the stock basket was done on February 1 and then I reshuffled some again on February 5. So my stock holdings haven't been constant in February. (3% of assets corresponds to 10% of equity)
  12. Trading Strategy

    My updated stock weights can always be found in my profile: AMZN 5% BCPC 10% FB 5% GILD 5% JNJ 10% MKC 5% NJR 10% NKE 5% PSA 10% SQM 5% SO 10% USB 5% UGI 5% V 10% I plan to replace MKC with a doubled USB, which I've already updated for. In February I'm down 3.1% on my stocks in the portfolio currency, helped by the USD being up 2.6%. The last 5 trading days my stocks were down 1.3%.
  13. Trading Strategy

    To be concrete my stocks lost 1.7% the last 6 trading days, while the ^SP500TR lost 7.1%.
  14. Trading Strategy

    My stocks are 100% of equity so I'm actually not shielded unless uncorrelated funds counter the down move, which is likely to happen if it is a prolonged slide. Some on the funds thrive on trending markets and a stock market crash is one of the strongest trends available to them so those funds tend to generate income to buy the cheap stocks with. I don't make tactical move in anticipation of a certain direction, but rather trust my strategy to be robust against any thing that plays out. Although 100% of equity is in stocks the beta is less than 0.7, so you can view the expected stock market movement exposure as rather 70% of portfolio equity. But I've taken a beating too. Solars have not over reacted compared to the general market this time around I think. My stock holdings are both PPS and USD movement exposed. The USD has moved up as it often does when PPS broadly falls. This helps a bit too.
  15. Trading Strategy

    With a long-term view it should be a good time to add here and collect dividends until some of their issues are solved. Utilities offer a nice stability when market volatility is high.
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