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dydo

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1 hour ago, explo said:

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%.

Thanks, I like to track others picks to see if there is anything I would like to buy and hold onto. I bought Amazon and quickly disposed of it after a 7% drop.

Here is my current holdings

ABBV  /  8.82%
BOTZ  /  4.33%
CMCSA  /  3.49%
CSCO  /  1.79%
CSIQ  /  8.09%
DUK  /  6.89%
INTC  /  9.95%
MLNLF  /  1.43%
MSFT  /  9.98%
QID  /  11.89%
T  /  4.08%
V  /  4.21%
JPM  /  1.99%
MJX  /  1.45%
SO  /  2.01%
SQM  /  1.23%
WGL  /  0.77%
CASH  /  17.59%
Total  /  100.00%
Edited by SCSolar

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31 minutes ago, dydo said:

Last year overall gains were 31.48%, so far this year I am 8.4% down. However, this includes dividend payments paid in this year.

I track my portfolio weekly in a SS. YTD down 2.68% while the overall market is down 1.78%(SumPoints DOW+NASD+SnP). 

2 Weeks ago my holdings were up 4.93% while the market was up 7.87.  

In the past 2 weeks, the market has given back 9.65%while my holdings have lost 7.6%.

My estimate is that 25% of the portfolio loss was due to timings of adding protective puts vs just leaving the put in place. I did not listen to myself and just left it in place to reduce volatility but I rather a gamble to trade and make gains like past solar trades gone wrong. 

 

 

Edited by SCSolar

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1 hour ago, explo said:

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%.

Forex gains? You are located outside of the U.S.? 

If you were a U.S. investor the portfolio would  be down 5.7%(forex+down) for February vs the 7.5% of the overall markets?

Is it safe to assume that the volatility target you have would mean you have lower gains in up cycles and in theory lower losses in down cycles? That is to say if the market was to rise 10% you might expect a 7% portfolio gain while if the market was to drop 10% you would have a 7% loss?

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45 minutes ago, SCSolar said:

Forex gains? You are located outside of the U.S.? 

If you were a U.S. investor the portfolio would  be down 5.7%(forex+down) for February vs the 7.5% of the overall markets?

Is it safe to assume that the volatility target you have would mean you have lower gains in up cycles and in theory lower losses in down cycles? That is to say if the market was to rise 10% you might expect a 7% portfolio gain while if the market was to drop 10% you would have a 7% loss?

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.

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7 hours ago, explo said:

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.

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.

Edited by explo

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8 hours ago, SCSolar said:

Is it safe to assume that the volatility target you have would mean you have lower gains in up cycles and in theory lower losses in down cycles? That is to say if the market was to rise 10% you might expect a 7% portfolio gain while if the market was to drop 10% you would have a 7% loss?

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).

Edited by explo

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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.

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11 hours ago, explo said:

The last 5 trading days my stocks were down 1.3%.

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.

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What do you guys think about owning banks under current interest rate drive?  I consider buying two Canadian banks which trade on the US exchanges, BMO and BNS. Strong growth of the dividend, about 50% or median from high and low.  I am hoping that Canadian dollar is going to level closer with the US one in this case offering more buying power via the dividend. 

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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.

Edited by explo

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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

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17 hours ago, explo said:

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.

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.

Edited by explo

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On ‎2018‎-‎02‎-‎12 at 11:55 AM, explo said:

Both their long position on stock index and their short position on the dollar turned on them last week.

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.

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On ‎2018‎-‎02‎-‎11 at 12:58 AM, SCSolar said:

I bought Amazon and quickly disposed of it after a 7% drop

It quickly rebounded and looks due for a new high now.

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I'm reducing the debt capital from 70% to 66.6% (reducing leverage from 3.33x to 3x).

Edited by explo

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Do we like FSLR to break out of a cup and handle sometime in the next month?  Think we need some news (and maybe a Gordon PT) to make it happen, but chart is rather bullish and the tick by tick to me looks like someone is accumulating over the past couple weeks now.  Cautiously optimistic that we see close to 80 in the near term.  And if cup and handle breakout does happen, seems like we're setup to go much higher than that as the year moves along.

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Added a little FSLR at 70.10, gambling on end of quarter window dressing and accompanying shorting being about done.  

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On ‎2018‎-‎02‎-‎11 at 1:38 AM, SCSolar said:

Is it safe to assume that the volatility target you have would mean you have lower gains in up cycles and in theory lower losses in down cycles?

Getting back to this subject. The past month it has been even more clear that my stocks outperform index better during high volatility. The index is down a bit more than 3.5% the past month while my stocks are up around 1%. The USD help this 4.5% outperformance with around 1.5% through it's short-term negative correlation to index as previously discussed. The remaining 3% was PPS outperformance by my lower risk stocks. When I in August last year switched from high risk solar stocks to a broad mix of low risk stocks I lost my Alpha, since during a period of extremely low volatility the high risk stocks paid off better. Now during a period of high volatility my low risk stocks are paying off.

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On ‎2018‎-‎02‎-‎11 at 6:20 PM, explo said:

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.

On ‎2018‎-‎02‎-‎13 at 12:24 PM, explo said:

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.

Their report gave the explanation that their models had heightened the "value at risk" in the long positions of stock index (probably due the very strong uptrend with extremely low volatility before February). During the week of increased volatility in early February their models cut the stock index value at risk more than half, but did not switch to a short position. The late February rebound was therefore not fully enjoyed. In March the fund stabilized at around 0% return after February being it worst month since the 2001 inception. The reduced risk against stock index that lost recovery gains in late February instead gained resilience against the renewed weakness in late March.

The volatility in stocks has so far in 2018 been very high. A complete reversal of the extremely low volatility during the whole 2017. This will make it an interesting year for my funds. They were not really shining to say the least during the low volatility last year.

Edited by explo

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On ‎2018‎-‎03‎-‎20 at 2:53 AM, explo said:

I'm reducing the debt capital from 70% to 66.6% (reducing leverage from 3.33x to 3x).

This has been partially executed in the stocks basket by reduction of 3 out 4 triggered stocks. The utility and real estate stocks offered PPS stability (beside high dividend income) during the volatility and were therefore good reduction candidates. The remaining stock to reduce is AMZN which has run up more than 60% in less than 6 months since I entered it, but short-term it took a Trump hate beating. I expect this effect to fade so I'll wait a bit with the reduction (missed opportunity just before the Trump hate dip), but it should be done soon since a correction of the massive run up is due.

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3 hours ago, pg6solar said:

Still holding PEGI?

Yes but small volume

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I have reprofiled my portfolio to have 7 positions after doing a bit more soul-searching by end of Q1.

It includes 20% each LSI, GPT, VTR, BRX, evenly split D and QTS for a total of 17%, and about 3% PEGI.  My goal is to build 10 stock portfolio first, by replacing and/or adding equity which would increase an average yield of 5.84%.

I have set the initial objective to sell 20% gains, and reinvest them into additions, or sell the entire stock if the yield is lower than a contender's yield. The best contender would be one with higher than average yield.

I am de-consolidating my holdings to eliminate the severity of losses, I have been experiencing in the past. Still, the year has an awful start and I would imagine it will continue to underperform. 

All the best

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9 hours ago, dydo said:

I have reprofiled my portfolio to have 7 positions after doing a bit more soul-searching by end of Q1.

It includes 20% each LSI, GPT, VTR, BRX, evenly split D and QTS for a total of 17%, and about 3% PEGI.  My goal is to build 10 stock portfolio first, by replacing and/or adding equity which would increase an average yield of 5.84%.

I have set the initial objective to sell 20% gains, and reinvest them into additions, or sell the entire stock if the yield is lower than a contender's yield. The best contender would be one with higher than average yield.

I am de-consolidating my holdings to eliminate the severity of losses, I have been experiencing in the past. Still, the year has an awful start and I would imagine it will continue to underperform. 

All the best

Nice. 10-15 stocks offers great diversification for long-term holding. A max allocation per stock is the simplest and most powerful way to achieve this. I have a max 10% allocation rule and a 5% allocation unit which means each stock has either 5% or 10% allocation target. Right now I have 13 stocks, 7 at 10% and 6 and 5%. This avoids the risk of overweighting long-term dogs and underweighting long-term stars and thus reduces the risk of long-term market underperformance.

To reduce short-term volatility risk and to increase short-term re-balancing opportunities a mix of sectors achieved by a max sector allocation rule of say 30% can be a quite powerful addition to the max single stock allocation rule.

 

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Added a few hundred more shares of FSLR this morning before the Ebrahimi news pop.  

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