Seeking α Investing Strategy

[Blacksmith.]

A Perspective On Secular Bull And Bear Markets

A Perspective On Secular Bull And Bear Markets | Seeking Alpha

 

[llnk]

A Perspective On Secular Bull And Bear Markets | Seeking Alpha

qualche parola di riassunto per spiegare?

leggendo il grafico da neofita sembrerebbe che i guadagni sono di gran lunga maggiori delle perdie (+257% rispetto a -50% 2009)

 

[bobsinclair]

qualche parola di riassunto per spiegare?

leggendo il grafico da neofita sembrerebbe che i guadagni sono di gran lunga maggiori delle perdie (+257% rispetto a -50% 2009)

Ti dice quello che è stato per darti un'idea su quello che sarà..

 

[testazza75]

Ti dice quello che è stato per darti un'idea su quello che sarà..

Occhio che è una scala logaritmica...

 

[Blacksmith.]

qualche parola di riassunto per spiegare? leggendo il grafico da neofita sembrerebbe che i guadagni sono di gran lunga maggiori delle perdite (+257% rispetto a -50% 2009)

Sono percentuali calcolate dai massimi ai minimi e dai minimi ai massimi.

Quando si perde il 50% da un massimo, solo per ritornare in pari bisognerà guadagnare il 100% dal minimo.
Se si perde il 60% si dovrà guadagnare il 150% per ritornare in pari.
Se si perde il 75% si dovrà guadagnare il 300% per ritornare in pari.

 

[bobsinclair]

Occhio che è una scala logaritmica...

Si chiaro.. Poi come dice Blacksmith 100 - 10% = 90..90 +10% = 99

 

[TessaS]

Allocating To Equity In Volatile Markets | Seeking Alpha

Most investors are familiar with the idea of momentum (the idea that a stock that's going up will continue to go up). Momentum's opposite is mean reversion: the tendency of a security to fall back to its long-term historical average. Mean reversion is a far less common approach to systematic equity allocations, and it's the idea of buying a stock or asset as it's falling (with the intention of buying low and selling high). Mean reverting strategies can act as early indicators for investors, and they've been suggesting for some time that the market is due for a correction.

There's a well-documented connection between volatility (measured by indices such as the VIX) and equity prices: volatility tends to go up when equity prices are falling. Some asset allocation models are based on volatility (selling equity when volatility is high and buying equity when volatility is low). This sort of strategy might have been overweight equities going into the last week of February, but it would have quickly de-risked through the end of the month and largely avoided the market stress that ensued.

Tuttavia, bassa volatilità dopo forti eccessi potrebbe voler dire fase di Distribuzione

 

[Blacksmith.]

Tuttavia, bassa volatilità dopo forti eccessi potrebbe voler dire fase di Distribuzione

Sì, una volatilità troppo bassa può essere indice di complacency e può indurre ad alleggerire le posizioni in anticipo.

 

[Blacksmith.]

Enhancing Trend By Scaling Volatility

Enhancing Trend By Scaling Volatility | Seeking Alpha

A large body of research demonstrates that while past returns do not predict future returns, past volatility largely predicts future near-term volatility,-volatility clusters. Evidence that past volatility predicts future volatility has been found not only in stocks but also in bonds, commodities and currencies.

Such evidence has led to the development of strategies that manage volatility by leveraging a portfolio at times of low volatility and scaling down at times of high volatility. A benefit of volatility scaling is that it ensures that the combined strategy targets a consistent amount of risk over time.

The 2018 study "The Impact of Volatility Targeting" examined the impact of volatility targeting on 60 assets, with daily data beginning as early as 1926. Among their key findings was that scaling reduces volatility. It also reduces excess kurtosis (fatter tails than in normal distributions): scaling cuts both tails, right (good tail) and left (bad tail). And for portfolios of risk assets, Sharpe ratios (measures of risk-adjusted return) are higher with volatility scaling.

They also found that risk assets exhibit a negative relationship between returns and volatility. Thus, volatility scaling effectively introduces some momentum into strategies. Since volatility often increases in periods of negative returns, targeting volatility causes positions to be reduced, which is in the same direction as what one would expect from a time-series momentum (trend-following) strategy.

 

[Blacksmith.]

Familiarity Breeds Short-Termism

Familiarity Breeds Short-Termism | Seeking Alpha

Investors confuse familiarity with safety. Home country bias, in which investors all over the world overweight their home country by wide margins, is a good example of this phenomenon.

Familiarity with a stock influences investors:
• Investors shorten their holding period in a stock on which they execute multiple round-trip trades.
• On average, the holding period shortens by 11 percent with each additional round trip - the more familiar, the shorter the holding period.
• The tendency to be short-termed is associated with reinforcement learning - investors are more likely to shorten the holding period after a round trip where they could have realized a better return had they sold earlier.
• Investors tend to lose wealth with their repeated trades, earning a four-factor (market beta, size, value and momentum) alpha of -1.3 percent.
• Investors exhibit an increase in the disposition effect (the tendency to sell winning investments prematurely to lock in gains and hold on to losing investments too long in the hope of breaking even) with repeated round trips.

Individual investors do not learn from their experiences when trading in the same stock. It appears that familiarity may breed overconfidence, which in turn leads to too much trading, which can be injurious to your financial health. The more individuals trade a company's stock, the shorter the holding period became. And short-termism leads to negative outcomes.

 

[luigiBCN]

Interessante articolo. Anche se... l' Home country bias ho ben chiaro che sia, mentre la parte sul round-trip trading visto come investment non mi quadra tanto. Per me investire puó essere b&h, o lazy portfolio, o il kiss, ma non il trading, con o senza round-trips. Ma forse ho una visione un poco narrow...

 

[Blacksmith.]

Profiling Extreme Returns

Profiling Extreme Returns | Seeking Alpha

It's long been established that stock market returns aren't normally distributed and that fat tails (extreme returns that are unexpected for a normal distribution) apply. Consider the S&P 500 Index since 1950 as we zoom in on the extreme left-hand tail of the distribution in the chart below. It's clear that one-day returns exhibit quite a lot of relatively steep negative returns - a frequency that's above and beyond what a normal distribution anticipates (as indicated by the gold bars rising above the red line, which indicates a normal distribution).

 

[Blacksmith.]

The One Metric All High-Yield Investors Should Know

The One Metric All High-Yield Investors Should Know | Seeking Alpha

High-yield bonds have a reputation for volatility. But history shows that the US high-yield sector's yield to worst has been a reliable indicator of its return over the following five years.

US high-yield bonds have performed predictably, even through rough markets. The relationship between yield to worst and future five-year returns held steady during the global financial crisis, one of the most stressful periods of economic and market turmoil on record.

 

[Blacksmith.]

Factor Investing In Bonds

Factor Investing In Bonds | Seeking Alpha

Factor-driven investing has been widely adopted in the equity markets, though less so in bond markets. This is so despite the fact that in their 1993 paper “Common Risk Factors in the Returns on Stocks and Bonds,” Eugene Fama and Ken French proposed a two-factor (term and default) model to explain bond returns, in addition to the three equity factors of beta, size and value.

Recently, other factors have been proposed as adding explanatory power to bond returns. For example, in their 2018 study “Style Investing in Fixed Income,” Jordan Brooks, Diogo Palhares and Scott Richardson of AQR Capital Management identified four fixed-income style premiums.

The identification of explanatory factors converts what was once alpha (which investors are willing to pay a premium for) into beta (a commodity, with commodity-like pricing).

In other words, investors could basically replicate the performance of active managers through simple combinations of low-cost government, investment-grade credit and high-yield credit exchange-traded funds, which can provide a continuum of exposure to credit risk and a range of duration exposures.

 

[Blacksmith.]

Why, In The Face Of The Worst U.S. Economy Since The Great Depression, Is The Stock Market Near Record Highs? | Seeking Alpha

This is the most concentrated the market has been in generations.

S&P 500 Equal Weight | Seeking Alpha

 

[lastrico]

Interessante articolo. Anche se... l' Home country bias ho ben chiaro che sia, mentre la parte sul round-trip trading visto come investment non mi quadra tanto. Per me investire puó essere b&h, o lazy portfolio, o il kiss, ma non il trading, con o senza round-trips. Ma forse ho una visione un poco narrow...

Se capisco, round-trip (andata e ritorno) si intende il ciclo di compra e vendi del trading.

 

[luigiBCN]

Se capisco, round-trip (andata e ritorno) si intende il ciclo di compra e vendi del trading.

esatto,anch'io l'avevo capito cosí... e se il round trip diventa di corto termine, per me é trading. E, sempre per me, trading ha un significato diverso da investing (long term)

 

[gsgs]

Why, In The Face Of The Worst U.S. Economy Since The Great Depression, Is The Stock Market Near Record Highs? | Seeking Alpha

This is the most concentrated the market has been in generations.

S&P 500 Equal Weight | Seeking Alpha

il grafico fa immaginare bene i rischi sulle quotazioni in caso di crollo, soprattutto sullo sp500.....

 

[Blacksmith.]

Trend Following Everywhere

Trend Following Everywhere | Seeking Alpha

Trend following investing has attracted a lot of attention over the past decade due to its strong performance during the global financial crisis and the academic research findings showing its persistence across long periods of time and economic regimes.

Among the many papers showing support for TSMOM is the June 2017 paper “A Century of Evidence on Trend-Following Investing.” The authors of AQR Capital Management, examined the performance of TSMOM for 67 markets across four major asset classes (29 commodities, 11 equity indices, 15 bond markets and 12 currency pairs) from January 1880 to December 2016.

The strong historical performance of trend-following strategies is robust across a large number of instruments, and this strong performance is neither explained by volatility scaling nor static exposures, but, rather, out-of-sample evidence of the trending nature of capital markets around the world. There was strong evidence for TSMOM across the assets and factors studied. There was pervasiveness of return continuation for the most recent 12 months, but not for returns beyond 12 months, across a range of assets and equity factors.

The most likely candidates to explain why markets have tended to trend more often than not include investors’ behavioral biases, market frictions, hedging demands, and market interventions by central banks and governments. Such market interventions and hedging programs are still prevalent, and investors are likely to continue to suffer from the same behavioral biases that have influenced price behavior over the past century, setting the stage for trend-following investing going forward.

 

[mirkosalva]

Trend Following Everywhere | Seeking Alpha

Tra i commentatori sotto l'articolo c'è anche Larry Swedroe.