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DISCLOSURE: THESE ARE MY PERSONAL NOTES! I MAY OR MAY NOT HOLD SOME OR ALL OF THESE INVESTMENTS. THIS IS NOT INVESTMENT ADVICE. I AM NOT RECOMMENDING THESE AND MOST ARE LISTED FOR PERSONAL INTEREST NOT BECAUSE THEY ARE GOOD INVESTMENTS. SOMETIMES I COPY SOMETHING INTO THESE NOTES BECAUSE I THINK IS IT A POOR INVESTMENT BUT I WANT TO REMEMBER IT FOR SOME OTHER REASON.
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reanalysis of:
" YTD Performance ETF Weighting Return SPY Market Cap 1.98% RWL Revenue 2.64% EPS Earnings 3.40% DLN Dividend 4.30% PRF RAFI 4.51% RSP Equal 5.24% EQL Equal Sector 2.03%
RWL still above SPY but it goes deeper when SPY has a major dip RSP went way above but is now slightly below RSP superior to PRF EQL still slightly above but tracks fairly close DLN does worse
out of these, RSP looks best (is it just a higher beta?) -- but: its beta is 1.17-1.18 on both 3 and 5 yr timescales its Sharpe ratio is .96 on 3 yr timescale and .1 on 5 yr(!) according to Yahoo finance but Sortino is over 1
Sortino ratio is like Sharpe but over 1 choice: RSP
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in Yahoo finance.
RWL: no, just a little better than SPY
PRF: did worse than RSP overall, better in initial upturn, but worse later on -- and the same in a downturn.
both RSP and PRF fell lower than SPY in downturn
RSP did better than SPY in initial upturn but for the past year it's done worse
over past 2 years it's about the same as SPY
when it did better was really just in between october and july 2010
EPS, otoh, does slightly better than SPY the whole time
DLN does worse (but are we accounting for the dividends here?!?)
http://biz.yahoo.com/charts/guide7.html
http://seekingalpha.com/article/194351-technical-analysis-fatal-flaw-all-charts-lie
including dividends is called "total return" and here's some sites that do charts with it:
http://www.etfreplay.com/charts.aspxhttp://www.etfreplay.com/charts.aspx
http://www.etfreplay.com/combine.aspx
http://www.etfreplay.com/screener.aspx
http://www.buyupside.com/buildportfolioanystock/inputsymbols.php
wow etfreplay looks awesome
SPY/RSP: RSP better; same as before tho, SPY has been better since about 2010, but RSP was much better deriving from the second half of 2009
PCEF vs SPY: PCEF has less return, less volatily, highly correlated, but return/vol ratio is lower
morningstar reports total returns on the "performance" tab but not sure if the "chart" tab has it
" It's when you use charts to gauge long-term performance that you might run into trouble. Yahoo! Finance and Google Finance have price charts for funds and ETFs; to get a little more information, you can opt to have flags showing when dividends were paid. "
" For a better idea of total return, Morningstar.com charts the changing value of an initial $10,000 investment, including distributions, for funds and ETFs. WSJ.com has price charts for ETFs but growth-of-$10,000 charts for funds." -- http://online.wsj.com/article/SB10001424052970204443404577054332688164006.html
but actually when you compare, only the base security is total return, the others are just price! arg!
http://ycharts.com/companies/MORN
gives some charts too
ok this guy will do it:
http://stockcharts.com/freecharts/perf.html?PCEF http://finance.yahoo.com/echarts?s=PCEF+Interactive#symbol=pcef;range=5y;compare=;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;
PCEF is a good example because it's price is slightly lower than flat but it pays out dividends
another example is EVT:
http://stockcharts.com/freecharts/perf.html?EVT
https://www.google.com/finance?client=ob&q=NYSE:EVT
note that etfreplay is better when it covers something
note that with perfchart (stockcharts.com), you have to be real careful not to look at a time horizon before the beginning of any of the securities, or the results will be crazy (in favor of that security?)
ok sooo.. RSP is better than SPY in general, although SPY has been better since the crash
DLN does worse -- it did better most of the time after the crash until the last year or so, but it crashed harder, which makes up for it
RWL does a little better but its tough to say, i wouldn't switch to it
EPS is indistinguishable from SPY, mb a tiny bit better
PRF is indistinguishable from SPY, mb a tiny bit better in the initial bounce after the crash, and worse recently
EQL is worse than SPY
morningstar says RSP has slightly higher stddev, and slightly higher Sharpe and Sortino Ratios
decision: RSP over SPY
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HYG is significantly better than RSP with any start date before the crash (but RSP is better after the crash) -- but possibly this is b/c HYG doesnt go back far enough -- HYG is 30% since its inception in early 2007, and RSP is 10%, but if you go back to 2004, RSP is 85%
good discussion of the flaws of complex methods of portfolio optimization --- namely, the sensitivity to parameters (we're dealing with exponential growth here so a small error in the input rate of growth could lead to a large error in the results), the mean-reverting nature of real data (so the inputs you give it will be SYSTEMICALLY biased compared to the future, in exactly the wrong direction (what was good in the past will be a little worse in the future and vice versa), and the large number of parameters.
http://www.efficientfrontier.com/ef/497/mvo.htm
this is interesting too: http://www.efficientfrontier.com/ef/0adhoc/harry.htm
it talks about a portfolio which is 25% stock, 25% long duration bonds, 25% short duration T-bills, 25% gold
also notes that "This is not that far off from the asset allocation recommended by the Talmud: one-third each in land, business interests, and "reserves," the latter of which, in those days, meant silver."
http://www.amazon.com/The-Intelligent-Asset-Allocator-Portfolio/dp/0071362363/ref=pd_sim_b_1
i wonder if one can buy bonds from the German and Japanese governments?
looks like Japan ain't paying much: http://www.bloomberg.com/markets/rates-bonds/government-bonds/japan/
germany neither: http://www.bloomberg.com/markets/rates-bonds/government-bonds/germany/
and there's inflation: http://www.tradingeconomics.com/euro-area/inflation-cpi
http://www.tradingeconomics.com/united-kingdom/inflation-cpi
http://www.tradingeconomics.com/united-states/inflation-cpi
http://www.usinflationcalculator.com/inflation/current-inflation-rates/
maybe it's time to buy some TIPS?
woah it's negative real yield!
didn't realize how much our economy is still on life support, i guess
what's AGG's yield? seems to be 1.97%. Inflation is 2.5-2.7%. So AGG is ~-.5% real yield, with avg effective duration 4.36 years.
Guess it's time to buy more BSJD...
consider IBKR :)
" The new ETF, Yorkville High Income ETF (YMLP), is a passively managed fund that is the latest entry in the crowded MLP space, which has attracted investor interest because MLPs generate steady dividends and are not meaningfully affected by volatility in energy prices. The fund, whose 0.82% expense ratio is in line with the fees charged by other MLP ETFs and exchange-traded notes, tracks a Solactive index that selects MLPs based on current yield, coverage ratio, and distribution growth criteria.
YMLP holds 25 MLPs and has a distribution rate of about 8.75%. "
SJNK has 7% yield with a 3-year effective duration. yay :)
http://etfdb.com/2012/ishares-rolls-out-ex-u-s-junk-bond-etfs-emhy-hyxu/
EMHY emerging markets high yield bonds
From a country perspective, the breakdown of EMHY may be a bit surprising. Venezuela is the largest individual component at about 19%, followed by Turkey (15%), the Philippines (12%), and Russia (7%). Other countries represented in EMHY include Lebanon, Ukraine, the UAE, Brazil, Hungary, and Mexico. The BRIC bloc of emerging markets accounts for about 15% of the entire portfolio, and there are more than two dozen different market represented in total [see EMHY fact sheet].
HYXU developed ex-us high yield bonds. "The index underlying HYXU has a yield to maturity of about 8.1% and an effective duration of just under four years. So despite a lower duration, Europe-focused HYXU actually has a higher yield than EMHY. "
Luxembourg takes the top spot at about 16%, followed by the Netherlands (15%), France (15%), and Germany (11%).
ANGL http://etfdb.com/2012/van-eck-debuts-fallen-angel-junk-bond-etf-angl/
IHY international high yield
Under The Hood
The related BofA? Merrill Lynch Global ex-U.S. Issuers High Yield Constrained Index has an average yield to worst of about 8.3% with an average modified duration of about four years. About 1,000 individual securities make up the index, spread across a number of different industries and countries. Industrials bonds make up close to 75% of the underlying index, though that total includes companies engaged in a number of different industries such as automotive, energy, media, health care, and real estate. Financial issuers make up about 20% of the underlying portfolio.
The PowerShares? International Corporate Bond Portfolio (PICB) and SPDR Barclays Capital International Corporate Bond ETF (IBND) offer access to international corporate bonds, but both focus primarily on higher quality corporate debt in developed markets.
HYLD actively managed high yield
WisdomTree? Dreyfus Emerging Currency Fund (CEW): $344 million
This active currency fund maintains a structure very similar to CEW, and a slightly broader focus. In addition to the Chinese yuan, CEW includes the Mexican Peso, Brazilian Real, Chilean Peso, South African Rand, Polish Zloty, Russian Ruble, Turkish New Lira, South Korean Won, Indonesian Rupiah, Indian Rupee, and Malaysian Ringgit.
Guggenheim Enhanced Short Duration Bond ETF (GSY): $150 million
This ETF, from Guggenheim, can also be thought of as a safe haven ETF; GSY focuses on high quality fixed income securities that are approaching maturity. With an average duration of only a few months, GSY features considerably less interest rate risk than the aforementioned MINT. GSY is also one of the cheapest active ETFs on the market, with expenses capped at just 0.27%.
AdvisorShares? Cambria Global Tactical ETF (GTAA): $112 million
This ETF offers access to a broad portfolio that includes multiple asset classes in a single ticker. Utilizing quantitative methodologies, GTAA seeks to achieve absolute returns with reduced volatility and downside risk relative to more traditional investing techniques.
Active Bear ETF (HDGE): $142 million
This active ETF is yet another unique product; HDGE features a portfolio comprised entirely of short positions in stocks expected to underperform. Based on forensic accounting methodologies, HDGE aims to short stocks that are using aggressive accounting principles to hide the deterioration of their business and cash flows.
my "three factor" model of financial assets:
e.g. stocks go up when business is expected to do well; or when the interest rate falls (because a major competing investment, bonds, is now less attractive); or when people have a lot of money to spend in the stock market
this is still just basic supply and demand, but rephrased in a way i find useful.
todo write up why i'm doing what i'm doing now
todo write up my four factor model of when the efficient market hypothesis fails
Q: Can you time the market?
A: Sure you can. But don't bet very much on it.
In other words, go ahead and try to time the market, but set things up in such a way that if you are right, you make a little more than you would have, but if you are dead wrong, you only lose a little more.
Q: What order type to use?
I'm not quite sure how one should use order types in what is, for me, the most common situation: You are rebalancing your portfolio. You don't have a strong view on what price asset X should be at today, you aren't trying to execute either a contrarian or momentum strategy on the time scale of days or less, and you aren't in a rush so you'd prefer a good price to a fast execution.
Now, if you had a view on exactly how much asset X is worth, you would set a limit. If you were trading on news on a timescale of seconds or minutes, you would put in a market order. If you were contrarian day-trading, you'd set a limit. If you were momentum day-trading, you'd set a stop limit.
But when you are just rebalancing your portfolio, what do you us?
I'm going to try using IB's REL order. This order type acts like a limit order where the limit is adjusted to match the bid price of the asset when you buy (and to match the ask when you sell). This means that you'll capture the spread; but this will be more than compensated by adverse selection, namely,
todo: consider WDTI, IAU
CEF and PHYS look good if they ever trade at a premium again..
ETB looks ok, 11% discount, 4% Apple tho, forgot to check the expense fee tho todo: look thru http://en.wikipedia.org/wiki/Buy-write, find other examples ETV: nasdaq PBP: no discount
QAI universe: http://www.indexiq.com/docs/iqhgalph/iqhgalphapril.csv
RWR,SPDR DJ Wilshire REIT ETF
VEA,Vanguard MSCI EAFE ETF
VNQ,Vanguard ETF REIT
CWB,SPDR Barclays Capital Convertible Securities
RWX,SPDR DJ International Real Estate ETF
PCY,PowerShares? Emerging Markets Sovereign Debt Portfolio
EMB,iShares JPMorgan USD Emerging Markets Bond Fund
EFA,iShares MSCI EAFE Index Fund
BWX,SPDR Barclays Capital International Treasury Bond ETF
todo:
todo: consider http://etfdb.com/2012/the-five-highest-yielding-etfs/
todo: consider http://etfdb.com/2011/active-etfs-in-times-of-crisis-how-do-they-hold-up/
debts in emerging currencies: EMLC, ELD? ALD? EMLC: 5.25% yield, 3.7yr duration, .5% expense,
"dim sum bonds"
http://etfdb.com/etfdb-category/high-yield-bonds/ see also high yield short duration, high yield emerging
WisdomTree? Emerging Markets Corporate Bond Fund (EMCB)
PIMCO Total Return ETF (BOND)
AdvisorShares? Accuvest Global Opportunities ETF (ACCU) active, 1.25% expense fee
http://news.morningstar.com/articlenet/article.aspx?id=436634
Yield to Maturity % One-Yr Standard Deviation % Average Years to Maturity Expense Ratio % Currency Exposure (U.S. Dollar/ Non-USD) PowerShares? EM Sov Debt (PCY) 5.79 8.89 14.7 0.50 U.S. Dollar iShares JPMorgan USD EM Bnd (EMB) 5.31 8.05 11.7 0.60 U.S. Dollar WisdomTree? EM Local Debt (ELD) 5.40 13.27 5.1 0.55 Non-USD Market Vectors EM LocCurrBd? (EMLC) 6.35 13.99 6.8 0.49 Non-USD iShares EM LocCurrBd?