Archive for the ‘Random Stuff’ Category

Inspired by Hyperq (hat tip The Whole Street)… The graph below shows how each day is weighted in a 10-day simple moving average (grey) versus exponential moving average (red). For the uninitiated, the SMA and EMA are the two types of moving averages most commonly employed by traders. In the 10-day SMA, each day from […]

I find the results of the SPLV (low volatility) and SPHB (high beta) ETFs since their launch in 05/2011 fascinating (h/t VIX & More). SPLV (SPHB) tracks the 100 stocks from the S&P 500 with the lowest volatility (highest beta) over the previous 12 months. Using data available at S&P, we can get an extended […]

Long-time readers have watched my thoughts on certain subjects evolve over time. Blogging for as long as I have (egad…almost 5 years now), about such a difficult to wrangle subject, necessitates it. Something I’ve come full circle on is whether my trading should focus more on concepts that have existed for a very long time […]

A couple of for profit announcements…  For all the reasons I’ve discussed previously, I’ve officially cut ties with tactical asset allocation (and/or its many variations) as my core wealth management solution. In my previous post I talked about why the concept has lost its luster for me: the one-two-three punch of middling returns, long hold […]

Madoff vs LTCM


Below is a comparison of $1 invested (net) in Madoff’s Ponzi scheme (blue) versus Long-Term Capital Management (red) during the 4+ years both shared life. [linearly-scaled, growth of $1, net of fees] Interestingly, even before the wheels began to come off LTCM in May, 1998, Madoff still exhibited a higher Sharpe Ratio than LTCM (3.21 […]