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Dalio implies a similar idea when he talks about how its superior to leverage a liquid investment (say, S&P500 futures) to juice the returns and make it similar (return wise) to private equity. Its better because you always will have the liquidity there, whereas private equity liquidity will...

Right now I own about a ~7.5% position in Brazil USD bonds yielding something like 4.5%-5%. But I was thinking about doing some 'investment alchemy' and switching this position to a cash+EEM (emerging markets stock ETF) position. It's similar to what Dalio teaches and Taleb implies through his...

" When we focus, however, on only “Valuation Expansion,” the top five changes to: February 2003 to October 2007 (36%) December 1987 to August 2000 (30%) June 1962 to December 1968 (30%) August 1921 to September 1929 (27%) March 2009 to December 2016 (25%)"

https://blog.thinknewfound.com/2017/02/anatomy-bull-market/?utm_content=buffer61564&utm_medium=social&utm_source=twitter.com&utm_campaign=buffer

Corporate bonds HY and IG vs UST bonds

One thing is for sure, I will have to change my goal from building a 'balanced portfolio' for emerging markets to building a 'resilient' or 'smart' portfolio. I no longer think balanced portfolios for emerging markets make any sense. An "all weather" strategy makes sense in the US. There it...

For long-term bond returns in many countries I was able to find this so far: http://www.investopedia.com/walkthrough/corporate-finance/4/capital-markets/history-stocks-bonds.aspx Crude Sharpe is return/SD (no adjustment for the risk free rate) Looking at this one can pretty much conclude...

I'm getting to the conclusion that separating bond allocations between 'developed market bonds' and 'emerging market bonds' could be a flawled approach. That's because the amount of 'developed markets' out there is large but perhaps MOST of them will not serve as good hedges (like the UK...

One could even consider US bonds as a form of 'gold'. In the last 100 years, it was pretty much like gold except it paid a higher turn (of roughly 3% real a year). So in that sense, it was better than gold. Its no wonder when there are global crisis, US bonds rise. The world deals with local...

I have been making some interesting discoveries in my portfolio research. I just read this paper https://faculty.fuqua.duke.edu/~charvey/Teaching/IntesaBci_2001/GJ_Global.pdf And it talks about how looking at equity returns from a US point of view creates suvivorship bias because the US has...

"The fundamental reason that a repeated-play cooperative strategy doesn’t work in a game of Chicken is that the meaning of cooperation is different in this class of games. You see it in the title of the game itself. If you cooperate in a game of Chicken — i.e., you’re driving your tractor...

http://www.zerohedge.com/news/2017-02-09/trumps-game-chess Couldn't agree with this article more. I used to play a lot of chess when I was growing up. Sometimes I would play against the computer (Chessmaster 3000 with 10 sec per move) and about the only I was able to beat it was when I was in...

https://www.elitetrader.com/et/threads/are-some-sentiment-indicators-just-a-glorified-version-of-stochastics.306718/

Recently I saw a headline on twitter saying that newsletter writers bullish sentiment was at a high and that was supposed to be a reason to sell stocks. In other times, people will bring up other types of sentiment/contrarian indicators. But if you wrote the same article saying 'stockchastics...

Also, should one use 2x ATR? 3x? Only way to have confidence is to run a backtest. And then re-run everytime markets condition change. SDs are an autobacktest all the way. Everybody knows what 95% of the distribution means, 3x ATR, what does that mean? I haven't a clue

I guess the nice thing about SD is that its an 'auto backtest'. It immediately tells how it fits the past data, which gives you confidence that the stop is wide enough to stay out of the noise. With ATR and other metrics, you got to do the backtest yourself. But even if you do it, if volatility...

I dont understand it either. I know how its calculated but it has no meaning to me. It doesn't 'feel' like anything that matters. I'm aware that you can set it to match the SD but still, psychologically it doesn't speak to me. I bet a lot of people feel that way.

A great quote from Colm O'Shea That's part of my thesis in Greek stocks

Standard Deviation (SD) gets a bad rep because of people like Taleb and etc. But I'm starting to think SD makes a huge amount of sense when it comes to stop placement. Usually when you place a stop, you want to put it away from the "noise", so you only get hit if the price does something that is...

If Greece walks out of the EUR and the new currency plunges 50% and they default on their EU debt (especially on that ECB debt, that one deserves a default more than anything), the country will be a path to huge bull market in assets. I will invest perhaps 10-20% in Greek stocks, expecting a...