I have made some changes recently in my portfolio because I think we have to be prepared for uncertainty in the financial markets.
As a consequence of that, my strategy is almost market neutral.
These are my positions (for a 1700 eur power purchase) :
POP.MC - 600 @ 6.75 e
ACX.MC - 270 @ 14.11 e
MT + 123 @ 24.7 e
NOK + 400 @ 9.13 e
portfolio
--
I think Arcelor Mittal will outperform Acerinox. The last one have not dropped so much during the downturn in the financial markets, and that is just because it has fewer liquidity / # trades.
Secondly, Nokia makes good cellphones (Does Customer Satisfaction Translate to Excess Stock Returns?, the sector´s outlook is bright and the shares have underperformed the market and its sector recently. Certainly it is a risky proposition, since we do not know when the company will pick up again. But .... I like this moment to buy the stock, I think it may have been over-sold.
On the other hand, the Spanish bank, Popular will suffer from spain's PM.
Zapatero and his socialist ideas are not the best macro strategies to deal with the current recession. So the levered position of the bank in the spanish housing market has gloomy perspectives unless BIG! changes in public policy take place -diminishing the taxes, subsidies, government power, government cars, travels, # wages ... it is just not gonna happen.
Jun 19, 2009
Asset Allocation for personal portfolio
What if we had $100K to invest today for our own account? ... empirical simulation
The first thing we should do, is to establish the risk adversity we want.
Tough that is a personal decision, there is a pretty simple guide to do that:
% RISKY ASSETS = 100 – AGE (years).
… Bonds, T-bills and gold are good low-risk assets.
Since I am a follower of the Austrian School of economics, I find gold quite appealing, furthermore in such market (and policitcal) conditions.
But I think that a 10% allocation is in the highest range of alternatives. More than that is not an option: gold doesn't produce anything.
So … If we were 40 years old, we’ll end up with this proportions:
Risky assets: $60 000
Bonds / T-bills: $ 30 000
Gold: $ 10 000 (preferably in spot, rather than in financial products. Otherwise... we never know whether we will have it when it is more needed)
- RISKY ASSETS [leveraged]:
- Currencies: $ 20 000
aud.usd - 0
cad.usd - 28 (buy, wait)
chf.usd - 27 (BUY)
eur.usd - 18 (buy, wait)
gbp.usd - (neutral)
jpy.usd - 25 (inverted) (SELL if it is around 1/103 - BUY if it is around 103)
... so as June 19th, we start a position: CHF/JPY (at around: 89)
- Stock markets: $ 40 000
Hedge strategies: $ 20 000 [$ 100 000] : mt.acx / acn.ibm? / gas.oil /
Moving averages crossovers: $ 5 000 [x]
New maximums - New minimums hedged system: $ 5 000 [x]
MACD R2: $ 5 000 [x]
Seasonal trading opportunities: $ 5 000 [x] (1st month) / Options / Volatility / Option wRiting strategies (risks) ...
The first thing we should do, is to establish the risk adversity we want.
Tough that is a personal decision, there is a pretty simple guide to do that:
% RISKY ASSETS = 100 – AGE (years).
… Bonds, T-bills and gold are good low-risk assets.
Since I am a follower of the Austrian School of economics, I find gold quite appealing, furthermore in such market (and policitcal) conditions.
But I think that a 10% allocation is in the highest range of alternatives. More than that is not an option: gold doesn't produce anything.
So … If we were 40 years old, we’ll end up with this proportions:
Risky assets: $60 000
Bonds / T-bills: $ 30 000
Gold: $ 10 000 (preferably in spot, rather than in financial products. Otherwise... we never know whether we will have it when it is more needed)
- RISKY ASSETS [leveraged]:
- Currencies: $ 20 000
aud.usd - 0
cad.usd - 28 (buy, wait)
chf.usd - 27 (BUY)
eur.usd - 18 (buy, wait)
gbp.usd - (neutral)
jpy.usd - 25 (inverted) (SELL if it is around 1/103 - BUY if it is around 103)
... so as June 19th, we start a position: CHF/JPY (at around: 89)
- Stock markets: $ 40 000
Hedge strategies: $ 20 000 [$ 100 000] : mt.acx / acn.ibm? / gas.oil /
Moving averages crossovers: $ 5 000 [x]
New maximums - New minimums hedged system: $ 5 000 [x]
MACD R2: $ 5 000 [x]
Seasonal trading opportunities: $ 5 000 [x] (1st month) / Options / Volatility / Option wRiting strategies (risks) ...
Jun 18, 2009
Trading Volatility / Writing Options
--> the title of the post is a link to a video of a fully developed strategy on option writing. video at fma.org <--
http://tiny.cc/kRlgP
(value of the options: time + volatility + spot _underlying asset)
Let's go to the point:
On a regular basis, we should rather write (sell) options, than to buy them.
The best moment to sell options is when the VIX is peaking / has already peaked.
That is, when it is coming down after a rally (moving averages crossing down).
Thus, the best Options to use are PUTs, never CALLs in such conditions.
On the other hand, the best moment to buy options is when the VIX is in its lowest levels. Consequently we'd rather buy PUTs than CALLs.
We can do it when the moving averages have crossed upward.
Sadly, with that strategy we can find a lot of different occasions when they have just crossed up for a short time of time, coming down afterwards. Such occasions will not provide good results, but among those... there will be the good ones!
On a regular basis, we should rather write (sell) options, than to buy them.
The best moment to sell options is when the VIX is peaking / has already peaked.
That is, when it is coming down after a rally (moving averages crossing down).
Thus, the best Options to use are PUTs, never CALLs in such conditions.
On the other hand, the best moment to buy options is when the VIX is in its lowest levels. Consequently we'd rather buy PUTs than CALLs.
We can do it when the moving averages have crossed upward.
Sadly, with that strategy we can find a lot of different occasions when they have just crossed up for a short time of time, coming down afterwards. Such occasions will not provide good results, but among those... there will be the good ones!
Jun 17, 2009
Economic Outlook
Be carefull with the green shoots. Economic data / analysis is not all pointing towards a rosy future.
On the one hand, bigger than expected earning forecasts during the last week were released, supporting the rally experienced in the stock markets since march (because actually the earnings' improvement was in fact bigger than the rise by the stock markets).
But on the other hand, it was just released yesterday the June GEAB N°36, with gloomy perspectives for the months to come. Forecasting payment defaults in the UK and the US
... and (spanish):
Estas son las olas principales:
1- La ola del paro masivo. -> Massive unemployment.
2- La ola de las quiebras en serie, empresas, bancos, inmobiliario, estados, regiones, ciudades.
-> Wave of city councils, states, banks and corporation defaults.
3- La ola de la crisis terminal de los bonos del tesoro de EEUU, del dólar y de la libra y la vuelta a la inflación.
-> US' bond crisis. USD and GBP currency crisis, and back to (super)inflation times
Hope these guys are wrong bk otherwise the green shoots are going to get burned during the summer
So, be prepared for worst economic performance, and get a neutral/bearish market portfolio!
--
GEAB 36: http://tiny.cc/Qu0Qj
On the one hand, bigger than expected earning forecasts during the last week were released, supporting the rally experienced in the stock markets since march (because actually the earnings' improvement was in fact bigger than the rise by the stock markets).
But on the other hand, it was just released yesterday the June GEAB N°36, with gloomy perspectives for the months to come. Forecasting payment defaults in the UK and the US
... and (spanish):
Estas son las olas principales:
1- La ola del paro masivo. -> Massive unemployment.
2- La ola de las quiebras en serie, empresas, bancos, inmobiliario, estados, regiones, ciudades.
-> Wave of city councils, states, banks and corporation defaults.
3- La ola de la crisis terminal de los bonos del tesoro de EEUU, del dólar y de la libra y la vuelta a la inflación.
-> US' bond crisis. USD and GBP currency crisis, and back to (super)inflation times
Hope these guys are wrong bk otherwise the green shoots are going to get burned during the summer
So, be prepared for worst economic performance, and get a neutral/bearish market portfolio!
--
GEAB 36: http://tiny.cc/Qu0Qj
May 25, 2009
May 11, 2009
Diet > Carbohydrates > Glycemic Index
Harvard's new guide to healthy eating:
Glycemic Index: a ranking of foods based on their immediate effect on blood glucose-or blood sugar levels.
- Carbohydrate foods that break down quickly during digestion have the highest glycemic indexes. Their blood sugar response is fast and high.
- Carbohydrates that break down slowly, releasing glucose gradually into the blood stream, have low glycemic index values.
WHY LOW CARB DIETS ARE BAD?
Your body needs to maintain a certain glucose level in the blood to serve the brain and central nervous system. To ensure that glucose is readily available, your body stores it in the muscles and liver. This storage is called glycogen. If you are not eating the right amount of carbohydrates your body will take these glycogen stores, break them down, and convert them to glucose. Once the glycogen is used up, then starts breaking down muscle protein to synthesize glucose for vital organs. This will make you feel irritable, headachy and sick, and it causes a loss of lean muscle, tissue and water, two things that your body needs. It WILL NOT help you lose weight in the long run because the bodies fat stores can not be converted to glucose. So it's all about eating more of the "good" (complex), low glycemic index carbs, rather than lower amounts of carbs that will keep the weight off for good!
RECOMMENDATIONS:
First, to stabilize blood sugar levels, eat smaller more frequent balanced meals. According to some diets, each carbohydrate in your meals must be combined with a quality protein source and some sort of vegetables.
Good quality proteins include: eggs, fish, white meat, whey (by-product of cheese production).
Good quality proteins include: eggs, fish, white meat, whey (by-product of cheese production).
Second, you should not have a diet too low in fat. The whole craze over high fat, high protein diets are to decrease spikes in insulin and to lower the GI index of foods and meals.
Third, you should purposely use mainly high glycemic carbs after you train. A carb drink with a scoop or two of a low fat protein powder will work wonders right after you train.
Finally, I would combine supplements like creatine, 10 grams of glutamine, and a good anti-oxidant with the post-workout drink. This will give you a big jump-start to recovery and glycogen replenishment.
GIs. These are examples of some good quality carbs:
100% stone ground whole wheat bread (GI=51)
Multi-grain breads(GI=49)
Fruits* act as a simple carb when eaten alone, add a fat and protein for it to become complex.
Vegetables
Bulgar
Beans
Lentils
Legumes
All Bran, or other high fiber cereals
Oatmeal
Beans
baby lima 32
baked 43
black 30
brown 38
butter 31
chickpeas 33
kidney 27
lentil 30
navy 38
pinto 42
red lentils 27
split peas 32
soy 18
Breads
bagel 72
croissant 67
Kaiser roll 73
pita 57
pumpernickel 49
rye 64
rye, dark 76
rye, whole 50
white 72
whole wheat 72
waffles 76
Cookies
Graham crackers 74
oatmeal 55
shortbread 64
Vanilla Wafers 77
Crackers
Kavli Norwegian 71
rice cakes 82
rye 63
saltine 72
stoned wheat thins 67
water crackers 78
Desserts
angel Food Cake 67
banana bread 47
blueberry muffin 59
bran muffin 60
Danish 59
fruit bread 47
pound cake 54
sponge cake 46
Grains
barley 22
brown rice 59
buckwheat 54
bulger 47
chickpeas 36
cornmeal 68
couscous 65
hominy 40
millet 75
rice, instant 91
rice, parboiled 47
rye 34
sweet corn 55
wheat, whole 41
white rice 88
wh. rice, high amylose 59
Juices
agave nector 11
apple 41
grapefruit 48
orange 55
pineapple 46
Cereals
All Bran 44
Bran Chex 58
Cheerios 74
Corn Bran 75
Corn Chex 83
Cornflakes 83
Cream of Wheat 66
Crispix 87
Frosted Flakes 55
Grapenuts 67
Grapenuts Flakes 80
Life 66
Muesli 60
NutriGrain 66
Oatmeal 49
Oatmeal 1 min 66
Puffed Wheat 74
Puffed Rice 90
Rice Bran 19
Rice Chex 89
Rice Krispies 82
Shredded Wheat 69
Special K 54
Swiss Muesli 60
Team 82
Total 76
Fruit
apple 38
apricot, canned 64
apricot, dried 30
apricot jam 55
banana 62
banana, unripe 30
canteloupe 65
cherries 22
dates, dried 103
fruit cocktail 55
grapefruit 25
grapes 43
kiwi 52
mango 55
orange 43
papaya 58
peach 42
pear 36
pineapple 66
plum 24
raisins 64
strawberries 32
strawberry jam 51
watermelon 72
Milk Products
chocolate milk 34
ice cream 50
milk 34
pudding43
soy milk 31
yogurt 38
Pasta
brown rice pasta 92
gnocchi 68
linguine, durum 50
macaroni 46
macaroni & cheese 64
spaghetti 40
spag. prot. enrich. 28
vermicelli 35
vermicelli, rice 58
Sweets
honey 58
jelly beans 80
Life Savers 70
M&M's Choc. Peanut 33
Skittles 70
Snickers 41
References-"The Glucose Revolution" Jennie Brand-Miller, PhD; Thomas M.S. Wolever, MD.,PhD; Stephen Colagiuri, MD., Kaye Foster-Powell, M. Nutr.&Diet.
"The Bottom Line", Harvard Publish Review.
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