Is our research working?

Posted by: on Sep 24, 2016 in ArbMaker News! | No Comments

Cumulatively the Premium Newsletter has covered 18 trade ideas, all executed in our account. Some data:

  • 78% of these pairs have won
  • At the individual component level 69% have won
  • Average trade duration is 6.4 days for all positions and 6.8 days for closed trades
  • Average trade profit is 4.3% (CFDs) and 1.9% (equity margin) for all positions and 5.3% / 2.3% for closed trades

The September highlights are covered in our latest newsletter below (also visible here). If you have not tried the Premium Newsletter it please consider doing so based on the hard data – the first month is on us!

newsletter-sep

 

 

Market malaise continues…but not for long/short

Posted by: on Sep 18, 2016 in ArbMaker News! | No Comments

Another poor week for markets. Our latest free newsletter has the gory results (and a suggestion) – to check it out just click here. It also contains details of the great content coming in the Monday 19 September Premium Newsletter. With a no-risk free trial going Premium means there’s a strong chance of strengthening your trading performance.

mkt-drops-sep16

Were you hedged against last week’s big losses?

Posted by: on Sep 10, 2016 in ArbMaker News! | No Comments

Directional trading is great…until it isn’t.

Last week was a case in point. Every sector bar Energy was in the red. And even Energy barely squeaked a gain.

Take a look at our latest free newsletter to see how we managed (you might want to subscribe via that link too).

A 30-day trial to the Premium Newsletter from which the data comes is absolutely free. Signals can be received by email or via the Android app Telegram Messenger!

 

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Need trading inspiration?

Posted by: on Aug 16, 2016 in ArbMaker News! | No Comments

Then receive real time trade ideas like this via our Premium Newsletter:
aem_bvn alert

That was an actual alert sent to subscribers on 6 July 2016. And it closed profitably on 13 July.

Try the Premium Newsletter risk-free now – it is comfortably in profit year to date.

A peek at our premium services…

Posted by: on Aug 14, 2016 in ArbMaker News! | No Comments

Here’s an extract from a recent issue of our Premium Newsletter service. The letter focuses is on generating actionable trade ideas. But it goes way beyond that to present methodological information and trading context.

Our next issue is released tomorrow at 10h30 GMT. We offer a free trial – try it out!

extract for blog

Premium Performance

Posted by: on Jul 24, 2016 in ArbMaker News! | No Comments

Take the new service for a trial. Next week is issue #5.
blog_premium

Should you rely on that hedge fund index?

Posted by: on Mar 21, 2016 in ArbMaker News! | No Comments

Keeping in similar vein to a number of the previous entries about the mysteries of defining, selecting and tracking hedge fund strategies here is a 2015 paper by Swiss wealth manager Pictet titled “Hedge fund indices: how representative are they?

Amongst its gems covering the biases of the indices is this great graphic explaining the source of ‘self-selection’ bias:

hf index biases

Core message: less than one percent of funds report to all the tracking databases. One study puts the impact on the performance figures of this at 1.9% per annum. More worryingly, the cumulative impact of all biases may be as high as 10.7% annually.

Over time that adds up to a lot of dispersion between index providers…

Which Strategy?

Posted by: on Mar 11, 2016 in ArbMaker News! | No Comments

An earlier entry pointed out how many sub-strategies there are under the title ‘long/short’. Take one step back and consider this table from the 2016 Preqin Global Hedge Fund Report (click for a larger, legible version):

rv equity mkt neutral preqin

The table continues for an entire second page but this half makes the point: that’s a lot of headline strategies (before any talk of sub-strategies).

For those who like steady returns with as few shocks as possible ranking this list on the 5 year net return/volatility ratio produces a clear winner in the equity class: RV Equity Market Neutral (our yellow highlight). It is not the best on that ratio overall: two credit-based approaches formerly best known for cameos in The Big Short pipped it.

The top 10 strategies on the return/volatility ratio look like this:

HF strat rankings 2015

For clients running our software it is a useful reference point when designing strategy approaches.

Long-term investing: short-term investing gone wrong?

Posted by: on Mar 9, 2016 in ArbMaker News! | No Comments

It frequently is to those in the hole. Or as Professor Thaler of The Big Short fame says, “Just buying cheap stocks doesn’t do you any good unless they get less cheap soon”.

So consider value as an investment category. Words to the effect that “the market always recognises the economic fundamentals of sound enterprises in due course” are part of the strap lines of value managers: intrinsic value against market prices; 60 cents for a dollar; and so on.

In overvalued and irrationally exuberant markets this approach frequently provides poor returns relative to benchmarks as market participants suspend good sense. Still, after the fallout of such episodes the value manager’s reputation as a paragon of sober logic is burnished.

And thus the proposition that the oft mad market will come round and fully price the fundamentals of a value enterprise remains seductive. So much so that the possibility of the fundamentals coming round to align with prices is frequently overlooked.

Time does not heal all mispricings. Much can go wrong as it elapses – and as the architecture of financial markets evolves.

Last month, for example, Francis Chou was reported by Bloomberg as returning his 2015 advisory fee in an act of solidarity with his investors who lost 22% in his Opportunity Fund. Mr. Chou had a poor 2015 but, historically, is a strong value manager – as he points out in the article by referring to his great long-term record. Still, 22% is quite a drawdown to overcome in reasonable time without taking excessive risks.

An outlier? Some readers may be thinking “Warren Buffet” just about now. Below is a chart of Berkshire Hathaway’s performance versus the S&P 500 on a rolling 5 year basis.

Bershire Hathaway performance vs spx

Source: Berkshire Hathaway annual letter, 2015

 Even the King of Value has found the job tougher and tougher since the turn of the century.

What is long/short anyway?

Posted by: on Mar 4, 2016 in ArbMaker News! | One Comment

Long/short – what could go wrong? Hedged positions, protection etc etc etc.

And yet there are headlines like this one:

Here’s Why Long / Short Hedge Funds Are Getting Hammered

One of the problematic aspects of such a headline is that “long/short” is a hard category to define – and there is no consensus around the term. Which leaves plenty of room for whatever angle one wishes to shock and amaze with.

The IAM took a stab at the definition in cooperation with the LSE’s Financial Markets Group a few years ago. They produced the following classification table of hedge fund strategies:

HF strategies

A cursory examination will show that Long/Short is a broad church – and one with some disciples who regularly trek over to the neighbouring tabernacle of Relative Value to worship.

Thus probably it is worth defining precisely what sub-class of strategy is being analyzed before daubing all with the same brush.

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