frommi

Shorted TWLO by Selling calls with a strike of 27, buying puts@27 and calls@36 in equal proportions july 18 expiration. Shorted DERM by Selling calls@30, buying calls @40 and selling! puts @30 september strike. But sold only 1 put for every 5 calls. That way everything from 4$ to 35$ is a profit with a max loss at or above 40$, with the stock currently at 31$. Crazy volatility in the options. Net exposure down to the minimum level of 10%.

Thanks!

I measure 1, 3 and 6 months return of each currency against the USD and then create a rank for each currency. So its just the past price movement.

If someone wants to understand currencies i can recommend the currency article series from Ruerd Heeg on Seeking Alpha. https://seekingalpha.com/article/4139335-best-currency-positions-february-2018 In general i think you want to be in a currency where short term interest rates are higher than inflation (and 10y bonds are a good proxy for that) and that is undervalued on relative purchasing power. That way the purchasing power of your money is maximized. Ideally the interest rate in the country you want to invest in is higher than in the country from which you exchange, that way you also get paid for the exchange so you have a positive carry. And of course despite the fundamental side, momentum also works but the effect fades after 12-15 months. At the moment the mexican peso is the best currency to be in, and the € momentum is already starting to fade. Going forward i don`t think the € is a good currency to be in, even if slightly undervalued against the dollar, because the spread between interest rates and inflation is pretty high, you are losing roughly 1.7% every year to inflation and the central bank is far from closing that gap. In the USD you are losing just 0.9% and the central is on the run to close that gap this year. The USD is now in the middle of the pack fundamentally, but the worst by momentum so it is not the best currency to be in, too. And btw. i think currencies are just a big hassle, they only add volatility and frustration if unmanaged and hedging is very cheap in the form of futures. So not doing it and finding pseudo arguments like "they even out over the long term" is just an excuse for being lazy! :)

I was also able to get a couple of shares of STLY, but that amount is immaterial to me. Do you understand the implications of the latest 8K filing? I am not sure that i am able to predict how the balance sheet/NCAV will look like next quarter. I sold TYO:6907 (reached NCAV) and bought more SGX:B9S, SGX:BTG and HKG:0422.

I found an even better method. When IV is between 25% and 50% i create a synthetic short with an embedded stop loss by selling ATM call options, buying the same amount of OTM call options and a smaller amount of ATM put options. That way you can have 0$ option premium ticking against you and still have limited downside and >100% upside. And when IV > 50% i sell a very small amount of ATM put options (10% of the calls) in addition to the calls, with IV so high you only lose if the stock goes up by 20% and everything below ends with a profit. And because of the OTM call option your losses are also capped.

I have to say thank you for your question. After thinking about it i realized that i never really questioned my put strike selection, so i did some tests today. Using the probability distribution from Montiers paper i tested it with several strike prices and stocks. I realized that my selection was in some cases flawed and i will change this in the future. In general it looks like it is best to use higher strike prices for puts with high implied volatility(>30%), but with lower imp vola it makes more sense to use ATM (~25-30% impl. vola) or even 10-20% OTM options (20% impl. vola and highly levered stocks). But only if >=1 year put options are available, otherwise i would stick to higher strike prices, this is most equal to direct shorting and has the highest probability to end in the money.

I sell netnets at NCAV, but after 1 year i reassess the situation and when i find something a lot cheaper i make the switch. I can recommend the short screens that James Montier mentioned in 2008, here is a link: http://www.designs.valueinvestorinsight.com/bonus/bonuscontent/docs/Montier-Shorting.pdf I only buy in the money put options where the strike price is 5-20% above the current price. (implied volatility is normally lower on higher strikes). Ideally the implied volatility you pay is lower or equal to the historical volatility of the stock.

sold a japanese netnet (holding period over), GGP (I don`t expect a bid that is much higher from brookfield and think that SRG offers more value now) and bought more KDM Shipping, SRG, TSLA puts, KRNT puts, IT puts, ERI puts, SPNS puts, RBA puts and OTEX puts. Reduced net long exposure from 25% to 15%. The puts are based on profitable short screens, so the selection is purely based on financials. (F-Score,Asset growth,Accruals,M-Score)

Happy New Year!

6% in €, 20% in USD. Currencies -13%, Puts/Options/Hedges -8% (mainly index puts), Longs +27%. Long side very diversified (~60 holdings at the moment, 50% netnets rest dividend growth stocks/REITs). Learnt a lot about currencies and shorting this year. Going into the year i had a rough idea of a netnet system and a hedging system over the summer with index puts. After the losses in currencies i read a lot and improved my investing process. I did a lot of backtests on portfolio123.com. (somewhere around november, so it didn`t really change results this year). Changes/Improvements: - improved my international netnet-system, added past 5 year maximum price/ncav and size to my selection criteria. - startet a currency system based on RPPP, carry, term spread and momentum - started a dividend growth system based on value, beta and estimated growth in the middle of the year to get cashflow for living expenses and lower drawdowns on the long side during market corrections. (even though it is a diversified, defensive buy and hold system to minimize taxes and fees it unexpectly outperformed the market.) - started two concentrated shorting systems with put options that are active all the year instead of just the summer - net long exposure will be a function of CAPE. (learnt from reading hedgefund wizards and thought this is a good idea, maybe i play around with this a bit over the year) - will concentrate a little more on the long side in the future, started this already with bigger positions in SRG and PBSV. I think i found the way to invest that best fits my personality now and i am really curious what 2018 will teach me. Congratulations to all, the average results in this forum are really impressive!

SRG. Currently undervalued on 2018 numbers and high returns on capital for a long time. Don`t know any other stock where these two attributes come together.

SHOS

SGX:BTG, http://www.cornerofberkshireandfairfax.ca/forum/investment-ideas/sgxbtg-hg-metal

SRG and more puts on IRWD,RGEN,AMZN,NFLX

more SRG and SHOS

I don`t think that i have that much knowledge, but i would go with Randgold at the moment. GOLD and RGLD are the only blue chip gold stocks i know that handle outside investors well and that outperformed the goldprice over the long run.

That sounds rational to me. Could get interesting tonight.

More puts on HCSG. I still think they fake earnings and that it is unreasonable to assume that they don`t have the same problems with healthcare operators like OHI or other REITs have with them.

=GoogleFinance("NOKUSD") works for me.

WPP PLC CVS

I don`t know if this is a fraud but HCSG is manipulating net income by a lot. They are not able to collect receivables and at some point have to write them off. Their clients are mainly SNF and other healthcare facility operators. But the market is ignoring this fact and values the company on net income and past growth (which is unreasonable to be repeated and probably only fictious, because the growth comes from near-bankrupt clients.) I except it to fall hard in the next bear market, its maybe worth 20-30% of the current marketcap.

Long term ITM puts on TSLA and SCHW.

PBSV

Puts on HCSG and RGEN. In both cases operating cashflow is shrinking since several quarters while net income is growing and both trade at absurd valuations based on net income. Additionally RGEN will lose >30% of its revenue in 2021. (source: https://www.biocentury.com/bc-extra/financial-news/2017-09-26/repligen-precarious-waters-after-ge-launches-house-resin)