frommi

It is based on relative purchasing power, term spread and cash interest rates. The mexican peso right now is very undervalued on rppp (~35%) against the USD and ranks very high on term spread and interest rates. Ruerd Heeg on Seeking Alpha has some good articles on currencies.

What gives you comfort that they got a handle on operations so that they can continue repurchasing shares? I only had a cursory glance through the annual report but it seems like lots of issues with assets. It's cheap, but is management competent and honest? I don`t know. But i know that investing in netnets works and that netnets with buybacks work even better.

Bought EPA:ALVEL, Netnet with 65% upside to NCAV and active share buybacks Bought more SRC calls, spinoff is at the end of the month. Bought a large position in MXP futures in my currency system. (Moves 50% of my foreign currency exposure from USD to MXN)

My list of netnets has 0 in the us/canadian right now. I am down to 9 globally which look good, that is a new all time low record (min. discount 30%).

Thanks, i really appreciate your view. Compounding knowledge was also attributed to reading a lot of annual reports, conference call transcripts, quant papers etc. something i probably wouldn`t do as an armchair investor. The DAX hedge has a positive expected value (at least it had one in the past), you can look at my backtest if you like. Of course its just a backtest, but i would even do it with an expected value of zero because it lowers the maximum portfolio drawdown (who wouldn`t buy an insurance that has no cost?). This was not created with publication in mind, so its probably not that easy to understand: https://docs.google.com/spreadsheets/d/1NeuzDBHovCGqOz0VH0DKVBgUOJRJpB-24c_rgWsTr6U/edit?usp=sharing Expected value for doing it on the Dow Jones is lower (could maybe even improved using a putspread instead of a 5%OTM put), but even there the expected value was slightly positive. And instead of losing 75-80% in the great depression you would have come out of it without losing a lot of money.

My NFLX trade is a gamble, i won`t argue about that and my history with these type of bets is not favorable for me (even though this year i am at +-0 with these type of bets). I still do it from time to time, because i sometimes simply can`t control my gambling habits. But these bets are always very small. I tried to get rid of them by simply having no access to free capital in my brokerage accounts which worked very well in 2016, but since i trade other systems than my NCAV system now (OTC stocks eat all the available margin.) i have to give my gambling habits a little room from time to time. (So i try to control my bad habits by doing them at least half way intelligently.) Other than that i am trying a lot of different stuff and keep doing what works for me personally, the DAX hedge is something i tested and that worked in the past. But of course you can`t get payoffs of 5:1 or 8:1 and win on every single trade. I try to collect a number of quantitative systems over time that suit me and that simply work. My options system for shorting stocks that i tested from Sep 2017 to last month has not worked for me because trading and implementation costs where a lot higher than simulated and expected. So i stopped doing that, even though it was profitable. I am just not the guy who can buy an index fund or AMZN/GOOG/NFLX/AAPL/BRK.B and leave it alone. Its not in my DNA. But my performance over the past 5 years was in line with the market and i expect to do a lot better in the future, especially if we finally get a larger market correction. How do you value the knowledge that compounded over this time?

DAX bear put spread dec 2018, 10000/9400, maxmimum payoff is ~16:1, target is 8:1. For it to reach the payoff the DAX has to fall roughly 20-22% from here and that happens every 4-5 years. This is my "summer" hedge system and has an expected return of 5-7% over time, but the big gain comes from having money to invest after a huge correction. I backtested this for ~100 years and trade it since 2014. In 2015 i did it with normal puts, so the payoff was not that large. I also bought a very small position of NFLX Jan2019 put spread 200/180, because i think that the market forgot that Disney will pull all Marvel content next year and open its own streaming business which will surely be a dent into NFLX growth rates. The payoff is 10:1, target is 5:1. I think these are very good odds and all that is needed is probably the anouncement of Disney that will show that they are on track with their streaming service. Its unbelievable but just 4 months ago NFLX traded at the level required for such a payoff!

Looks like it was fixed last night.

To get prices you can leave out "price". But i tested both versions and none works. MCX:UPRO is something else and NYSEARCA:UPRO doesn`t work. Maybe it is something with Proshares ETF`s that doesn`t work anymore? I also can`t get prices for the ETF "NOBL".

That would be nice, but i doubt it. =GoogleFinance("UPRO") also doesn`t work anymore, any ideas?

I had the same problems, had to rework all my spreadsheets today. USDUSD doesn`t work anymore and some tickers now need the correct stock exchange prefixed. Until today you could get data with FFH.TO, now you have to use TSE:FFH. And they changed the layout on the GoogleFinance site, so for all tickers that are not available directly with the GoogleFinance API i pulled the data from google.com/finance, that also doesn`t work as before. I now use quote.wsj.com to import japanese and singapor stock prices, but the loading takes forever, i would love to see a better idea to get japanese and singapor stock prices into a spreadsheet.

Bought MO,WPP,XOM Covered shorts on HSCG,SPNS,TWLO,IRWD,WAB,RBA. shorted ZB futures with a tight stop above the daily high to protect some of my REIT/dividend portfolio against further increases in the long term interest rate Much more long now than at the start of the year, will keep it this way till the end of april where i will do my normal summer hedging with OTM put options on DAX. Learned a lot the last 6 months about shorting, maybe this helps me get better on the long side but shorting the way i did has increased my portfolio volatility a lot more than i thought, so i will reduce this part of the portfolio for now, even though i made a small profit doing it. But it was not very funny overall. (TWLO has gone up 50% in 3 months and has pretty much sucked up all my other short profits.)

Yes, but rukawa is right, 50m is way to high. The average NCAV stock in my portfolio is between 5 and 50 million and i won`t include anything above 150m because these tend to have lower returns. But adding a filter like >10k daily volume and price > 0.1 should help with the noise, at least in my backtests it did.

Thanks for your answers. I asked about the years because i am under the impression that these type of returns come mostly from the years after a larger market correction, so its probably not something to start after an 8 year long bullmarket. Thats the reason i reduced my NCAV portfolio (from 80%->20% of the whole portfolio right now) and put more money into low beta/high dividend stocks. Maybe at the end of the year i will realize that that was a mistake, but i don`t really find a lot of good netnets right now and i really don`t want to hold crappy cash burning companies in a bear market. My plan is to switch gradually back into NCAV stocks when some good ones re-appear on my screens.

Btw. the 200/100 Jan2020 put spread on TSLA pays 6:1 right now and a 120/100 Jan2020 put spread on QQQ pays 10:1. I can imagine that these are some of the best equity hedges right now. With just 3-4% of portfolio value in these bets you can hedge a whole portfolio for 2 years. I have this little feeling that this year is the year where you want to be protected. ( But i must admit that i had this thought every year for the past 4 years ;D ) Oh and one for the long side: SPG 200/220 jan2020 call spread also pays 10:1.

Thanks! My observation over the last 2 years has resulted in similar conclusions. A large cash balance and/or share buybacks are the things you want to see in a netnet for huge returns. (Still hold SHOS, but my patience is getting smaller every quarter) I have some questions: Was this a backtest with international data? What was the rebalance timeframe? Are the results stable when you exclude really low liquidity stocks like price < 0.1 and daily volume < 10k USD? When you exclude 2009 and 2003 are the returns still that high?

Thanks for posting, might be a good hedge for a dividend heavy portfolio. The Jan2020 95/93 put spread has a payoff of 10:1, that looks like a really good bet.

Posted it already in the other thread, but i think it also belongs here. REITs: STOR / Christopher Volk (http://ir.storecapital.com/interactive/newlookandfeel/4553160/STOR_2017_CEO_Letter.pdf)

Read the latest CEO letter from STOR. (link: http://ir.storecapital.com/interactive/newlookandfeel/4553160/STOR_2017_CEO_Letter.pdf) While the others are surely more discounted, i think that STOR might be the best long term play. I choose BRX from the rest of the pack because they are the most discounted and it looks like they are doing the right thing with asset sales and share buybacks. (And their re-lease spreads are high, at least in the presentations.) *EDIT* And BRX is selling their worst performing locations for a 7.8% caprate but the whole REIT trades at a 8.5% caprate, i think that shows how discounted it is right now.

Covered short call and short put on DERM with a small profit after all volatility was sucked out of the options. In hindsight it would have been better to just use a bear call spread to short it. But damn that vola looked so good, i had to short it too.

reduced SRG and SRC positions to 5% and sold TYO:7922 after a nice pop this morning. bought STOR, SPG, BRX, SOHO, EAT and more WSE:SOL. Invented new rules for position sizing: 3% position will be standard 5% only when the management is shareholder friendly >5% only when i find an NCAV stock far below net cash or a diversified holding company like BRK or MKL. >20% never.

I`ve built on your idea and created a test to show myself that the idea to balance longs and shorts based on something like CAPE10 or regression to trendline improves results further. But i did use results from Montiers backtest instead of Chanos returns from his 2008 paper http://www.designs.valueinvestorinsight.com/bonus/bonuscontent/docs/Montier-Shorting.pdf. For the long side i used the results from the dividend aristrocats, but with SPY returns are similar. https://docs.google.com/spreadsheets/d/1jyYcfKdzxg-Pm1Uc4W57QdlXoXdCUfvh08o8PL6QpAg/edit?usp=sharing So in essence with a static 130%/80% long/short allocation you could have reached 17.8% returns while 100% SPY or NOBL reached a 10% return over that timeframe. But with a variable allocation depending on the current valuation of the market you can reach 20% returns with lower overall drawdowns. And this is without any alpha on the long side!

I see it the same, but i also think that retail real estate is a different animal. If in doubt they can redevelop the properties to other uses. Look what SRG is doing with the old Sears boxes, at least if they own good locations. And i can`t imagine a world where everybody sits at home ordering stuff without going out. That will probably never happen.

Thanks. I will look into KIM, it looks like i was too lazy to do that until now. I have nothing against melting ice cubes, i learned with netnets that these are sometimes the best investments. *EDIT* If i have the numbers correct than KIM trades just at a discount of 30% to NAV if i use the same caprate as for SKT and KIM has a higher debt/NOI ratio. SKT and SRC have to go up by 50% to reach fair value/NAV. Btw. my position sizing is 16% SRG, 10% SRC and 4% SKT, so i wouldn`t see SKT as my absolute favorite.

Maybe you are right, but thinking about it, isn`t it possible that this is both at the same time? :)