frommi

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? :)

Tanger guided for flat NOI/AFFO for 2018, that is enough for me to conclude that the value is stable. Your opinion is the consensus and the reason i can buy at a discount. *EDIT* It is maybe not in the original "Graham" sense (Price to book) to buy REIT`s below NAV, but why not? Since real estate is at least as liquid as inventory and has a private market with a private market price i see no reason not to. With a large enough margin of safety this should work equally good. And if the company sells assets and buys its own stock it widens this margin further.

I am more of a Graham type investor i don‘t really care about quality. I buy things below liquidation value and only demand that liquidation value is stable or growing. Ideally you have a management team that is aware of that discount, sells assets at liq value and buys back stock. In case of SKT NAV is at 33-35$ depending on the caprate you use. (i would think that currently 6.5-7% is very fair for these assets)

Sold FAST (this was more cash/filler position, maybe i should use BRK for that next time.) Bought a large position in SRC after reading a good writeup (http://clarkstreetvalue.blogspot.de/2018/01/spirit-realty-leveraged-shopko-spinoff.html). (this is my best idea right now beside SRG/SKT and all the netnets.) I am heavy on Retail REIT`s now, looks a bit like one large position (30% of portfolio over the 3 stocks.)

I'm sure this has been discussed at length elsewhere but which platform do you use for your derivatives? Thanks. Interactive Brokers.

bought SKT, and shorted MODN with buying puts@17, selling calls@17 and buying calls @22.

Thanks! Btw. this is the original thread if someone is interested in this: http://www.cornerofberkshireandfairfax.ca/forum/general-discussion/chanos-nice-interview/

Do you have a link with his returns? I have just found this one: http://www.valuewalk.com/2015/11/jim-chanos-return-model/ Of course you can`t view the funds returns in isolation since it is short only. You can only value it as a market hedge, so a 0% return would be pretty good as that because it means you will extract a positive return with rebalancing and lower drawdowns. Especially when you withdraw money for retirement spending this is very important. At the moment i think i have a huge advantage over chanos because i can use options whereas i don`t think you can do that with 3-6 billion $ in AUM. So i can concentrate on the best shorts and have a limited downside. If i had for example 10 million $ i might be too big for netnets already but i still think i can buy and sell options on my shorts.

Sold some puts on HCSG,IT and WAB to rebalance the delta adjusted position size in the short portfolio back to equal weight and at the same time adjust my net long exposure back up to 25%. (107% long, 82% short) Because of the falling market my short exposure with options gets bigger with each fall, so i have to adjust that. Bought more MPW, STOR and SRG with the money. I am just 4 months into the "quant" short journey but i am more and more under the impression that it is much easier to create alpha on the short side, at least at the moment. I begin to understand why Chanos is just long indices and short single stocks, with higher AUM i am inclined to follow that path. (or maybe it just depends on the market valuation level, don`t know.)

Haha, but it is really fun especially the last days. :)

In hindsight that was not a good idea and i sold the future for a slight loss. Timing was really miserable and i punched myself several times for that move. What i wanted to achieve was to increase my net long exposure without having such a high impact on my available margin. But it felt wrong all the time. Next time i will probably just sell some of my puts. But my real problem is that most of my netnets are not marginable. Has someone an idea to change that?

Sold a put (closed a short position) on BF.B because it didn`t fit my short strategy anymore. Bought some more WSE:SOL,WSE:NTT,WSE:KDM,TYO:7922,TYO:9885,HKG:0398,ASX:MHI for the NCAV portfolio. Sold puts on EAT. (a long position) Bought MPW, FAST and ES futures to bring my net long position back up to 25% (120% long,95% short). ------------ Pretty fast market, so i had to do a little more: Sold puts on OTEX because the last numbers were not that bad and i had to increase my net long position, now 30% long.

Fear of inflation and higher rates, it looks like a replay of 1999/2000.

I also bought it on tuesday before the press release as a NCAV stock at 55-60% of NCAV. The press release came after or at the close and after reading the press release i was not sure how the liability side of the balance sheet will look like. I made 15% on this, but who cares it was on just 700 shares. I planned to buy more the next days if i had a better view of the situation, but the news and the price moves killed my plans. Since it doesn`t trade below ncav it doesn`t fit into my strategy anymore.

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. STLY just filed a proxy with a pro forma balance sheet, that doesn`t look very promising. I sold the few shares i got. Its only a good investment if they are able to collect 100% of the notes and they are able to use the NOL`s. But since the tax reform NOL`s are much less valuable than before.