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NomadicRiley

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Everything posted by NomadicRiley

  1. Thoroughly enjoyed this book. Thank you @cash_incinerator for the recommendation. My only quibble is his fund appears to be structured like VC / PE where the LPs make commitments and the fund then calls them as needed. This reduces the penalty of "waiting" for these valuation shocks as they have not called the money yet. I wish he'd included a chapter/section on how this strategy impacts overall returns for individual investors who have often have money coming in monthly and the cost of waiting 5+ years between valuation shocks can be quite high as the overall index has likely advanced substantially. This was especially true in the 2012->2020 window when interest rates on cash were so low.
  2. https://static1.squarespace.com/static/5498841ce4b0311b8ddc012b/t/5c4bc50842bfc120277fb927/1548469513395/Greenhaven+2018+Q4+FINAL.pdf
  3. Thank you for the additional details. I was confused because in their previous "7 year forecasts", I had only ever seen them have a category for Emerging Markets, not Emerging Markets Value.
  4. (2nd article in the PDF) https://www.gmo.com/docs/default-source/public-commentary/gmo-quarterly-letter.pdf?sfvrsn=48 Anyone know what GMO uses as their index/fund/etf for "Emerging Markets Value"?
  5. Screen referenced above had a new symbol this week RELL Note this is not the first time RELL has shown up on the screen, was also on it back in 7/2015 and multiple times in 2016. There is also a thread about it already on this board http://www.cornerofberkshireandfairfax.ca/forum/investment-ideas/rell-richardson-electronics/
  6. I ran the screen frommi described above against the Portfolio123 data today and it is only returning 2 current symbols. GIGM GigaMedia LTD MktCap ~33m and NCAV ~57m MSN Emerson Radio Corp MktCap ~35m and NCAV ~52m
  7. Thanks for the screenshot, I was able to get very similar #'s using those rules!
  8. Frommi, Curious as to how you were able to get such promising results. I also have a portfolio123 and just tried a similar simulation using your rules and the results were abysmal (negative annual returns) This is my attempt to mimic your rules above: Buy Rules: ($NCAV2/MktCap) > 1.4 Price > 0.1 Vol10DAvg > 0.1 MktCap < 150 (SharesFDQ / SharesFDPY) < 1.2 ($NCAV2/$NCAV2PQ) < 1.25 ($NCAV2/$NCAV2PQY) < 1.25 Sell Rules: $NCAV2 < MktCap Definitions: $NCAV2 = AstCurQ - LiabCurQ - PfdEquityQ Universe: All Stocks USA Exclude GICS (352010 - Biotech, 40 - Financials, 10102020 - O&G Exploration)
  9. Looking at the "Holdings" http://www.dhandhoetfs.com/junoon/fund The three biggest holdings (AZO, ANTM and TRV) account for over 45% of the fund.
  10. Another blog post about Cooperman http://awealthofcommonsense.com/delivering-alpha-accepting-beta/
  11. Great chart of Omega's returns (even broken down by asset class) in this article on CNBC. http://www.cnbc.com/id/101823194#_gus
  12. http://www.oaktreecapital.com/MemoTree/Getting%20Lucky_2014_01_16.pdf
  13. My understanding under the current interpretation of the Volcker rule is that pure market making is still allowed. I have not heard anyone in the industry mention or imply that the banks will be under any pressure to spin off their market making arms like they were forced to do with their prop and hedge fund arms.
  14. Yes, IBKR is miles beyond any of their brokerage competitors. They also have more than enough internal flow to support their Timber Hill market maker. They are players in the external flow market making area, but not nearly as dependent on it as the Knights and ATDs of the world.
  15. The lack of moat for market makers is partially because it is a secondary business for most of their competitors which provides benefits for their primary business and is not forced to stand alone. In the case of the large investment banks (Citi, Morgan Stanley, Goldman, BAC, etc.), there are multiple benefits: 1. For firms that they have a prime broker relationship with (hedge funds, buy side, prop, etc) they will often stipulate that as part of their prime brokerage agreement the firm is obligated to send their firm through the investment banks infrastructure / market maker and if they chose to route to a different firm they will have to pay additional fees. 2. All of these firms have a substantial amount of "captive" order flow that originates from their retail broker and wealth management arms. Their market maker division gets exclusive rights to this. 3. They view it as a service they are expected to offer as part of an overall relationship with large customers. Not having this capability could be viewed as a negative when pitching large potential clients. The second set of firms that often end up with market making firms are HFT/Prop firms (Wolverine, Two Sigma, Getco before Knight merger). In this case, these firms are already active on the major exchanges running their own HFT algos and trading their own accounts. At some point, they realize that by virtue of being a successful HFT they have created the vast majority of the infrastructure required to be a market maker for client flow and since the majority of the infrastructure can be shared any additional revenue they generate from attracting client order flow will offset the increasingly large costs of maintaining an up to date infrastructure. Furthermore, the idea of having some diversification from prop trading which is heavily dependent on volatility and volumes is extremely attractive. The interesting thing is that most firms don't move in this direction until their HFT profits have peaked because retail market making is far, far less profitable than successful prop trading. The final problem these firms face is that all of their clients have relationships and connections with multiple of their competitors so in the case where a firm does get into trouble, their clients completely abandon them w/in hours. This is what happened with Knight during their blowup. In the couple days between the event and the announcement of the new investor buy-in, the majority of their clients had ceased to send _any_ orders to them. Why would they take even a modicum of risk when they can receive the exact same product at multiple other firms who did not have that same level of risk?
  16. I also work in the industry and agree with constructive. The market maker space is incredibly competitive and provides no sustainable moats. There are often price wars when new entrants enter the market which drives down returns for all participants.
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