Stocks - I read a macro paper about a 50-year market-beating strategy. Here’s my layman’s summary and analysis. |
- I read a macro paper about a 50-year market-beating strategy. Here’s my layman’s summary and analysis.
- The Motley Fool podcast has their analysts recommend a stock each week to "put on the radar". Let's see how they've done so far this year
- Possible scam in the comments of stock related videos
- Has Peter Schiff always been a permabear?
- Didi app suspended in China over data protection
- What are your favorite "hold forever" stock investments?
- How do you play during a recession/depression?
- MSFT stock - Best performing stock of all time?
- Started investing in January, finally hit positive return!
- ��Options Trading��
- My dad keeps saying to sell and doesn’t believe in DCA
- Please poke as many holes as you possibly can in my thesis
- S&P 500 Trends
- What are the differences between SPY, VOO, and SPTM?
- What will happen when the FED starts tapering? Are we going to crash 50%?
- How much of your net worth is into stocks?
- Thoughts on Algos?
- Computing chip related suppliers
- Does the stock market just go up forever?
- A cautionary tale for new options traders and Bigfoot researchers.
- Help needed: Gooogle Spreadsheets pulling WSJ Data
- Are my price targets accurate?
- If my portfolio was 50/50 MSFT AAPL what would happen?
| Posted: 04 Jul 2021 09:33 AM PDT Hey guys - been doing a lot of reading recently and figured I should share some of the cooler stuff with the community. I whipped this up quickly but can do a more in-depth dive for this and other papers if there turns out to be interest. The paper is called A Half Century of Macro Momentum by Jordan Brooks of AQR Capital. They're a quant fund that runs a number of successful strategies. Nothing I say here is investment advice by the way, and I do recommend checking out the paper if interested. - - - Executive Summary (given in paper) I outline a systematic and diversified approach to global macro investing grounded in economic theory, and detail its performance over the last half century. The analysis shows that the strategy has the potential to deliver strong positive returns, low correlation to traditional asset classes across various macroeconomic environments, and to provide diversification in bear equity markets and rising real yield environments. This systematic global macro strategy appears to be a complement to other alternative risk premia — such as trend-following and long-short value, momentum, and carry strategies — and does not appear to be fully exploited by existing global macro managers. - - - My Summary (in layman's terms) Global macro is a type of investing that involves looking at macroeconomic factors, well, globally. These factors include stuff like unemployment, business cycles, interest rates, international trade, and monetary policy (actions of the Fed and central banks around the world). Global macro investors make predictions based on studying these factors to figure out their outlook for the economy, and invest accordingly. This means their investment universe is much larger than just stocks. They look at long-term government bonds, currencies, and interest rate-affected assets (like short term bonds). Momentum trading is a strategy that typically involves looking at trends in stock prices and assuming that those trends will keep on going for a short period. For example, if there is upward momentum on a stock, momentum traders want to get in now while it's still going up. Clearly, this is usually a short-term trading strategy. In a nutshell, macro momentum is a macro investing strategy that pulls from momentum strategies. Instead of looking at price trends, it looks at macroeconomic trends. It goes long (buys) assets that have positive macroeconomic indicators (explained below) and short (sells) if vice versa. The four asset types this strategy looks at are stocks, currencies, long-term government bonds, and short-term bonds (the paper calls this "global interest rates"). The four macroeconomic indicators this strategy looks at are business cycles (generally, how is the economy doing), monetary policy (what is the Fed doing, is it conservative or aggressive), international trade, and risk sentiment (are stocks going up or down). Exhibit 1: Summary of Macro Momentum Indicators Let's talk through how I think about this, starting with the column "Increasing Growth." If the economy is doing well, people have money, so they invest their money into stocks, making the outlook good for stocks. Stocks usually give more of a return than bonds, so their demand goes down, as does their price, making the outlook worse for longer term and shorter term bonds — I'm aware this isn't the full picture but it's how I think about it, bond folks please chip in if you'd like to add anything here. Growth is good for currencies as it is accompanied by more business and foreign investment, meaning more demand for the currency - the paper talks about the Balassa-Samuelson hypothesis here, which pretty much says countries with high productivity and therefore prices for tradable goods have higher prices for services too (developed countries vs. developing countries). Moving to int'l trade, this is captured by looking at whether the currency is depreciating (getting weaker, purchasing power decreasing) on a 1-year basis. Depreciating currency is good for stocks (because our currency is weaker compared to int'l currencies, our goods are relatively cheaper and there's more demand for them and the companies that sell them), bad for currencies (similar idea to momentum, if currencies have been depreciating, we expect them to continue), and bad for bonds and interest rates. For this last bit, here's how I think about it — if my currency is depreciating and getting weaker than other currencies, global investors don't want to be holding it (effectively, its "price" is decreasing). Something that makes a currency attractive is a high interest rate, so parking your money in that currency earns you interest, so a weakening currency's central bank has less incentive to decrease rates. The price of bonds and other interest rate products increases as rates decrease, meaning this environment/scenario is overall negative for bonds. Monetary policy, captured by looking at 1-year changes in the yield curve - this is where the x axis is the term of the bond and the y axis is the interest rate paid, it's usually upward sloping in a good economy and downward in a bad one. If the Fed gets tighter (money printer out of ink), this is bad for stocks and bonds because there's not as much money to go into these; and it's good for currencies because it decreases the money supply and increases interest rates (more int'l investment into our currency). Finally, the risk sentiment is captured by looking at 1-year stock market returns. Increasing risk sentiment is when the stock market has strong returns. This is good for stocks (momentum) and currencies (int'l investment into our stocks), and bad for bonds (who wants to invest in bonds when stocks are doing so well). - - - Creating a Macro Momentum Portfolio With this in mind, we now want to create our macro momentum portfolio. This will consist of a long-short portfolio (LS) and a directional portfolio (D) for each combo of indicators and assets. So there's four indicators times four asset types times two types of portfolios meaning we'll have 32 "sub" portfolios total that we'll then combine into the final macro momentum portfolio. LS — these are market neutral. This portfolio takes a long position in assets with favorable trends (above the average) and short for the assets with unfavorable trends (below the average). Because we're doing all this with the average in mind, there's a theoretical neutral exposure to the market, meaning this should perform despite market movements. D — these take long positions in assets with favorable trends and shorts in assets with unfavorable trends, meaning there's no computation of an average, and the portfolio can be long or short-exposed. So we have a LS portfolio for stocks using the economic growth (business cycle) indicator, a D portfolio for the same, an LS for stocks using int'l trade as an indicator, a D portfolio for the same, etc. Once we have the 32 total, he aggregate macro momentum portfolio is created by taking an equal weight across all 32 asset-indicator portfolios. It's easy to get lost in the specifics here, so I'll repeat what we're doing from a bird's eye view again. We're looking at 4 macroeconomic indicators from generally the past year, applying those indicators to 4 asset classes to make a table like the above, and then pretty much using those indicators to predict how the asset classes will perform over the next year. Rebalanced annually. - - - Performance This portfolio was tested from Jan 1970 to Dec 2016. That means it's seen the bear markets of 1987, 2000, and 2008, but not 2020. It's also seen recessions, wars, stagflation, and disinflation. Here are the results in a table: Exhibit 3: Macro Momentum Strategy Performance since 1970 Let's unpack this. Looks like a consistently market-beating strategy that is un-correlated with the stock and bond markets. One question you might have is, "if this is so good, why doesn't AQR just invest fully in it?" The best answer here is probably liquidity — as a fund with ~$150B in assets, it's impossible to employ your capital all in one strategy without affecting prices enough that you'd no longer be beating markets. Also, AQR's only been around since 1998, and although I'm sure they had this research in some way or another before the paper was published, it did just come out in 2017. The table shows a CAGR for the strat (without accounting for inflation) of 13%, compared to 8.41% for the S&P. It beats its composite assets' returns in rising yield and falling yield markets, in bull runs and bear markets (on average), and has a higher Sharpe Ratio than the S&P for the period (1.2 vs. around 1.0). It's non-correlated with bonds and has something of a negative correlation with stocks. Does the latter number mean it goes down when stocks go up, meaning it's gone down for the majority of the period. No. The paper calls the returns of the strategy a "smile" compared to stock returns. Here's a graph. Exhibit 2: Quarterly Returns, 1970-2016 When stocks are up, this portfolio is up a bit too (that's called a slightly positive beta). When stocks are down, this portfolio is up a whole lot (a very negative beta). On average, the portfolio has a slightly negative beta compared to stocks, as mentioned earlier. Thanks for reading. As I said earlier, I wanted to do a quick and dirty write-up since idk if this is something people want to read. If there's interest, I'll do more (will probably revisit this first, make the summary about 2x longer). Either way, seems pretty cool. I'm making an automated algorithm to track this strategy right now. Can't go tits up. [link] [comments]  |
| Posted: 03 Jul 2021 05:21 PM PDT I enjoy listening to the Motley Fool podcast each week for a wrapup of the markets. But when it comes time to each picking a stock "to put on their radar" I often feel they are pushing something they or the company just want to do well. Often they recommend stocks out of the blue. Sometimes they say "I just entered a position" but they barely know the companies. So it seems a little weird. I went back and looked at the results for the first half of this year and broke it down by each analyst. I also wanted to see if they had any impact on the stock movement 1 day or 1 week after the show. There have been 21 podcasts through the beginning of June. Results: Average return after 1 day of show: -.058% Average return after 1 week of show: .05% Average return after 1 month of show: 2.58% Average return if you bought and held to date all stocks: 7.87% S&P during same time frame: 13.71% Of the analysts, here is the return for each: Jason 15.15% Ron -0.14% Emily 11.10% Andy -5.16% [link] [comments]  |
| Possible scam in the comments of stock related videos Posted: 04 Jul 2021 10:40 AM PDT So I was watching youtube videos about stock market crashes and on one particular video found something that peeked my interest and got me doing some investigative work. There were two comment threads by different accounts that were almost exact copies to each other and in both of them it ended with a person asking for a financial advisor. And both threads recommended the same financial advisor. If you want to see the comments, here are screenshots: How the comment thread goes:
I google the name of the financial advisor:
Few things I found weird that makes me think it's a scam:
Anyway, I'm not a financial advisor nor is this financial advice, just found something that in my eye looks like a scam. I don't know what's the key takeaway from this, maybe to not trust everything you see on the internet as it may not be a real person commenting and might just be made up entirely. [link] [comments]  |
| Has Peter Schiff always been a permabear? Posted: 04 Jul 2021 11:05 AM PDT I was reading an article written by Peter Schiff and I started wondering if he's basically always been a bear. Most of his interviews and lectures are always about the impending doom of the US market. He also seems like an angry guy most of the time. Has he ever been a bull on the US market at any time in the past? Just wondering. [link] [comments]  |
| Didi app suspended in China over data protection Posted: 04 Jul 2021 07:09 AM PDT BEIJING, July 4 (Reuters) - China's cyberspace administration said on Sunday that it had ordered smartphone app stores to stop offering the ride-hailing firm Didi Global Inc's (DIDI.N) app after finding that Didi had illegally collected users' personal data. The Cyberspace Administration of China (CAC) said on its social media feed that it had ordered Didi to make changes to comply with Chinese data protection rules. It did not specify the nature of Didi's violation. Didi responded by saying it had stopped registering new users and would remove its app from app stores. It said it would make changes to comply with rules and protect users' rights. [link] [comments]  |
| What are your favorite "hold forever" stock investments? Posted: 04 Jul 2021 01:38 PM PDT What are some of your favorite long term "set it and forget it" plays? I am currently 23 years old and will obviously sit on and contribute to my Roth IRA until I retire. Any suggestions? My current portfolio includes things like: $VTI $BRKB $MSFT $V $AAPL $VXUS $FTNT [link] [comments]  |
| How do you play during a recession/depression? Posted: 04 Jul 2021 09:09 AM PDT There are signs everywhere that a huge crash is coming and it'll take years for the market to recover. How do you prepare yourself for such an event? What are the best steps that we can take now, and what are the steps we take when we're in one? TIA. [link] [comments]  |
| MSFT stock - Best performing stock of all time? Posted: 04 Jul 2021 01:37 PM PDT I understand that AAPL has highest market cap, but if you look only at the graphs of the 2, it seems like MSFT has like steepest curve. Kind of insane. I've been watching it the last few days and everyday its going up 2%, 2%, 2%. What is going on? I feel like I should have put more money in MSFT that's what I feel like this past week. Anyone else feel the same or care to share opinion on this? [link] [comments]  |
| Started investing in January, finally hit positive return! Posted: 04 Jul 2021 12:18 AM PDT I've been gradually investing more and more money, until I'm now at $1.2k AUD invested. During this time I've always had an overall negative return, but I checked this weekend and I'm finally in the positive! Only +0.24% but it feels good to finally see some improvement. Onward and upwards from here, hopefully! [link] [comments]  |
| Posted: 04 Jul 2021 09:50 AM PDT question 🙋♂️. Say stock XYZ is $100 and I think it might go to $105 because I feel bullish on it. Is selling a covered call on this XYZ stock a legit strategy? I 'sell' the covered call, not 'buy' it, correct? I apologize if this seems basic. I am trying to learn options and just want to be sure I'm grasping this idea of me owning 100 shares of something and being able to sell covered calls based on this. Thank you for any insight that you may have, I am deeply grateful. Happy 4th. [link] [comments]  |
| My dad keeps saying to sell and doesn’t believe in DCA Posted: 04 Jul 2021 12:48 AM PDT For those of you who are typical DCA index investors, how would you urge someone to stop trying to time the market and to just buy into it. He thinks he can time the market and missed out on like 30 years worth of returns. I showed him the bob DCA article and he thinks it's BS. Thoughts? [link] [comments]  |
| Please poke as many holes as you possibly can in my thesis Posted: 04 Jul 2021 02:36 PM PDT Hi guys, Recently I've been bullish on Rite Aid - perhaps foolishly so. I've spent sometime putting this thesis together so I want you to poke as many holes as you possibly can in it. I'm not looking for confirmation bias, I'm looking for someone to challenge me to help me catch my blindspots.
Now that you've reached to this line, you may ask yourself, where is the but? Why Rite Aid is trading so cheaply.Well, don't worry, I got you!Rite Aid's debt is considered very high
Now ask yourself, is $RAD worth the risk? It is up to you. I personally think it is just a matter of time before someone competent can figure out how to turn in major profit out of $24+ Billions in revenues. and I'm having a hard time believing that a company that has +2500 pharmacy and a PBM system along with an ice cream brand is valued at $890M only. Let me know what you think please! (Position: around 13K bought @ different prices) [link] [comments]  |
| Posted: 04 Jul 2021 11:13 AM PDT Thought exercise: Is it as simple of using S&P annual charts, overlaid on top of of one another, YOY from January to December to "predict" entry/exit points using periods of strength and weaknesses during the year? From the article, the chart was overlaid with annual S&P charts in periods of 15 years and 30 years. Does this form an actual pattern? I suppose some events are predictable in that it happen at the same time each year, e.g earnings, Fed notes, unemployment #, etc. https://vantagepointtrading.com/stock-market-seasonal-trends-sp-500-seasonal-trends/ The chart shows how the price tends to move at different times of the year. Since the stock has a long-term upward bias, the seasonal charts reflect this. The S&P 500 rises, on average, year-over-year which is reflected in the chart moving from the lower left to the upper right of the chart. The S&P 500 usually moves lower in January, putting in lows near the start of February. The price then starts to rise, although February also isn't usually a great month, as shown in the chart below. By mid-March prices are often rising and often peak in early May. The start of May is usually when a weaker phase for the S&P 500 begins. The weak period typically lasts until late August. The only exception is that mid-June to mid-July tends to see some strength, but overall not much progress is made during the summer months. This explains the trading expression "Sell in May and go away." In late-August stocks are often forming bottoms and starting to advance. Mid-September to early October is also typically a weaker period. It not until we get into October that prices really start to move out of the summer lull. Prices are typically strong through to the end of the year. [link] [comments]  |
| What are the differences between SPY, VOO, and SPTM? Posted: 04 Jul 2021 06:41 AM PDT It appears that SPY and VOO are two of the most respected ETF's. At $400 per share I opted for 7 shares of SPTM at $50. SPTM has similar return rates to SPY and VOO. Are there any major differences to be aware of? Should I switch to SPY or VOO when I have enough money to do so? Thank you. [link] [comments]  |
| What will happen when the FED starts tapering? Are we going to crash 50%? Posted: 04 Jul 2021 03:06 PM PDT I feel slightly nervous as of late with the market although of course I'm happy "making money" (on paper of course). What do you really think will happen though this fall? This winter? Later? I'm fairly confident that Jerome Powell is an expert at all this stuff and must be one if the most capable, if not most capable, person doing his job. So when the FED starts "tapering" are we going to correct or crash? Some say the Fed has already begun tapering? Do you honestly think that the market will sell off 50% or more? I myself don't think that is realistic or that the Fed would even let it happen? I'm obviously no market expert or economist, as I'm sure you can readily tell lol, but I think if we correct it would be more in the 10 to at most 15% range? I would suspect that a 40 or 50% crash would "kill" the country in its current state? Meaning Americans would really be hurting economically. Opinions? [link] [comments]  |
| How much of your net worth is into stocks? Posted: 04 Jul 2021 01:39 AM PDT Hello I'm 20 this year and I'm just wondering how much of your net worth is put into stocks. I am well aware of the saying "never put in more than what you need to". Currently about slightly less than 1/3 of my net worth is into stocks. Not sure if I should put more in at my age. Current position: 35% nio, 25% meme stocks (i know, I know. But my PnL is already more than tripled), 5% TWTR, 5% in VIAC and SOFI, the rest into semiconductor companies such as AMD and MU. If I'm putting more money, I might add more AMD or some stable stocks like AAPL. What are your thoughts? Happy Independence Day to my US friends too [link] [comments]  |
| Posted: 04 Jul 2021 01:27 PM PDT So I'm kinda new to trading and have been learning about spotting breakouts. One thing I've seen people mention is scanners like Cheddarflow/Blackbox/FlowAlgo that give you alerts about unusual activities. My question is, has anyone ever used an algo? If yes, what's your feedback? Also, if you've ever had a good trade because of an algo, what was the ticker, how much money did you make and what made you trust and go with that specific alert and not the other ones? [link] [comments]  |
| Computing chip related suppliers Posted: 04 Jul 2021 11:53 AM PDT With more and more demand for processing chips, and only expect to grow in the future We have companies like AMD, Intel, Qualcomm that design chip TSMC, Samsung that produce them AMSL that provide machine for the fab what other suppliers in this chain would you recommend adding to watchlist / own? and who are their competitors? [link] [comments]  |
| Does the stock market just go up forever? Posted: 03 Jul 2021 06:03 PM PDT If you zoom out and look at the charts of the U.S markets they are following a non stop upward trend. Other country's such as U.K (FTSE 100) have been stagnant although still showing a small upward trend. What's driving this upward trend in U.S markets particularly? Growth of the U.S economy, global economic growth or just simply growth of the stock market as a financial bubble? Is this trend just going to continue forever? Of course there will be crashes and dips but the overall macro trend! [link] [comments]  |
| A cautionary tale for new options traders and Bigfoot researchers. Posted: 04 Jul 2021 08:12 AM PDT Well mostly just options trading, I am by far not an expert and many others far more knowledgeable as I am fairly new to options trading but I want to share some of my early experiences that I have encountered just to give some context of how things can and probably will go wrong. Decided to sell cash secured puts on NIO stock just before the February crash, I'm just good like that. At a 50$ strike of course I got assigned which isn't a big deal in and of itself but shares fell to 31 a share and I couldn't buy any because I was severely underwater on my new acquisition. Wanted to sell CC but CC at 50$ strike were basically not worth it because the stock could breakout at any time. If I had just kept cash on hand and bought the dip I'd be up 60% percent already vs just broke even. Bought calls on Palantir during the same crash figuring it was probably a sure thing well 350 options were worth 50$ when I sold them close to expiry. If you do trade options do your homework learn about the Delta and theta and iv and all of that, don't over commit because you will experience losing trades in fact it's not easy to win them at all. Good luck out there don't feed the Bigfoot [link] [comments]  |
| Help needed: Gooogle Spreadsheets pulling WSJ Data Posted: 04 Jul 2021 03:22 PM PDT Any advice on how to have a cell automatically pull the Stock Price Target Average from he WSJ Markets page for a given symbol:\ Sample page for apple. https://www.wsj.com/market-data/quotes/AAPL/research-ratings For example I use the following to pull the Zacks rating for a given stick symbol (which is in $A2): =TRIM(IMPORTXML("https://www.zacks.com/stock/quote/"&TO\_TEXT($A2), "//*[@class='rank_view']/text()[1]")) Please let me know if this belongs in another comunity. [link] [comments]  |
| Are my price targets accurate? Posted: 04 Jul 2021 03:18 PM PDT Evening everyone, I've recently been getting back into the market. For now, I'm utilizing a stock simulator instead of my real account, which has been out of commission for a while. This time, I want to come in with a different style of investing, I've been looking into some equity analyses on a few blue chips along with a couple focus lists from Wells Fargo and Edward Jones. My timeframe isn't long term at all, I'm looking at exiting my positions 8-12 months from July. I'd like some advice and insight on the price targets I've set for these tickers: Total Capital - $4 000 000.00 (Virtual) Max Per Position - $571 428.50 PTs:
Here are the focus lists for anyone interested: Wells Fargo Edward Jones Let me know if you think these targets are accurate and any thoughts, Cheers! [link] [comments]  |
| If my portfolio was 50/50 MSFT AAPL what would happen? Posted: 04 Jul 2021 02:45 PM PDT If my portfolio was 50/50 MSFT AAPL and I left it alone for the next 5 or 10 years. Would I have a larger portfolio? Would I have the same portfolio? Or would I have less money? I say there's a good chance I would most likely double my portfolio in 5 years at least. [link] [comments]  |
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