jgpietsch@gmail.com

15 Comments

    • Trading Energy Complex Pairs [view article]
      Du Jour -- Very Good, you learn something new everyday if you don't watch out! Aug 08 04:56 PM
    • Mid-Cap ETFs: Why the Middle Is Creaming Small and Large-Cap ETFs [view article]
      Also less susceptible to dollar reversal impact on earnings. May 15 11:16 AM
    • When Bearish Sentiment Hits an Extreme [view article]
      Dr. Steenbarger, Is the AAII data available through subscription only? Thank you. Jan 29 12:38 PM
    • ETFs Cointegrate in 2008 [view article]
      I should have added, "Long/Short" to the above. - J Jan 06 10:46 AM
    • ETFs Cointegrate in 2008 [view article]
      You may want to explore a portfolio of ETFs that are the most above and below the benchmark. Best, Jeff Jan 06 10:46 AM
    • Sharpe Ratios on 2007 ETF Returns [view article]
      Hi Fred, you comment on the slope of the data set is correct! However, I have performed the same analysis on a larger data set and found the same thing. So the shown regression result is indeed rubbish per se, but the point of the finding will hold to further scrutiny. Happy New Year, Gang! Dec 28 02:08 PM
    • Stocks Down, Volatility Down: Historically, a Bearish Sign [view article]
      A good time to buy puts then. Dec 21 12:39 PM
    • What Do Falling Profit Margins Say About the Market? [view article]
      It would be helpful for authors to also cite their information sources. Dec 14 01:11 PM
    • On the QQQQ's Strong Leg Up: Where to from Here? [view article]
      Hi, this is a much catchier title than as originally submitted, which was "NASDAQ100 Up 7% in 10 Days: What Happens Next?" I only point this out because the edited title may seem to present a more bearish attitude than I meant to imply. Best, Jeff

      EDITOR'S NOTE: Author's comment was on piece's original title "QQQQ Set to Cool Off After Strong Leg Up."       Dec 09 03:10 PM
    • NASDAQ 100 Update - 3 Days Down 7+%: Now What? [view article]
      This particular blog thread is getting dull, but to play it out -- here we go. Downward momentum seems to be slowing, if not diverging on an hourly basis; short-term daily RSI is bottomed out; daily pivot S2 seems to be holding; Adjusted Tick is positive (see Steenbarger); the index is nearing in on a 62% Fibonnaci retracement; and the Financials and Transports are starting to pull on a relative basis (come on Semis). I know -- all technical observations that may amount to a hill of beans in this fearful, split market environment!

      As of the time of this mid-day post, the NASDAQ 100 is down more than 10% from recent highs, including four successive down days cumulatively exceeding -9.75%. Again, going back through 1998 (2,480 market days) looking to see what happens the next day when:

      (a) The index is down four days in a row; and,
      (b) The sum total is less than (more negative than) -9.75%.

      We find that of the 15 instances (note how this is becoming increasingly rare), 11 days were positive (+73%) for a cumulative next day gain of +37% or an average of +2.5%. The maximum next day gain was 10.0%, while the maximum loss was -9.7%. The specific instances and next day index change close-to-close (and VIX) are shown in the table below:

      04/13/2000 -9.7% (29)
      09/20/2001 -3.4% (44)
      11/10/2000 -1.9% (29)
      12/15/2000 -0.0% (27)
      06/18/2001 +0.6% (23)
      02/22/2001 +1.2% (27)
      11/30/2000 +1.7% (30)
      06/21/2002 +2.1% (27)
      08/05/2002 +5.2% (45)
      09/21/2001 +5.7% (43)
      07/23/2002 +6.1% (45)
      10/08/1998 +6.1% (46)
      08/31/1998 +6.6% (44)
      11/13/2000 +7.2% (29)
      04/14/2000 +10.% (33)

      Max. 10.0%
      Min. -9.7%
      Med. 2.1%
      Ave. 2.5%

      Today's VIX is straddling 30. Looking at just four successive down days irrespective of degree, there were 49 next day gains (+60%) averaging about +0.8%. I'm sure that I'm dating myself with this link, but remember this b-movie? The five-day MA is proving resistance here for the S&P 500; that taunt link is as good a jinx as any for another downside "outlier"!

      NEVER INVESTMENT ADVICE
      Nov 13 09:06 AM
    • NASDAQ 100 Update - 3 Days Down 7+%: Now What? [view article]
      This particular blog thread is getting dull, but to play it out -- here we go. Downward momentum seems to be slowing, if not diverging on an hourly basis; short-term daily RSI is bottomed out; daily pivot S2 seems to be holding; Adjusted Tick is positive (see Steenbarger); the index is nearing in on a 62% Fibonnaci retracement; and the Financials and Transports are starting to pull on a relative basis (come on Semis). I know -- all technical observations that may amount to a hill of beans in this fearful, split market environment!

      As of the time of this mid-day post, the NASDAQ 100 is down more than 10% from recent highs, including four successive down days cumulatively exceeding -9.75%. Again, going back through 1998 (2,480 market days) looking to see what happens the next day when:

      (a) The index is down four days in a row; and,
      (b) The sum total is less than (more negative than) -9.75%.

      We find that of the 15 instances (note how this is becoming increasingly rare), 11 days were positive (+73%) for a cumulative next day gain of +37% or an average of +2.5%. The maximum next day gain was 10.0%, while the maximum loss was -9.7%. The specific instances and next day index change close-to-close (and VIX) are shown in the table below:

      04/13/2000 -9.7% (29)
      09/20/2001 -3.4% (44)
      11/10/2000 -1.9% (29)
      12/15/2000 -0.0% (27)
      06/18/2001 +0.6% (23)
      02/22/2001 +1.2% (27)
      11/30/2000 +1.7% (30)
      06/21/2002 +2.1% (27)
      08/05/2002 +5.2% (45)
      09/21/2001 +5.7% (43)
      07/23/2002 +6.1% (45)
      10/08/1998 +6.1% (46)
      08/31/1998 +6.6% (44)
      11/13/2000 +7.2% (29)
      04/14/2000 +10.% (33)

      Max. 10.0%
      Min. -9.7%
      Med. 2.1%
      Ave. 2.5%

      Today's VIX is straddling 30. Looking at just four successive down days irrespective of degree, there were 49 next day gains (+60%) averaging about +0.8%. I'm sure that I'm dating myself with this link, but remember this b-movie? The five-day MA is proving resistance here for the S&P 500; that taunt link is as good a jinx as any for another downside "outlier"!

      NEVER INVESTMENT ADVICE
      Nov 13 09:06 AM
    • October 2007 Market Rewind: The Fed Beat Rolls On [view article]
      A quick correction to my article, the magnitude of the back to back cuts are equivalent to 2001, the absolute level of 4.5% was last seen in January '06 -- Cheers. Nov 01 08:27 AM
    • China Rebalancing ETF Pair Trade [view article]
      Recognizing that this was a controversial post based on SeekingAlpha.com commentary, here is a follow through post reporting how the hypothetical China Rebalancing Pairs Trade would have performed through yesterday's close -- a) since posted on the morning of October 11th; and, b) since the FXI's short-term moving average first reversed. These results assume equal dollar weightings and no commissions.

      a) Since Posted (10/11):

      > Short CAF/ Long EWH +14.9%
      > Short FXI/ Long EWH -00.1%

      b) Since First FXI 3-Day MA Down Turn (10/22):

      > Short CAF/ Long EWH +8.0%
      > Short FXI/ Long EWH +5.4%

      A proposed change by the Chinese government to allow share classes to float together no doubt helped significantly. A couple "comments on the comments:"

      1) Note how the use of the long/short combination reduced the risk of "being early" with this trade idea (FXI is actually higher since the 11th).

      2) It is true that the CAF is a closed-end ETF trading below its NAV. It has been my observation, however, that such NAV mispricings often persist for extended periods of time and shouldn't necessarily preempt a short-term trade backed by a well thought out rational.       Oct 30 01:59 PM
    • China Rebalancing ETF Pair Trade [view article]
      Three Month Share Averages -

      FXI - 3.7 million
      CAF - 0.4 million
      WMH - 5.3 million       Oct 12 02:51 PM
    • China Rebalancing ETF Pair Trade [view article]
      Three Month Share Averages -

      FXI - 3.7 million
      CAF - 0.4 million
      WMH - 5.3 million       Oct 12 02:51 PM
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