Berkshire Meeting

Would like to hear from readers if you think the Berkshire meeting in a few weeks is worth attending.  I’ll be flying back from GA, and really have no reason to go other than the theater and experience of it.  It coincides with the Value Investing Congress which I would drop in on too…

Anyone going to be there?

Template For Understanding What Is Going On

AlphaJuice Monthly

Question for my readers, would you be interested in a monthly e-book/magazine that had about 10-20 of the best articles from the web on portfolio management, trading ,etc each month?  I imagine it would be available online as well as possibly on Amazon, and say $5 per month or $50 per year price range.

The model is Hacker Monthly, also here.  Simple yes/no, and feel free to email me with other ideas as well as thoughts here. I still struggle with how I receive and transmit information, always looking for ideas!

Airplane Reads

Science and Art of Manager Selection (Barclays)

A Primer on the Euro Breakup (Variant)

Below is a chart of the top 5 public managed futures by AUM, kind of reminds me of the old Tom Basso article “Buy Them on Sale” (and actually looks like MS getting this right with their recent bump in managed futures allocation recently).  I also include the LSC ETN and the WDTI ETF and SPY for comparison.

Historically managed futures (which is usually nothing more than simple trendfollowing) is very expensive and waiting for someone to disrupt.   The top 5 managed futures mutual funds have $7billion in AUM while the the average expense ratio is 2.71%.  The average sales charge for the A class is 5.75%.  Talk about SuperFees!

Put Write ETF Coming to Market

I wondered a few months ago why there wasn’t a put-write ETF on the market, and I’m a little slow to this but apparently there is  a put write ETF coming to market (well, if the SEC ever starts allowing these types of funds to market).

Though, 0.95% for an index seems too steep to me (should be ~.5% or so).  Interesting because pretty much all of these ETFs I listed a few months ago have been filed(well at least the serious ones).  I’d still love to see housing but that doesn’t look like it is in the works.  The gold coin market would have to be a closed end or LP fund due to small market cap.

What else are we missing?

Should be some interesting news out next week.




Talk in Newport

After heading to Bermuda this weekend for the hedge fund conference (for the first time – open to suggestions) I’ll be back in SoCal to chat at a Powershares event next week in Newport Beach, details below if you are interested:



SCHEDULE1:00 PM – 1:30 PM  Lunch & Registration
1:30 PM – 3:30 PM  ProgramProgram Eligible for 2.0 Hours of CFP
and Non-IMCA CE Credits


The Resort at Pelican Hill
22701 Pelican Hill South
Newport Coast, CA 92657

Complimentary Valet Parking Provided


Geoff EliasonETF Business Development Officer
Kirk McKenneyRegional Vice President


Contact Ingrid Erickson at 630.684.6874

Details are subject to change.

SPEAKERS INCLUDEWindhaven Investment Management, Inc.Eric Biegeleisen, Director & Research

Cambria Investment Management, Inc.

Mebane Faber, Chief Investment Officer & Portfolio Manager

ETF Strategist Panel

Lattice Strategies LLC, Kristi KuechlerPartner & Managing Director
Lunt Capital Management, Inc., John LuntPresident & Director
Curian Capital, LLC, TBD


Adding a Few New Sites to the Blogroll

Including Trading Economics, Jason Hsu’s blog, and the Institute for International Economics.

Is It Time To Invest In Housing?

Back in September 2007 and October 2008 we talked a bit about applying a simple timing rule to the housing markets.  We found that using a simple trendfollowing approach to the housing indices would have worked nicely if someone could “time” the housing market.  While the housing market is illiquid (and unfortunately, and surprisingly to me, the housing futures never caught on), I think it is instructive as a possible indicator of when to get back in.  Or, if you are a potential first time buyer in no hurry like myself, when to dip your toe in the water for the first time.

Out of the 20 markets Shiller tracks, only 6 are on buy signals (Phoenix, Denver, Washington, Charlotte, Minneapolis, and Dallas) while the others are still on sell signals including both composites.  And all 6 have generated buy signals within the past few months.  I did not include interest on cash balances…


Talking Currencies (Crickets)

The topic that gets the least amount of responses on the blog is FX (for a lot of reasons).  But a quick question for the FX nerds on the list, have you seen any papers as to which currency valuation method has worked the best in the past?

Lots of acronyms here, (PPPs BEERs CHEERs and PEERs) but I don’t think I have seen much on comparing all of them from a portfolio manager or trading standpoint...though here is a nice DB PPT that briefly touches on it.

Do Currencies Have a “Fair Value”?
May 2011
George Saravelos
European FX Strategist

Best Trade Idea Contest

I forgot to post this last week, but Charles Skorina, who is the resource for all things endowment and CIO related, is co-sponsoring a contest and the winner gets a free pass to Drobny’s annual macro conference (open to only 100 or so mostly buy side managers only).  See below:

 Announcing the Skorina/Drobny Best Trade Idea Contest:   

Maybe nobody invited you to Davos.  Again.   

Maybe you saw Steve Cohen once at a Mets game, but he didn’t wave back.   

Maybe Ray Dalio’s 211th Principle is that he won’t return your calls.   

Don’t despair!  You may still qualify for a coveted seat at the Spring 2012 Drobny Global Conference in Santa Monica, California on April 26/27.   The Drobny Global Conference is THE event in global macro and commodities, and it’s standing room only.  They only let about 100 of the best guys in the room – and it’s pretty much all managers, to ensure to “favorite trade” discussion and debate is of the highest quality.   But I, through cunning (and my vast rolodex), have found a way for you to get in.  Just one of you, but hey, they’re turning people down daily.     All you need is a little moxie and a great trade idea…   Here’s how it works:   

1. Create a one-page Word or PDF document with the following required fields. (Keep the length to one page maximum, please!)

  • Name
  • Email Address
  • Name of Employer
  • Theme of Trade
  • Trade Idea (instruments, entry, rationale, etc.)

2.  Send your Best Trade Idea document as an email attachment to:   

3. Wait patiently while Drobny Global Asset Management (DGAM) and Steve Drobny sort through the entries.   Based on the criteria of:

  • Risk/reward characteristics;
  • Liquidity of the investment;
  • Originality of the theme; and,
  • Analytical thought process…

…yours will easily stand out from all the dross!   

4. Lunge for the phone on Monday, April 9, when Mr. Drobny personally calls to congratulate you on your brilliant idea.  

5. Call me to say thank you!     

6. Buy a ticket to Santa Monica, California. (Sorry, travel and lodging are on your dime.)   The contest is open to all Skorina Letter readers, but time is short. You must submit by Friday, April 6th.   Steve Drobny is, of course, the engine behind Drobny Global Asset Management, and the author of best-selling The Invisible Hands and Inside the House of Money, two of the best books out there on what hedge fund managers really do.   Pre-DGAM, Steve worked for Deutsche Bank’s hedge fund group in London, and as a derivatives trader in London, Zurich, and Singapore. He has a Masters from London School of Economics and a Bachelors from Bucknell University.   Wouldn’t you like to corner Steve and make him tell you everything he knows about global macro? Of course you would!   So get busy, you’ve only got until Friday, April 6th

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