Hedging Tail Risk, Net Payout Yield, and Are You Ready for S&P500 270?

Oh nice!  Dividend and net share issuance data back to the 1920s!  Report back any great findings or studies you run. (HT: Sea for inspiration).

Would love to see an update paper with Dogs of the Dow, Net Payout Yield, and other traditional stock screens compared.  Gazillion posts in the archives on the topic (one here).

I’ve already completed some really interesting research – just trying to figure out what to do with it as usual…


Some fellow was on TV this AM making forecasts as to what the market should do.  I believe that it is very difficult to forecast (at least consistently and on target) an uncertain future.  That having been said, I pulled up some max and minimum Shiller PE Ratios from the past 100+ years.  The minimum was around 5 (1920s and 1930s) and the maximum around 45 (1999).  Currently the Ratio is around 20.

Using those PE Ratios takes the S&P500, currently at 1070ish (wrote this yesterday) to 270 (down 75%) and 2405 (up 125%).



Is Today Your Lucky Day? (great safe for work video)


Tons of chatter about black swan funds and tail risk funds out there right now (which makes me think a lot of people are going to be sorely disappointed when they lose $ in these funds).  We were talking about how someone should launch an ETF on the strategy about 6 months ago.  Any public funds yet?

PIMCO Launches Black Swan Protection

DB Tail Risk Hedging and DB ELVIS and DB EMERALD

Is it Possible to Hedge Tail Risk

Talk of the Town

Condor Options