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ReAKKT: KGHM: hedging copper with the seagull
http://www.reakkt.com/2014/09/kghm-hedging-copper-with-seagull.html
Looking for attractors in the chaos. Saturday, September 27, 2014. KGHM: hedging copper with the seagull. The 14H1 KGHM report. Mentions a copper hedging strategy called the Seagull. Basically, it hedges part of the revenues. 40,5k tons in H2 vs. 283k tons produced in H1, or less than 15%) against copper prices falling below $7,500 / ton. Since the copper price was approx. $6,800 / ton on Friday, the Seagull was in the air:. Notes: see post about visualizing option strategies. Posted by Maciej Janiec.
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ReAKKT: Visualizing option strategies with R
http://www.reakkt.com/2014/02/visualizing-option-strategies-with-r.html
Looking for attractors in the chaos. Saturday, February 15, 2014. Visualizing option strategies with R. It has been a while since I wrote something about options. Recently I found myself in a need for simple tool for visualizing option strategies. Is a combination of a number of option positions - both long and short - and sometimes underlying assets (such as equities) - i.e. it has multiple "legs". To calculate the payoff. Of the option strategy one needs to know:. Probably the simplest options-related ...
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ReAKKT: June 2014
http://www.reakkt.com/2014_06_01_archive.html
Looking for attractors in the chaos. Sunday, June 29, 2014. What the UK grid status data tells us about the renewable energy sources? Thanks to the data available at the UK National Grid Status website. We are able to watch the evolution of the wind power generation in the United Kingdom from May 2009. Over the last three years, the peak wind generation exceeded 20% of the total country electricity demand. Even that this is lower than over 50% in Denmark. This number still looks impressive. However.
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ReAKKT: A first look at the potential arbitrage opportunities in the electricity market
http://www.reakkt.com/2014/06/a-first-look-at-potential-arbitrage.html
Looking for attractors in the chaos. Saturday, June 21, 2014. A first look at the potential arbitrage opportunities in the electricity market. As previously observed, electricity markets can be strange at times. Especially when there are two (or more) separate markets dealing with virtually the same article. Usually such situation leads to arbitrage opportunities. In case of electricity, we often have the separation of the Day Ahead Market (DAM). When differences between DAM declarations are settled.
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ReAKKT: Illiquidity trap
http://www.reakkt.com/2013/05/illiquidity-trap.html
Looking for attractors in the chaos. Friday, May 10, 2013. Another difficult year for some investment funds. Some Polish absolute return investment funds are facing a though year - again. Investor FIZ is down -12.96%. And Opera FIZ felt -12.43%. This may not sound too bad for the recent investors in some of the John Paulson's funds. However, if you take a longer perspective, the numbers start to look much more ugly. Is down -68.71%. From its peak in October 2007, while Opera FIZ. Decreased by -80.45%.
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ReAKKT: Eurogeddon - or how NOT to play Black Swans
http://www.reakkt.com/2012/12/eurogeddon-or-how-not-to-play-black.html
Looking for attractors in the chaos. Saturday, December 22, 2012. Eurogeddon - or how NOT to play Black Swans. Risky bet against ECB. In February this year a new fund aiming at the collapse of the EU was launched. The founders of the fund called Eurogeddon. If the assumed scenario comes true. After some 9 months, the actual fund performance is totally different from what was promised. The fund is 36,4% down since February 22, 2012. And chances of recovering from this drawdown are remote. Recommended Blac...
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ReAKKT: Back-testing value investing
http://www.reakkt.com/2014/09/back-testing-value-investing.html
Looking for attractors in the chaos. Friday, September 26, 2014. I have been recently playing with a fundamental stock scanner designed for the Polish market - GieldowyRadar. This scanner offers a number of predefined strategies based on some gurus stock selection criteria and allows to back-test them over 7 years. The best back-test results are currently produced by "the Warren Buffett" strategy. The average annual return of this strategy is 29.3% vs. -1.85% for WIG index. The answer is - YES! It is als...
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ReAKKT: Monkey business
http://www.reakkt.com/2013/02/monkey-business.html
Looking for attractors in the chaos. Thursday, February 28, 2013. Source: http:/ appfinder.lisisoft.com/ipad-iphone-apps/tremolo-picking.html. A few years ago it was suggested that monkeys can beat professional asset managers. At picking stocks to invest in. Even though the result of the experiment conducted by the WSJ in 1988 was not conclusive, the idea disturbed the investment community a little. And an extensive sales network. With that, you are ready to show your true investment incompetence. Find m...
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ReAKKT: How to consistenly lose the money on the stock market?
http://www.reakkt.com/2014/09/how-to-consistenly-lose-money-on-stock.html
Looking for attractors in the chaos. Monday, September 29, 2014. How to consistenly lose the money on the stock market? I have recently written about back-testing some fundamental investment strategy. Stock scanner for the Polish stock market. The results of the back-test were quite impressive (even if one should not believe in them too much), but can we do the opposite? Can we create a strategy that consistently loses money? YES, we can! My simple "contrarian" strategy uses:. Financial debt / EBITDA 0.
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ReAKKT: Does your asset manager have a substantial stake in the fund he manages?
http://www.reakkt.com/2014/09/does-you-asset-manager-have-substantial.html
Looking for attractors in the chaos. Sunday, September 28, 2014. Does your asset manager have a substantial stake in the fund he manages? I first wrote about the Eurogeddon. Investment fund - the one betting on the collapse of the European Union - in February 2012. Now it is -62% down. I was nonplussed by the simulations presented by the fund marketing team. The execution strategy employed. Also seemed too much aggressive to me, especially taking into consideration the nature of the bet. Find more about ...
