Publications by R on OSM
Calling covered data
In our last post on covered calls we introduced the CBOE’s buy-write index (or BXM), whose underlying is the S&P500 index. We looked at some of the historical data, made a few comparisons between the index and the S&P, and noted that there was a report that analyzed the buy-write index. In this post, we’ll look at some of the findings from th...
7107 sym R (5733 sym/1 pcs) 6 img 5 tbl
Calling covered data
In our last post on covered calls we introduced the CBOE’s buy-write index (or BXM), whose underlying is the S&P500 index. We looked at some of the historical data, made a few comparisons between the index and the S&P, and noted that there was a report that analyzed the buy-write index. In this post, we’ll look at some of the findings from th...
7107 sym R (5733 sym/1 pcs) 6 img 5 tbl
Playing with averages
In a previous post we compared the results from employing a 200-day moving average tactical allocation strategy to a simple buy-and-hold investment in the S&P500. Over the total period, the 200-day produced a higher cumulative return as well as better risk-adjusted returns. However, those metrics did erode over time until performance was essentia...
4395 sym R (7297 sym/1 pcs) 12 img 2 tbl
Playing with averages
In a previous post we compared the results from employing a 200-day moving average tactical allocation strategy to a simple buy-and-hold investment in the S&P500. Over the total period, the 200-day produced a higher cumulative return as well as better risk-adjusted returns. However, those metrics did erode over time until performance was essentia...
4395 sym R (7297 sym/1 pcs) 12 img 2 tbl
Valuation hypothesis
In our last post on valuation, we looked at whether Apple’s historical mutiples could help predict future returns. The notion was that since historic price multiples (e.g., price-to-earnings) reflect the market’s value of the company, when the multiple is low, Apple’s stock is cheap, so buying it then should produce attractive returns. Howe...
7212 sym R (3824 sym/1 pcs) 6 img 3 tbl
Valuation hypothesis
In our last post on valuation, we looked at whether Apple’s historical mutiples could help predict future returns. The notion was that since historic price multiples (e.g., price-to-earnings) reflect the market’s value of the company, when the multiple is low, Apple’s stock is cheap, so buying it then should produce attractive returns. Howe...
7212 sym R (3824 sym/1 pcs) 6 img 3 tbl
Null hypothesis
In our previous post we ran two investing strategies based on Apple’s last twelve months price-to-earnings multiple (LTM P/E). One strategy bought Apple’s stock when its multiple dropped below 10x and sold when it rose above 20x. The other bought the stock when the 22-day moving average of the multiple crossed above the current multiple and s...
10111 sym R (6043 sym/1 pcs) 8 img 5 tbl
Null hypothesis
In our previous post we ran two investing strategies based on Apple’s last twelve months price-to-earnings multiple (LTM P/E). One strategy bought Apple’s stock when its multiple dropped below 10x and sold when it rose above 20x. The other bought the stock when the 22-day moving average of the multiple crossed above the current multiple and s...
10111 sym R (6043 sym/1 pcs) 8 img 5 tbl
SKEWed perceptions
The CBOE’s SKEW index has attracted some headlines among the press and blogosphere, as readings approach levels not see in the last year. If the index continues to draw attention, doomsayers will likely say this predicts the next correction or bear market. Perma-bulls will catalogue all the reasons not to worry. Our job will be to look at the d...
12918 sym R (7693 sym/1 pcs) 12 img 3 tbl
SKEWed perceptions
The CBOE’s SKEW index has attracted some headlines among the press and blogosphere, as readings approach levels not see in the last year. If the index continues to draw attention, doomsayers will likely say this predicts the next correction or bear market. Perma-bulls will catalogue all the reasons not to worry. Our job will be to look at the d...
12919 sym R (7680 sym/1 pcs) 12 img 3 tbl