HOW ONE iTuliper IS INVESTED?

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

Today I opened ~0.5% position in GEX today and ~1.0% position in UYG.

http://www.ise.com/WebForm/viewPage....rue&link1=true

ISEE Index

The ISE Sentiment Index is a unique put/call value that only uses opening long customer transactions to calculate bullish/bearish market direction. Opening long transactions are thought to best represent market sentiment because investors often buy call and put options to express their actual market view of a particular stock. Market maker and firm trades, which are excluded, are not considered representative of true market sentiment due to their specialized nature. As such, the ISEE calculation method allows for a more accurate measure of true investor sentiment than traditional put/call ratios. Because of this distinctive calculation methodology, ISEE has been referenced by The Wall Street Journal, Barron’s and other leading publications as a useful investment tool. Investors and investment professionals can use this unique put/call value to determine how other investors view stock prices, as well as to supplement and validate their own market views. ISEE is free.

http://www.ise.com/WebForm/viewPage....rue&menu0=true from this link, I track the

All Securities

Time	Calls	Puts	Total	ISEE
16:15	398652	550914	949566	72

That 72 final number from today 2/13/08.

Previous Trading Day	72	2/13/08
10-Day Moving Average	93	01/31/2008 - 02/13/2008
20-Day Moving Average	97	01/16/2008 - 02/13/2008
50-Day Moving Average	108	12/03/2007 - 02/13/2008
52-Week High	212	5/7/07
52-Week Low	51	8/7/07

All these data are available at the site, and can be imported into Excel.

Edit: In case it isn't obvious the 72 is actually the number of calls above divided by the number of puts, which comes out 0.72 and the keepers of the index multiply it by 100.

72 is indicative of bearishness. Despite the SPX being off its recent low by 4.33%, DJI up 4.85%, Nasdaq up 4.18%, NDX up 4.71%,
RUT up 7.5%, and the $XVG (VGY) up 7.71%, there is no bullishness among the ISEE individuals from which the above data are derived.

I interpret that as good if one is long equities, which I am to the extent of ~18% allocation into +200% ETF's.

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

2/22/2008	POSITION	% INVESTD	NOW GAIN	% GAIN	ALLOCATION
DJ US FINANCIALS	UYG	0.94%	5	0.05%
DOW	DDM	3.96%	1,867	4.41%
NDX	QLD	3.82%	-2,099	-4.70%
SPX	SSO	4.24%	1,549	3.38%
RUT	UWM	4.27%	617	1.31%	17.24%
GOLD & SILVER	CEF	0.84%	3,390	56.13%
PM MINING	GDX	1.82%	593	3.00%
GOLD	GLD	2.51%	6,696	31.40%
SILVER	SLV	1.60%	3,687	25.91%
GOLD	GTU	1.32%	5,110	53.17%	8.10%
METALS	RJZ	1.02%	1,680	17.39%	33% IN PM'S
COMM AGRIC	DBA	1.10%	2,391	24.17%
COMM AGRIC	RJA	1.00%	1,035	10.27%	3.11%
GLBL ALT ENERGY	GEX	0.41%	-186	-3.89%
NUCLEAR	NLR	0.91%	777	8.25%
DJ US OIL GAS	DIG	0.99%	753	7.35%	2.31%
YEN	FXY	10.01%	9,890	9.71%
YIELD ON 30YR-BOND	RRPIX	3.31%	-546	-1.46%
HEDGED EQUITY	HSGFX	18.74%	6,680	3.30%	32.06%
		62.82%	43,888	6.68%
	BOLD GREEN SYMBOLS = MOVE +200% OF RESPECTIVE INDICES

Nervous as a cat on a hot tin roof in the Texas summer sunshine, that is I with regard to my long positions in the Proshares Ultra Funds.

I thought I was doomed, I say doomed!, on these things Friday, until "rumor" or "gossip" turned the market into my favor.

Looking back at the markets' actions of the past five weeks, I have chosen mental stop points for my +200% positions, which if hit, will trigger me to sell them--assuming I am watching the market at that possible moment.

SPX 1316.75, SSO 66.34
DJI 211.14 DDM 69.9
NDX 1714.86 QLD 67.86
RUT 680.94 UYM 47.36
UYG 32.76

DIG is also of same ilk as above, but I don't have that much bet there, so I don't have a ready plan to consider when I would get out of it if the market moves against it--which it would probably do if it moves against the five in the list above.

I've never sold anything with a market order that hit an exact stop loss point, so assuming I did, I could lose ~7500$ from where I was Friday on those five funds and MAKE my total loss on these bets to ~-3.5%. Probably would end up losing more than that.

My small positions in PM's, Comm, Energy turned last week out to be in the green.

I ended Friday off 0.11% from my portfolio highs for the year.

My one year gain is 15.69%, two years 11.06% compounded, three years 12.78% compounded, and since end of 1999 or first of 2000 when I achieved maximum make-believe wealth, -.085% compounded.

[jk]

Re: HOW ONE iTuliper IS INVESTED?

jim, is that 6.68% your ytd return, or an average gain for the positions for whatever their holding periods have been?

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

jim, is that 6.68% your ytd return, or an average gain for the positions for whatever their holding periods have been?

That is the gain on the positions in the table from whenever the first portion of any position was opened.

My gain YTD is 5.96%.

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

End of February, 2008

2/29/2008	POSITION	% INVESTD	NOW GAIN	% GAIN	ALLOCATION
DJ US FINANCIALS	UYG	0.00%	0	0.00%
DOW	DDM	0.00%	0	0.00%
NDX	QLD	0.00%	0	0.00%
SPX	SSO	0.00%	0	0.00%
RUT	UWM	0.00%	0	0.00%	0.00%
GOLD & SILVER	CEF	0.85%	3,532	58.48%
PM MINING	GDX	1.90%	1,489	7.53%
GOLD	GLD	2.57%	7,533	35.33%
SILVER	SLV	1.76%	5,439	38.23%
GOLD	GTU	1.34%	5,450	56.71%	8.42%
METALS	RJZ	1.05%	2,160	22.36%	33% IN PM'S
COMM AGRIC	DBA	1.11%	2,574	26.02%
COMM AGRIC	RJA	1.04%	1,566	15.54%	5.51%
GLBL ALT ENERGY	GEX	0.40%	-287	-5.99%
NUCLEAR	NLR	0.89%	576	6.12%
DJ US OIL GAS	DIG	1.01%	1,052	10.27%	2.30%
YEN	FXY	10.29%	13,490	13.24%
YIELD ON 30YR-BOND	RRPIX	3.19%	-1,792	-4.78%
HEDGED EQUITY	HSGFX	18.76%	7,757	3.83%	32.24%
		46.18%	50,538	10.82%
	BOLD GREEN SYMBOLS = MOVE +200% OF RESPECTIVE INDICES

On Friday, I was stopped out of my +200% LONG EQUITY POSITIONS (DDM, SSO, QLD, UWM) and+200% LONG FINANCIAL POSITION (UYG) ending with a loss of -1.65%. This jimbo is not nimbol enough. On Wedneday, I had a 4.38% profit in them, that shrunk Thursday and evaporated Friday. So is life, sometimes. I hate to lose, but still I don't regret too badly having bet the long side which I began back on 1/18/08. So for about six weeks I was, as I see it, on the correct side of the equity market, except for the last two days, that left me with the above loss. Perhaps next time, I'll do better.

Still for the week ending Friday, I am better off than at any point since the 10/9/02 lows of my portfolios, and my current drawdown is -0.77%.

Here I think is a nice article by Carl Swenlin http://www.decisionpoint.com/ChartSp...9_whipsaw.html
appropriately titled "WHIPSAW!" and further expansion of his perception of trading in a bear market, which by his definition we are in. I don't use any of the indicators Swenlin discusses, and I don't subscribe to his chart service. I looked into it once on a freebie trial, but it has so much in it, it caused me "information overload."

Here is another good report that I look forward to reading each Saturday http://www.safehaven.com/article-9600.htm because Mike Burk puts it on the line and says where he thinks the markets will be in a week, though he is wrong at least half the time--which is okay by me because he makes his analysis and then draws a conclusion, a methodology with which I agree.

Burk thinks a "multi-month low" will probably occur in the next few weeks. If you look at his 8-year chart (right above the subtitle Seasonality) he shows the behavior of new lows on the Nasdaq in the period of 04/2001-10/2002 a period of 18 months.

If one accepts that the disarray in the US credit markets and secondary fallout into the equity markets has some significantly more unwinding to do, then attention to how the last serious bear market played out seems to me worthwhile to study and try to keep in mind. I think it was Burk who recently pointed out that the new lows for the Nasdaq of 877 on 1/22/08 was the all-time high number. Assuming further new lows in the Nasdaq, then paying attention to see if the number of new lows shrinks with successive further lows (if that in fact occurs), may offer some indication of a coming bottom in the next one to two years, again assuming this market fulfills bears' desires and continues downward.

YTD: +6.37%
1-yr: +15.05%
2-yr: +11.74% comp.
3-yr: +13.13% comp
From my 10/02 lows: +19.18% comp.
From my 1999 high: -0.81%

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

3/3/08 Monday. I opened ~ 1% positions in SKF, SRS, DXD, SDS, QID, and TWM. These all move -200% to the underlying indices.

3/4/08 Tuesday. Have you ever imagined a conversation that might take place in one of these big crowded clubs where everyone is partying like there is no tomorrow, and one guy asks another do I smell smoke, and the other says nah, keep partying, and then another guy says well, maybe I do smell smoke, and the second guy says nah, keep partying. What woud you do? I hope I would go outside and discuss it further.

I sort of "read" the impression on iTulip as more than one or two people are wondering about whether they smell smoke with precious metals. I surmise the collective wisdom is, "Nah, keep partying."

Today I liquidated all my positions in GLD, SLV, GTU, RJZ, RJA, DBA, NLR, DIG, and GEX all of which are in an IRA so no tax consequences.

I maintained my CEF and GTU in a personal account.

I added 1% today to DXD, SDS, QID, and TWM, thus bringing those positions to about 2% each in my total portfolio.

Note I did not open up any short positions against the PM's. I did something similar in November 1999. Liquidated a lot of long stuff, and went short some indices with some inverse mutual funds and was hurt badly in a very short period of time. So I don't know where gold, silver and the miners represented by GTU are going next, but they have been going up too strongly for my tastes. I noted elsewhere tonight Platinum is up 64+% in 4 months and silver is up 51% in 3 months. I can live with my profits that I locked in today. The longest any of the positions had been open was an original position of 1.3% held since mid-July in GLD. Everything else was opened since December 2007.

I had a 0.5% position in GEX (global alternative energy ETF) which I sold today. That fund has moved rather closely to how the major equity indices have moved. It's behavior so far does not show that it is moving counter to the rest of the equity market. I don't know how good a proxy, if at all, this fund is for the iTulip's "next bubble mentality," but were it to be even close to representative of such a proxy, it suggests to me that alternative energy is not ready to move up now. That is my impression.

It's late, maybe tomorrow I'll put in my gains and losses on the positions I liquidated yesterday and today (Tuesday 3/4).

[jk]

Re: HOW ONE iTuliper IS INVESTED?

i, too, was slightly unnerved by yesterday's action. i still think that the recession will surprise on the downside and that will lead to a commodities sell-off along with equities. instead of selling my pm's and smaller ag positions, however, a bought some puts on dbb - the base metals etf which is 40% copper, the rest zinc and aluminum. these will cushion a sell-off, but the nominal face amount is only about 5.5%, while i still hold 31% pms and 5% agriculturals. [btw, as of last friday i'm up 10.5% ytd, 24% last 52 weeks, but all that means is that i'm carrying a heavy pm position, and remain vulnerable to giving a lot back.]

[WDCRob]

Re: HOW ONE iTuliper IS INVESTED?

Quick Q...

If you're calculating an annual return for your entire portfolio is it normal/appropriate to weight both for the amount of time invested and the proportion in each investment to get an all-in annualized return?

i.e. does this:

Investment One - $1,000 for 1.82 years with a annual return of 10.6%
Investment Two - $1,000 for .16 years with an annual return of 104%

Equal this?

(1k/2k * 1.82/(1.82+.16) * 10.6%) + (1k/2k * .16/(.16+1.82) * 104%)

For an 18.2% annual return?

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

i, too, was slightly unnerved by yesterday's action. i still think that the recession will surprise on the downside and that will lead to a commodities sell-off along with equities. instead of selling my pm's and smaller ag positions, however, a bought some puts on dbb - the base metals etf which is 40% copper, the rest zinc and aluminum. these will cushion a sell-off, but the nominal face amount is only about 5.5%, while i still hold 31% pms and 5% agriculturals. [btw, as of last friday i'm up 10.5% ytd, 24% last 52 weeks, but all that means is that i'm carrying a heavy pm position, and remain vulnerable to giving a lot back.]

I should've waited a day, but whatever I do that is usually the case it seems. Decision was made not in fright or excitement--I don't think.

I am back in your camp on this, there are now six 90% down days on the NYSE in volume and points since 12/11/08. I don't have extreme confidence in any single indicator that involves market data, but I guess were I to have to pick one, Desmond's 90% study would be the one. I think you are one of the smartest guys here, jk, (why else? The Brain), and I am positive my reasoning is much less profound than yours on these issues, but nevertheless we are in agreement--more importantly, I would like it if we turn out to be correct.

You know I don't know nuthin' about birthin' no babies, and I don't know nuthin' about no puts and calls options, except I collect and attempt to make sense from the data on such trading.

I've been thinking you should have racked up gains with your PM allocation--great work!

I expect to buy back into probably everything I sold yesterday, when? No idea.

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

Quick Q...

If you're calculating an annual return for your entire portfolio is it normal/appropriate to weight both for the amount of time invested and the proportion in each investment to get an all-in annualized return?

i.e. does this:

Investment One - $1,000 for 1.82 years with a annual return of 10.6%
Investment Two - $1,000 for .16 years with an annual return of 104%

Equal this?

(1k/2k * 1.82/(1.82+.16) * 10.6%) + (1k/2k * .16/(.16+1.82) * 104%)

For an 18.2% annual return?

WDCRob,

I am not going to check your algebra. All the returns I have mentioned above in the tables are simple gains/losses without regard to time.

I have also periodically indicated what have been by one, two and three years returns and return from when my portfolios were at their zenith at very end of 1999 or very first of Y2K--so far that is always the negative bold number in red. Those notations represent compounded annual interest rates.

You know, if I look at my gains in gold and silver, over the 10 months and actually much less on average, on an annualized rate, the numbers would be significantly higher, but to me that is just sort of blowing smoke. I am not trying to impress anyone with how much I have gained or lost (hopefully keeping the latter to a minimum). I am just trying to put up for my benefit, if for no one else's, a semi-public record of what I do and hopefully a few reasons for whatever trades I make. Definitely I have never even suggested, I don't think, that anyone should take my actions as recommendations for what they might be doing with their own monies. If anything, one might argue, they would better consider doing the opposite.

[WDCRob]

Re: HOW ONE iTuliper IS INVESTED?

I was asking a general question, Jim - not challenging you or anything.

I was just wondering if you weighted each investment return for time invested and its proportion of your overall investment whether it's right to say you have a annual return of X for the whole portfolio or not.

[BiscayneSunrise]

Re: HOW ONE iTuliper IS INVESTED?

jk, It sounds like you and Jim are getting a little nervous about the recent rapid rise in PM prices, right? So rather than calling a top you are just positioning for a short term consolidation?

As Fred points out on a different thread, there doesn't seem to be any change in the underlying fundamentals to change the trend of PM's. Granted, things may flatten for a while, but the fundamentals are still there.

I get lucky occasionally and can pick absolute tops and bottoms but by and large, I am trend follower. And I assume the trend remains in place until proven otherwise. Being a contrarian only works at major inflection points. Be ever cautious of a trend change but in between those major junctures, just follow the trend and enjoy the tailwind.

By the way, if the Canadian central bank is lowering their interest rates, does that mean a race to the bottom for fiat currencies, so each country can maintain an export advantage? If so, bullish for PM's?

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

I was asking a general question, Jim - not challenging you or anything.

I was just wondering if you weighted each investment return for time invested and its proportion of your overall investment whether it's right to say you have a annual return of X for the whole portfolio or not.

WDCRob,

I didn't take your post as a challenge of any sort, and I am sorry if my reply came back to you with that inference.

Those gains in the last table I put up, which were through last Friday, are simple gains on the positions in the table, and the 10.82% is the total gain on those positions, not my entire portfolio. Those gains would be considerably higher had I chosen to figure and display them on an annualized basis, and I am sure you understand that.

I guess if one had reason to compare gains to understand their significance, then the only way to do it for gains/losses made in periods under one year is to report them as annualized gains. The point you put forth in your post is all correct, again I didn't check your formula, but the concept is exactly correct.

What I put in the table is the amount of money I have gained on the investment without regard to time.

I don't know how many individuals pay any attention to this tread, but if you think it would be a better depiction of reality for me to figure all the gains on an annualized basis, then tell me, and I'll probably do it, "probably" is in that statement just because of the factor of my time--which I will get around to doing if you think it would be more meaningful, and please give me your opinion, WDC.

Thanks for questioning my method.

[Jim Nickerson]

Re: HOW ONE iTuliper IS INVESTED?

jk, It sounds like you and Jim are getting a little nervous about the recent rapid rise in PM prices, right? So rather than calling a top you are just positioning for a short term consolidation?

As Fred points out on a different thread, there doesn't seem to be any change in the underlying fundamentals to change the trend of PM's. Granted, things may flatten for a while, but the fundamentals are still there.

I get lucky occasionally and can pick absolute tops and bottoms but by and large, I am trend follower. And I assume the trend remains in place until proven otherwise. Being a contrarian only works at major inflection points. Be ever cautious of a trend change but in between those major junctures, just follow the trend and enjoy the tailwind.

By the way, if the Canadian central bank is lowering their interest rates, does that mean a race to the bottom for fiat currencies, so each country can maintain an export advantage? If so, bullish for PM's?

Greg,

jk can give you his answer. I look at gains and measure them against some likely nebulous number I have as to what is a good gain. The gains I showed in my table last Friday in PM, commodities, and energy were gains that I would settle for in a year in some of those investments, or in SLV or GLD for two years. I didn't get out of them yesterday with as much gains in them as last Friday, but still to me very good simple gains for the short periods I held the bets.

I don't think I have ever put in new money at an exact bottom or sold at an exact top, and I am not expecting to do so. If you have 100% gains in anything today on an open position, it very much remains to be seen what will be your ultimate profit. I just made a decision to take some rather exceptional profits that were gained over short periods.

I do expect as I wrote above, to buy back some or most of those positions, and that could even work out to be buying them back at higher prices, but for sure it will be after some sort of pullback, and for sure at some point prices will pull back.

[WDCRob]

Re: HOW ONE iTuliper IS INVESTED?

lol ... Jim I'm really sorry to say I wasn't really commenting on your table or how the totals were derived at all. I was just asking a slighty related question for my own curiosity, and it happened to come to me while I was reading this thread.

Basically, I'm trying to figure out how to calculate a single number that reflects an annualized return across all investments. I like annualized numbers just so I can compare them to other numbers I hear routinely (stocks for the year, inflation, etc). And to make pointless projections about what would happen if I continued doing X% for Z years.