http://finance.groups.yahoo.com/group/QuantextMC/ Quantext Portfolio & Retirement Planner Thu, 05 Nov 2009 14:41:59 GMT welch-family-7571@... http://finance.groups.yahoo.com/group/QuantextMC/message/2106 http://finance.groups.yahoo.com/group/QuantextMC/message/2106 http://www.marketwatch.com/story/story/print?guid=5DE1C33E-3261-487C-89E4-C5BFE80F5C74 "A better risk measure, however, would be this: Shortfall risk equals Tue, 03 Nov 2009 16:13:46 GMT quantext2002@... http://finance.groups.yahoo.com/group/QuantextMC/message/2105 http://finance.groups.yahoo.com/group/QuantextMC/message/2105 The 9.3 ratio is not for the current 2.2 year option prices you cite, but rather for the two year option. I discussed the price of the current 2.2 year option Tue, 03 Nov 2009 00:33:07 GMT jshultz73 http://finance.groups.yahoo.com/group/QuantextMC/message/2104 http://finance.groups.yahoo.com/group/QuantextMC/message/2104 Greetings, Ok. Admittedly there are several points of confusion. Still 109/13.9 is not 9.3 as written up. No calculator needed. Thanks for your help and Mon, 02 Nov 2009 15:38:47 GMT quantext2002 http://finance.groups.yahoo.com/group/QuantextMC/message/2103 http://finance.groups.yahoo.com/group/QuantextMC/message/2103 Dear Sir: You have made a mistake. Options are sold in lots such that you buy a single contract that is for options on 100 shares. This is true. But options Mon, 02 Nov 2009 15:11:08 GMT jshultz73 http://finance.groups.yahoo.com/group/QuantextMC/message/2102 http://finance.groups.yahoo.com/group/QuantextMC/message/2102 My apologies. I think with a delta of .5 you would get an initial leverage of about 4:1 based on your numbers. cheers, off to bed! Mon, 02 Nov 2009 14:29:36 GMT jshultz73 http://finance.groups.yahoo.com/group/QuantextMC/message/2101 http://finance.groups.yahoo.com/group/QuantextMC/message/2101 Greetings Dr. Considine, In my enthusiasm for your options research, i think i missed some errors. Your calculations for the number of options contracts I Sat, 31 Oct 2009 15:25:23 GMT uzzk23a http://finance.groups.yahoo.com/group/QuantextMC/message/2100 http://finance.groups.yahoo.com/group/QuantextMC/message/2100 Is it possible to use off-the-shelf QPP to analyze this strategy ? Sat, 31 Oct 2009 06:17:46 GMT investor952 http://finance.groups.yahoo.com/group/QuantextMC/message/2099 http://finance.groups.yahoo.com/group/QuantextMC/message/2099 prpfx was up today...interesting Sat, 31 Oct 2009 03:14:30 GMT jshultz73 http://finance.groups.yahoo.com/group/QuantextMC/message/2098 http://finance.groups.yahoo.com/group/QuantextMC/message/2098 Also in terms of future considerations, you will want to consider use of call spreads. You will have a higher yearly win rate and won't be so sensitive to Fri, 30 Oct 2009 19:50:56 GMT quantext2002 http://finance.groups.yahoo.com/group/QuantextMC/message/2097 http://finance.groups.yahoo.com/group/QuantextMC/message/2097 These charts were generated with an EXCEL module for generating correlated returns in the Files section and the average returns, standard deviation, and Fri, 30 Oct 2009 19:49:23 GMT quantext2002 http://finance.groups.yahoo.com/group/QuantextMC/message/2096 http://finance.groups.yahoo.com/group/QuantextMC/message/2096 Great post to lead to a second article--thanks for listing so many of the additional practical issues. The issue of when to take profits is interesting (if at Fri, 30 Oct 2009 13:48:02 GMT frankbiff http://finance.groups.yahoo.com/group/QuantextMC/message/2095 http://finance.groups.yahoo.com/group/QuantextMC/message/2095 In order to implement this strategy some details need to be worked out. - It would probably be best to have a ladder of options with different expiration's, Fri, 30 Oct 2009 01:56:24 GMT jshultz73 http://finance.groups.yahoo.com/group/QuantextMC/message/2094 http://finance.groups.yahoo.com/group/QuantextMC/message/2094 Great article. One of your best yet! This is the way of the future. Good to see that you are analyzing it. I was looking at the ETF RZV for a high beta call Thu, 29 Oct 2009 20:50:24 GMT Lowell Herr http://finance.groups.yahoo.com/group/QuantextMC/message/2093 http://finance.groups.yahoo.com/group/QuantextMC/message/2093 Geoff, In your paper, "The Retirement Portfolio Showdown: Jeremy Siegel v. Zvi Bodie" you generated several graphs of returns vs. percentile to make the point Thu, 29 Oct 2009 19:21:21 GMT Lowell Herr http://finance.groups.yahoo.com/group/QuantextMC/message/2092 http://finance.groups.yahoo.com/group/QuantextMC/message/2092 Geoff, I am interested in what ETFs you might use to model the Harry Browne Permanent Portfolio. I just ran an analysis using VTI for stocks, GLD and SLV for