Sunday, November 29, 2009

Self-Service Checkout

Our local Woolworth's store has just introduced self-service checkout machines. I've used these before at Big-W (pictured) and in the US. After today's experience though it seemed to me that it would be so easy to rip the store of and steal stuff when using these machines:

1. The machine asked me how many mangoes I had. If I put one instead of the four I actually had, how would anyone know?

2. If I told the machine I had some cheap vegetable in place of the one I actually had how would anyone know?

Or are they planning on random audits of customers leaving the store? I didn't see any evidence of that.

Also I could just leave some stuff in the trolley/cart and not check it out as there doesn't seem to be an electronic security system in place. Or would I get caught if I tried to pull these tricks off?

Sunday, November 15, 2009

My "Hedge Fund" Investments

I got a question on a recent post about our hedge fund investments. I count any fund that uses hedging instead of straight asset class investing as a hedge fund. Some of our investments in this class are traditionally classified as hedge funds, some as mutual funds, and some as closed end funds. Here is a list of what is included in this category in order of size of investment:

Platinum Capital: This fund is a global long-short (about 70% long, 30% short) stock fund that also uses currency hedging and is listed on the Australian Stock Exchange (ASX). Information here. We are also invested in this strategy through Snork Maiden's account with Colonial First State. 4.95% of net assets.

: This is an unlisted fund of hedge funds. You can get information on it here. I originally invested when it was listed on the ASX. The fund is invested in major US based hedge funds. It uses some leverage. 4.29% of net assets.

TFS Market Neutral Fund: This is a US mutual fund that uses a quantitative long-short investing style in US stocks. It is somewhat net long and net market exposure doesn't change much over time.
Info here
. 2.91% of net assets.

Hussman Strategic Growth: This is another US mutual fund that is long US equities with a variable options overlay that alters the fund stance from market neutral to fully long. For info see here. 1.78% of net assets.

Aurora Sandringham Dividend Income Trust
: This fund uses a dividend capture strategy on large cap Australian stocks. It holds shares for long enough to capture dividends and franking credits in a tax effective manner (there is a minimum holding period under Australian tax law in order to be able to claim the tax credit). It hedges much of it's market exposure. Info. 1.78% of net assets.

Acadian Global Long Short Fund: We invest in this through Snork Maiden's account with Colonial First State. It's a 130/30 fund. 0.74% of net assets.

PSS(AP): 0.58% of net assets are in hedge funds that the PSS(AP) superanuation fund invests in.

We are also invested in Man-AHL but I count that under "commodities" rather than "hedge funds".

Overall we have 17% of net assets and 12% of gross assets invested in hedge funds. I'm happy with the gross level rising back to 14%. I wouldn't want to invest more than 5% in any one fund, so Platinum Capital is capped pretty much at the current level. I'd be happy to see our TFSMX investment grow in size and our allocation via PSS(AP) will inevitably grow. I'll be happy to allocate more to Aurora too. Down the road we might invest in a new fund, but I don't have any compelling choices in front of me right now.

Friday, November 06, 2009

Initial Hedge Fund Returns for October 2009

HFRX shows global hedge funds were more or less flat in October. Convertible arbitrage continued its strong outperformance this year.

Tuesday, November 03, 2009

Moominvalley October 2009 Report

This report is based on the available data as a couple of funds as usual won't report till near the end of the month. As usual everything is in US Dollars unless otherwise stated. There are some numbers I still can't reconcile and I can't see where my mistake is but here is the report anyway.

After a strong rally for stocks globally for the last 6 months, October saw losses in World equity indices. The MSCI World Index lost 1.53% in USD terms and the SPX lost 1.98%. But the Australian Dollar continued to appreciate, this time gaining by about 3 US cents. This meant that we gained 0.78% in USD terms but lost 2.93% in AUD terms and 2.09% in currency neutral terms. So we beat the market by more than 2 percentage points.

Our spending was pretty normal at $3,896 ($A4,252):

Almost half our monthly spending is going to rent ($A1,955 and $A1,988 from this month). Net worth reached $392k ($A428k), which is a decline in AUD terms. Asset allocation moved slightly towards our target with the biggest gain in Australian small cap stocks (now above target):

The following is estimated performances for this month (net of forex movements) by asset class:

Only Australian small caps had a positive performance. The above market returns this month boosted estimated alpha and reduced estimated beta. Alpha measured against the USD MSCI was 7.6% with a beta of 1.24 currently. Beta remains very high and will have to come down at some point. Performance in AUD terms is similar.

After record falls in net worth we are now seeing a record gain for the last 12 months:

The gap between earning and spending computed in this way is the gain in net worth. In terms of investment returns, total return is back to the levels of early 2005:

Accumulation index is Australian lingo for "total return index" in American. Net worth is back at mid 2006 (or mid 2008) levels:

Retirement accounts are near the all time highs, non-retirement accounts (medium term balance) have not rebounded as well. That is where the trading losses were concentrated.

I think that's enough charts for this time :)

Leverage Can Be Used to Reduce Risk

A point I've made in the past is made again in an article on AllAboutAlpha.

Monday, November 02, 2009

What Gets the Most Comments in the New York Times?

An article on what waiters should and mostly shouldn't do. I find the article and comments pretty amusing. The only things that annoy me are waiters grabbing my plate before I've finished or barely finished eating and keeping coming back and asking questions about how everything is and whether there is any more they can do for us. At cheaper restaurants in the US sometimes it gets very annoying as you keep getting interrupted by the waiter. Of course they are trying to sell more stuff to get a bigger tip and trying to turn over more customers as the individual bills are low. I found as the price went up a bit this was less of a problem. The constant asking of questions isn't much of a problem in Australia where tips are usually a question of rounding the bill off if anything (at least traditionally and in my experience (certainly not an expected percentage).

Moominmama Performance October 2009

Despite the MSCI World Index losing 1.53% this month, Moominmama gained 1.04%. Part of the gain is due to the decline in the USD (though the MSCI World Index is also in USD) and her US and European equities underperformed the index. Despite the introduction of a tax on foreign capital in Brazil her Brazilian fund did best of all. Over in Moominvalley, though not all the final prices are in yet, it looks like we gained too in USD terms.