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Archive for February, 2011

Rocky’s coif makes the Financial Times

February 24, 2011 3 comments
Rocky’s daughter insists that Rocky is fake. He has a fake name. He has fake friends. He even has fake hair.
On the last point, a real reporter at the Financial Times agrees. Ms. Lindsay Whipp wrote a serious article in Wednesday’s FT about Japanese Government Bonds and quoted Rocky:

The bald facts

Numerous investors who have shorted the Japanese government bond market have lost lots of money, writes Lindsay Whipp.
Some, such as US-based hedge fund manager who writes a blog under the pen name Rocky Humbert, literally lost their hair.
In 1996-97, he took a bearish view on JGBs. He recalls: “I aged badly, went bald and kept waking up my wife to check my Bloomberg.”
However, he had a very profitable 2008, having learnt “how markets can move in ways that don’t make sense to ‘reasonable’ people”.
[Disclosure: So is Rocky “real?” As the Clairol ad goes: Only his hairdresser knows for sure!]

A Jerry Seinfeld Index Fund

February 18, 2011 1 comment

Rocky tips his hat to the uber-quants at Barclays Capital for creating an “index” (fund) that only Cramer (of Seinfeld fame– not Mad Money fame) could have dreamed up.

From their website: (see:  https://ecommerce.barcap.com/indices/index.dxml )

The Barclays Capital TOM™ Long Index invests in the relevant underlying equity benchmark Index on the close of the 4th business day before each month end and closes this position 3 business days after the same month end. The Long Index is not invested during the rest of the month.

The Barclays Capital TOM™ Long/Short Index takes a short equity position on the close of the 11th last business day before each month-end and closes this position on the 5th last business day before month-end. It then takes a long position Index on the close of the 4th last business day before each month end and closes this position 3 business days after the same month end. The long/short index is not invested during the rest of the month.

BarCap also has a series of funds aptly named the “Barclays Capital Astro Index.” This inspired Rocky to propose the following variations of this bizarre approach towards so-called “investing”:

1. The Rocky Moon Fund (Buy on the New Moon, Sell on the Full Moon).

2. The Rocky Blue Moon Fund (Sell EVERYTHING on the Blue Moon, buy it all back 1 day later).

3. The Rocky Lunar Eclipse Fund (Buy on the eclipse, sell 2 hours later).

4. The Rocky Solar Eclipse Fund (Stare at a solar eclipse and buy health care stocks.)

[Disclosure: Rocky acknowledges that markets rise and markets fall. But flipping a coin  may well be a  better approach than investing based on the day of the month. Statistics don’t lie. People lie with statistics. ]

Blended whiskey meets blended crude

February 8, 2011 Comments off

American v. London Crude Price

An interesting oil trade reminds Rocky of the song “America” from West Side Story (the Broadway show): “I like to be in America!  OK by me in America!, Everthing free in America! For a small fee in America!”

Rocky notes the price of WTI crude oil in America is at a record discount ($15/barrel) to London’s “Brent”  Crude Oil —  even though the London oil is worth slightly less to refiners. Oil’s not  yet “free in America,” but 17% is a remarkable discount.

Some  production problems in the North Sea and an inventory overhang in Cushing, Oklahoma explain  this discrepancy. Since America imports crude oil, Rocky believes it’s just a matter of time before cargos get diverted  from the USA to Europe, and this price spread collapses. Hence, Rocky is slowly buying crude oil futures in America, and shorting crude oil futures in London.

If the spread doesn’t collapse in the next few months, Rocky’s Plan B is to fill his many empty Scotch Whiskey bottles with crude oil and “deliver”  the recycled bottles to London…(which will also force the aribitrage to close.)  Of course he’ll have to convince airport security screeners that  the duty-free bottles of crude oil don’t pose an in-flight threat, and will explain that instead of a blended whiskey, it’s the  “Brent blend.”  He’s also prepared to hear  the TSA Agent recite Anita’s words from West Side Story: “I know a boat you can get on.” See: VLCC.

[Disclosure: Rocky never gives investment advice, and these sorts of trades entail considerable risk not to mention a nasty hangover.  Nonetheless, this trade is a “Rocky V.”  (See “definitions”  tab at the top of this page.)]

Where’s Rocky?

February 2, 2011 1 comment

Readers ask, “Where’s Rocky?”

Answer: He was last seen shoveling his driveway. 

His trusty snowplow company seems to be on strike. However, both the picketers and picket fence are buried in the snow.