9.83 -0.1 (-1.01%) Sell

GLRE investors dump it for better alternatives

13 min read

GLRE has destroyed investor wealth today. On a longer term basis, investors in GREENLIGHT CAPITAL RE, LTD. made +0.05% per day. Wednesday's performance of -1.01% was a significant underperformance compared to it's daily average.

[Themes containing GLRE]

Buy-and-Hold investors in GLRE experienced a maximum drawdown of -24.38% over the last three months. It lost -18.42% during this strong down trending period. There were no long signals during this period, where the short signal generated good profits of +18.42% for investors.


GLRE has been underperforming the SP500 index in recent time, after having outperformed till 29 Feb, 2016. Over the last 2 years 11 months and 8 days, GLRE underperformed the SP500 index on 51% days.

GLRE returned losses on 64% days in the last three months. During this time, it delivered on average -0.3% per day. It delivered it's best daily return of +5.36%, during this period, on Monday, 8 Oct, 2018. There was initially a bullish trend during this period which started on 13 Sep, 2018 and went on till 17 Sep, 2018. The bullish trend returned +3.29% to investors. This was followed by a bearish trend that started on 9 Nov, 2018 and ended on 14 Nov, 2018. This bearish trend lost -9.37% of investor capital.

GLRE had 2 profitable and 10 loss making months over the last year. During the last year, GLRE underperformed SP500 index on monthly return basis. GLRE was also a more risky investment than SP500 index as it's worst month in the last year, Feb 2018, returned -19.01% compared to -7.28% returned by SP500 index in Oct 2018. GLRE had a longer winning streak of losing months than SP500 index. It went down in 5 straight months (from Aug 2018 to Dec 2018) during which period it delivered -36.22%. It is interesting to note that both GLRE and SP500 index significantly outperform during months when quarterly/annual results are announced.

"As in roulette, same is true of the stock trader, who will find that the expense of trading weights the dice heavily against him.

GLRE is becoming less volatile overall. In comparison, the SP500 index is seeing a rise in volatility. During the last three months, there was a significant surge in GLRE's volatility from 14 Sep, 2018 to 8 Nov, 2018. While there was a significant surge in the SP500 index's volatility from 13 Sep, 2018 to 29 Oct, 2018.

Advanced/professional short-term investors should note that GLRE has significant positive skewness in it's return distribution. This indicates that investors can expect GLRE to recover from drawdowns quickly. Which makes GLRE a good candidate for investing on short-term bullish trends or even counter-trends hoping for a pull-back.

SP500 index has more chance of extreme outcomes than GLRE. Therefore, SP500 must receive a lower allocation than GLRE in your portfolio. SP500 index usually has shorter drawdown period than GLRE.

On a general note (since you are interested in GLRE), HEAR has performed really well this year and deserves to be closely tracked for investment opportunities.

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