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Latest Comments185 Comments
Societe Generale Trader Causes $7.1 Billion Loss in “Exceptional Fraud”
No. The guys with "rogue" gains take 'em off the table while they're still small, and enjoy their profits. The guys with "rogue" losses are the ones that double down again and again and again ...
Another Hedge Fund Tracker Launches
Here’s another idea. Use the same approach, but rather than model an index, model a **constant** return!, and market it as a “whole enchilada” approach where someone could potentially put ALL of their money.
They could still market it as an alternative investment. Think about it – if they can achieve close to a constant monthly return stream, it is by default a non-correlated return stream when compared to **any other asset class** - and thus, a pretty good deal.
Why Technical Analysis is Nonsense
@ Seeking Alpha: I am once again reminded why I rarely visit here.
Investing in the Basic Necessities
Lots of utilities, technology companies, and suchnot, but very few companies that make a majority of their revenue finding and delivering water.
Just an FYI.
Sharpe Ratios on 2007 ETF Returns
When I've looked at ratios on shorter timeframes, I've taken the returns and standard deviations on that timeframe (daily, weekly, monthly, whatever) and calculated the ratios on that data. Of course, when doing it that way, it doesn't translate to an annualized ratio and one has to be consistent in making sure that statistics are only compared to the proper timeframes.
Speaking of translating, what is the correlation between daily year-ending return data Sharpes and non-overlapping year-period Sharpes? It would be interesting to see if what you've done translates to the larger scale.
Perhaps when you're bored over the holidays, you could some of the longer-running sector ETFs with 7-year Sharpes done both ways:
* 7 data points of non-overlapping years
* 7 x 252 data points of year-ending daily returns
... and see if they're consistent with each other. Purely academic, because as discussed previously, I'm not a huge fan of the Sharpes, Sortinos, Alphas, Betas.
The Risks of Following a Long-Term Guru
The Risks of Following a Long-Term Guru
E.W. Scripps Company: A Raging Short?
The author takes one show – "My House is Worth What?" – from all of the shows on four different television networks. He then slams it as "bubble-channel&q... and "car-crash fascination" based on the current home-price hysteria, and by association smears EVERY show on ALL FOUR networks with that image. From that, he conjectures falling revenues and an obvious "disconnect" from the stock price.
Has he looked at the cash flow statements, or any financials, for this company? Or does he make this judgment based on ONE SHOW that is about home prices?
Has he done any stringent examination of the networks' actual programming? There's a lot of material about living on a budget in those networks; in flyover country, some of us have housewives that cook, and the kitchen is a center of activity; the food shows are aimed at families preparing meals, not at gourmands eating at restaurants; even in the event of an economic downturn, wouldn't there be a marginal INCREASE in demand for "do it yourself" programming – which these networks are full up with?
Has he looked at the chart he provided? Down 10% YTD, in a market that is up 3-4%, may not be a "raging short" but it certainly wasn't bad, especially if somebody took advantage of the rampant fear mid-August to cover partially.
This is probably the worst Kedrosky I've read. Which is a shame, because while I expect this of most authors, I didn't expect it from Paul.
Sharpe Ratios on 2007 ETF Returns
I am GUESSING that you have 250-ish data points, each one being a return for the year period ending on each trading day of 2007, with the 3% RF being used for each point. Is that correct?
Persistence of the relationships is indeed the key.
Is your larger dataset also composed of industry (or other) ETFs? I would be curious about the relationship between return and volatility for the universe of exchange-traded stocks, but that would just be academic and not functional curiousity.
U.S. Foreclosures Surge
*Everybody* who took a HELOC that they couldn't afford to pay back is a speculator. Barnum had a word for those who wanted something for nothing, I believe it was "sucker."
Consumer spending may be some quantifiable percentage of G-D-P, but that is not the same thing as "the economy."
Let's play your flawed "econ-numbers&quo... game for a minute, just for the sake of argument. You appear to be forgetting that economics is a marginal analysis, and not a light switch. Some small portion of the consumers curtail spending slightly because of foreclosure issues, because they still need to eat, drink, wear clothes, have transport, send their rugrats to school, etc. So a small portion cuts a small bit out of another fraction of G-D-P, and everyone wants to yell "recession!"
And remember, for those in not leveraged and in fine financial shape, even a downturn presents an opportunity.
U.S. Foreclosures Surge
I have no sympathy for anyone stupid enough to buy a home they couldn't afford, or who got stuck holding a bag trying to turn inventory in a (formerly) hot market. #$@#$^% them. Somebody's gotta buy at the top.
That being said, the fearmongering about this move in foreclosures is out of hand.
(1) A few members of a small speculative element is getting spanked, but many don't realize that many if not most members of that speculative element have already made their money on the deals.
(2) Another segment getting spanked is the marginal buyer, who should have been a tenant, but got greedy.
These are of very little impact in the grand scheme of things. The fear has actually wound up producing a buying opportunity in equities.
Merrill Likes Toyota Even With Strong Yen
U.S. Foreclosures Surge
At that rate, by the year 2065 we'll ALL be in foreclosure! ROFLMAO!
Catch the Beginning of the Coming Bounce: Buy, Buy, Buy
Fear in the Market - Time to Buy