We Eat Dollar Weighted Returns — IV
I think one of the largest areas for practical investigation in finance is reviewing dollar-weighted versus time weighted returns, especially for vehicles that are traded heavily. I am going to try to analyze one major ETF per month to see what the level of slippage is due to trading. But if my hypothesis is wrong,...
Sorted Weekly Tweets
Market Dynamics On Paradigm Shifts http://t.co/h68quEDX Hunter takes us through mental exercises 2 make us intelligently contrarian. “Invert, Always Invert” May 02, 2012 Hedgers’ net short position vanishes in US oil http://t.co/X0hLOWGB Commercial interests do not fear lower prices, could be bullish 4 crude May 02, 2012 There’s Plenty of Money for Junk http://t.co/vXML0Bao...
Correlating Risky Assets
Asset allocation is tough, because the correlations are not stable. Here’s an example: in the 90s, at many conferences that I went to, I was told that one of the smartest moves you could make was to invest heavily in every new class of Asset Backed Security [ABS] created, because they all tighten in yield...
On Distribution Formulas
Before I get started this evening, I would like to offer an apology to those that read my recent piece, Simple Retirement Calculator. I didn’t define all of the terms in the piece, and so here are the definitions: DB plan — defined benefit plan, a pension plan that offers a certain benefit, and the...
Book Review: Abnormal Returns
I consider Tadas Viskanta to be a friend of mine. I write my eclectic blog, and Tadas occasionally features me on his daily curation of the economics/finance/investment blogosphere. But it is not friendship that leads me to write the following: this is a really good book. Why? Every day, Tadas curates the best thoughts in...
More on Penny Stocks
The main idea is this: if any unpaid third party recommends a stock to you, avoid it. I am not talking about the media here, but those who are paid to advertise stocks. My example tonight is Circle Star Energy [CRCL.OB]. This is another company with negative earnings, negative book value, and no revenue. It...
Simple Retirement Calculator
Sorry that I have not been posting much of late. April is always rough for me. Taxes play some role in April, because I get a certain amount of my tax data late, but the main reason stems from some charitable boards on which I serve, which meet in/near April. One of the questions that...
Weekly Sorted Tweeets
Federal Reserve Long Term U.S. Credit Boom Chart http://t.co/Ywub8HQH By bailing out short-term credit cycles, the Fed created a big asset bubble $$ Apr 28, 2012 Quantitative Deleting: The Fed’s $400 Billion ‘Gift’ http://t.co/qavtYcQy Fed’s actions lower cost of funding the US Treasury’s deficit 4now Apr 26, 2012 Bernanke Takes On Krugman’s Criticism Ignoring...
A Visit from the Governor
Since coming back to work in Baltimore in 2007, I’ve tried to be more active in the Baltimore CFA Society. That has taken on a number of different forms: Serving on the program committee, lining up speakers as I can — sometimes I find it hard to get well-known friends to do it… surprising to...
Redacted Version of the April 2012 FOMC Statement
March 2012 April 2012 Comments Information received since the Federal Open Market Committee met in January suggests that the economy has been expanding moderately. Information received since the Federal Open Market Committee met in March suggests that the economy has been expanding moderately. No real change. Labor market conditions have improved further; the unemployment rate...
Redacted Version of the April 2012 FOMC Statement
March 2012 April 2012 Comments Information received since the Federal Open Market Committee met in January suggests that the economy has been expanding moderately. Information received since the Federal Open Market Committee met in March suggests that the economy has been expanding moderately. No real change. Labor market conditions have improved further; the unemployment rate...
Book Review: The Golden Revolution
This book is highly optimistic that we will restore a gold standard to our world. Much as I would like it, because it restrains the power of governments that increasingly behave like thugs, I don’t think a gold standard is likely to replace the status quo. The book has many good areas to commend it,...
