Nardin Baker on the low volatility anomaly: part one
For some time now I have been intrigued by the research on the so-called low volatility anomaly. So much so that I devoted a section [...]
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...
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...
Low volatility, high interest
The idea that low volatility equities actually outperform their riskier brethren for many seems like a paradox. We thought the topic interesting enough to devote [...]
Book Review: Pandora’s Risk
This is two books in one, and very well done. The main part of the book explains risk and uncertainty in general terms, such that most people can understand it. But for those that can deal with complex math, the latter part of the book offers a lot of additional firepower. Risk is a tough...
The Best of the Aleph Blog, Part 14
This period of the Aleph Blog covers May through July of 2010. The one big series that I started in that era was “The Education of a Corporate Bond Manager” series. The idea was to describe how a neophyte was thrust into an unusual position and thrived, after some difficulties. The Education of a Corporate...
At the Local Investment Research Challenge
Yesterday I was a judge (one of five) for the Washington/Baltimore Investment Research Challenge. Five teams from local colleges participated to analyze a prominent local company, Under Armour. (My kids love the stuff, I hate to pay the price.) I have to say that I admire all of the young men and women who presented...
Download this and thank me later
The brand new Credit Suisse Global Investment Returns Yearbook 2012 is out!* This is a must-download for any one seriously interested in investing. In addition [...]
Against Risk Parity
Many investment ideas are promising so long as few do them. Yes, there is an opportunity, but it is limited. “Shh, don’t tell everyone about it.” Thus, the concept of “risk parity.” Lever every asset class up until it has the same volatility as common stocks. Under theoretical conditions, one could make extra money doing...
Nothing in excess, including momentum
“Nothing in excess.” – Inscription from the temple of Apollo at Delphi (Wikipedia) The financial crisis and ensuring bear market threw the traditional idea of [...]
Faith, reality and financial models
Wall Street runs on models. Indeed one could argue that the misapplication of models helped cause the financial crisis. As Felix Salmon wrote back in [...]
Improving Publishing in the Social Sciences
I’ve been toying with an idea that I think would improve economic and biometric research, but will never get adopted. Split research into two components: Generating research ideas Doing the research But here’s my twist: economists and biometricians could submit ideas to a central database, but would be barred from doing that particular project. No...
