Posts Tagged ‘ Quantitative Methods ’

I haven’t written about my portfolio management methods in a while.  I’ll be writing on this a few more times over the next week or so.  The eighth rule of my investing is: Make changes to the portfolio 3-4 times per year. Evaluate the replacement candidates as a group against the current portfolio. New...
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Illiquidity is an underrated risk.  Most financial company failures are due to illiquidity, which usually takes the form of too many illiquid assets and liquid liabilities.  Adding to the difficulty is that it is generally difficult to price illiquid assets, because they don’t trade often. So where do we see failures due to illiquidity?...
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1) Kind of like my thesis that the States give a better picture of the economy than the Federal Government, I agree with the idea that small banks better represent that health of the US economy.  Most small an medium-sized businesses rely on small banks.  Growth in employment relies on small and medium-sized businesses,...
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In a panic, only two attributes of a financial instrument get priced — liquidity and quality/survivability. In a panic, all risky assets become highly positively correlated with each other. Given that correlations tend to rise in a panic, a reasonable measure of sentiment is to measure the average absolute value of 10-day correlations. Markets...
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I’ve read a number of articles on hedging tail risk of late.  Most of them were pretty good; I just want to add in my thoughts. For those who haven’t read the articles, tail risk is when even safe investments get hit hard.  Those market outcomes are rare but severe, so some people look...
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A reader MorallyBankrupt, asked, What I am wondering here is the following, how fast was the decision process? For those of us that have never worked in the new-issue market for corps, the timeline is not obvious. How did it all flow, from getting notice of the deal, to getting a feel for the...
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Part I is here. For a new corporate bond manager with very little apprenticeship-type training, I had to learn some things on the fly.  Of my first tier brokers, roughly half of them took pity on me initially and explained to me the rules of the road.  That happened partly because I wanted to...
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When I reviewed the book Priceless, I thought I had reviewed “Fortune’s Formula,” because I had written several pieces on the Kelly Criterion at the blog and at RealMoney (free at TSCM).  But I found that I had not, so I offer you this review of a book I greatly enjoyed: The book asks...
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In 2001, I became a corporate bond manager by accident.  I had been the mortgage bond manager and risk manager of a unit managing the assets of a medium-to-large life insurer, when the boss left to take another job in the midst of a merger. The staff and I got together, and the credit...
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This will be a bit of an unusual post for me.  How often do I suggest option trades?  Almost never.  But because of auctioning of TARP warrants, there are a decent number of very long dated options trading on some bank stocks, and many of them are cheap.  I’m here to talk about the...
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