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Charles
Thank you sma3! We are spending this summer in northwest again. I have no quiet place I can be before noon eastern (9 am here). Library opens at 9am! I've set up a session for Friday, 2 pm eastern ... posted on board. But, if that does not work, just call me at 805 468 9599 ... if I can pick up I will. Hopefully, can pick a day where you can attended from noon on. Very happy to do! c
Ping Flack, do you have a take on the margin levels? I saw your comment earlier about margin helping drive the rise. But I don't have a reference on whether these levels are a sign of instability or not. Any thoughts?
I think the article is fantastic. Thoughtful. Clearly articulated. Seems to me the fed has its finger on the pulse of the financial system stability...to the best anyone can. Distinguishing between vulnerabilities and triggers, historical norms and …
Reply to @catch22: Ha! Glad somebody out there is checking numbers. Added the new weekly return & volume numbers to standard chart this week...mistakenly referenced to last Friday instead of Monday with Excel function "Offset(Xref,5,,)" instead …
Sad journalism here, unfortunately. Worse, seems typical of the misinformed hype that gets echoed, unsubstantiated and lemming-like across mainstream financial reporting. I've been a fan of Mr. Berkowitz, as I trust we all know, but this particular …
Maybe my value system is outdated. How can authors actually get paid to write blind, unsubstantiated or unverified articles?
Here on M*...headliner:
MBIA Investment a Big Win for Fairholme's Berkowitz
And here on Bloomberg...headliner:
Berkowit…
Reply to @scott: MBIA has been a high conviction holding at Fairholme since mid 2010, something like 10% of company. Mr. Berkowitz called this very settlement, predicting a "win-win" outcome two years ago, just like has played out today. He's champi…
Reply to @scott: Very cool. Mr. Berkowitz should become a legend after calling this one, along lately I've noticed FAAFX is not hyper-correlated with MBIA, like it was previously.
VWINX
VWELX
VGENX
VGHCX
VGPMX
VWINX, VWELX, and VGHCX probably three of the best funds ever.
Sometimes, because your plan owns shares, you may even be able to buy otherwise closed funds, like VWELX.
Also, opt for admiral share class, as appropria…
Took a while but just finished Dark Pools, by Scott Patterson. Not a great read, like his earlier book The Quants. But nonetheless, enjoyed learning about the plumbing behind the markets, Josh Levine, Island and Datek, high speed trading, front-runn…
Reply to @bee: Ha! Nice story Bee. My wife was born in New Britain. We both grew up in the adjacent town of Newington, where I believe Fafnir Bearing represents an analogous sad story.
And all those that have been invested in this market.
And all those now able to sell their homes again.
And all the newly hired employees.
And all the stakeholders in healthier than ever companies.
=)
Mr. Arnott addresses the AUM concern in his recent shareholder letter:
http://investments.pimco.com/Products/pages/284.aspx
(Click on Insight's Q&A link about midway down on right side of page.)
Here is very brief bottom-line:
...today, we se…
Unemployment continues to decline.
Monetary policy encourages lending, which means lower mortgage payments and more investment capital.
Company balance sheets are strong and earnings generally up.
Market does not seem over-valued (see below).
Congre…
Professor Zakamulin has updated to include momentum methods. He's also provided me with optimal SMA for initial in-sample period. Will be posting more as I review further.
Link to May 1 Revision:
Fooled by Data-Mining: The Real-Life Performance of…
Quick follow-up:
1. I did read through the reference that seems to have motivated Professor Zakamulin, entitled “Data-Mining Bias: The Fool’s Gold of Objective TA (Technical Analysis), Chapter 6,” in text “Evidence-Based Technical Analysis,” by Dav…
Isn't cash a guaranteed source of negative alpha? So, only minimum amount of cash in my portfolio. I'm 40% fixed income (multi-sector bonds...BOND, RNSIX, MAINX, FOCIX, DODIX), 30% risk parity/mod allocation (AQRIX, DODBX, ARLSX), 30% long equities …
Basically I think Professor Zakamouline's paper says the back-tested sample is not long enough to be representative; therefore, he creates a model to simulate market and investor behavior then uses results from that model instead.
If he’s right, it…
Reply to @bee: Hi Bee. I see you're mountain climbing again! Nice chart comparing PRGTX against PONDX to illustrate your trading technique. I started looking into your previous post as well on VTI and EDV. Will post better response soon I hope, sinc…
Thanks Investor. My initial reaction is, of course, defensive, since I have taken a liking to dynamic allocation and am a fan of Mr. Faber's research. And, because the article, to paraphrase Ned Davis, seemed "pre-wired":
The research presented in t…
Thank you MJG. Are you also more buy & hold orientated? Or, do you apply technical or fundamental metrics on when to be in or out of different asset classes? I suspect this distinction is as profound as the active vs index, or high vs low fee ch…
Also from Mebane Faber's site more recently, the following link:
http://www.indexuniverse.com/webinars/on-demand-webinar-playback/16606-expert-series-dont-get-caught-in-the-value-trap-a-closer-look-at-the-cape-ratio.html
With Prof Shiller.
Reply to @PRESSmUP: Hi PRESSmUP. No problem. Will work up definitions list, but in mean time, please see previous post: A Look at Risk Adjusted Returns.
Reply to @teapot: Looks like PFIUX and SPLV are driven by lack of volatility as evidenced by low STDEV, DSDEV, and UI, the denominators of Sharpe, Sortino, and Martin, respectively. But Investor will remind us that we can't spend risk-adjusted retur…
