Archive for June, 2009

• Do correlations matter when the world is on fire?
  abnormalreturns, June 30th, 2009 at 3:45 pm, Comments: 0

  The econoblogosphere was set abuzz by an article by Eric Martin and Michael Tsang at Bloomberg.com that documents the high correlations of late between risky asset classes.  (You can read reactions from Clusterstock, FT Alphaville, Fund My Mutual Fund, The Reformed Broker and New Rules of Investing.)  Asset class correlations are a key component in [...]

• Tuesday links: a lack of true diversity
  abnormalreturns, June 30th, 2009 at 1:31 pm, Comments: 0

  The Achilles heel of the endowment investing model:  a “lack of true diversity.”  (WSJ, ibid)
  Does the “golden cross” in the S&P 500 provide any sort of edge?  (Trader’s Narrative)
  What happens for the rest of the year after the Nasdaq outperforms the Dow though June.  (Bespoke)
  What do overpriced options tell us about market performance going forward.  [...]

• Monday links: a hot start
  abnormalreturns, June 29th, 2009 at 12:07 pm, Comments: 0

  Hedge funds are on track for their best start to the year since 1999.  (WSJ also BusinessWeek)
  Has the high yield rally run its course?   (WSJ)
  “Many ETF investors do far worse than a buy-and-hold strategy.  Essentially, the ETF facilitates all of the worst psychological traits of the individual investor.”  (A Dash of Insight)
  Indexing isn’t perfect, but [...]

• Sunday links: savings surge
  abnormalreturns, June 28th, 2009 at 8:33 pm, Comments: 0

  Are university endowments set to return to traditional asset classes now that they are facing illiquidity woes?  (Barron’s)
  How the rising number of dark pools of liquidity affects individual investors.  (Barron’s also MarketBeat)
  A sentiment overview for the week.  (Trader’s Narrative, Technical Take)
  VIX in the mid-20’s here we come.  (VIX and More)
  Why do investors continue to bet [...]

• Friday links: plain vanilla finance
  abnormalreturns, June 26th, 2009 at 8:42 am, Comments: 0

  Today’s edition of the linkfest is an early affair.  In the meantime feel free to check out the rest of the StockTwits Network.
  A longer term look at global equity risk premia.  (Value Expectations)
  Individual investors have gotten pretty bearish.  (Bespoke)
  The VIX has dropped too far, too fast.  (VIX and More)
  Combining the rotation and timing systems.  (World [...]

• Thursday links: nomination devaluation
  abnormalreturns, June 25th, 2009 at 11:25 am, Comments: 0

  3x leveraged S&P 500 ETFs are coming.  (IndexUniverse, VIX and More, Clusterstock)
  Country P/E ratios.  (Bespoke)
  “The multi-billion dollar IPO is back – at least in Brazil.”  (Breakingviews)
  Have earnings expectations moved ahead of reality?  (The Pragmatic Capitalist)
  “Even the best made trading plans and analysis can be ignored after the market throws you a curve ball and administers [...]

• Wednesday links: broken futures
  abnormalreturns, June 24th, 2009 at 1:07 pm, Comments: 0

  Who broke the wheat futures market?  Commodity indices.  (Felix Salmon)
  Tracking the natural gas/crude oil ratio for trades.  (Caveman Forecaster, FT Alphaville)
  Is the bloom off the Warren Buffett rose?  (Bespoke)
  Why are some hedge fund still limiting redemptions?  (WSJ, ibid, DealBreaker)
  Country equity performance since the June 2nd top.  (Bespoke)
  Some one official finally notes the risk of leveraged [...]

• Tuesday links: mistakes traders make
  abnormalreturns, June 23rd, 2009 at 11:14 am, Comments: 0

  “Two of the main arguments against stocks right now are that the market has gone too far too fast, and insiders are selling.  When you look past the headlines, however, both arguments lose much of their impact.”  (Bespoke)
  “Insiders are selling their company shares at a pace not seen in two years, providing further evidence that [...]

• What ETFs are in your toolbox?
  abnormalreturns, June 22nd, 2009 at 3:13 pm, Comments: 0

  The long-simmering debate over the utility of ETFs broke out into the open over the past couple weeks.  There were two distinct criticisms of the ETF industry.  The first was lodged by us here at Abnormal Returns, Matt Hougan at IndexUniverse.com, Scott Burns at Morningstar.com and the crowd FT Alphaville.  The gist of the argument [...]

• Monday links: performance divergence
  abnormalreturns, June 22nd, 2009 at 1:14 pm, Comments: 0

  Active, long-only equity management is on the outs with institutional investors.  (WSJ)
  Three summer market scenarios from Doug Kass.  (TheStreet)
  “Given the big recent stock gains, investors seem to be waiting for either a fall in price or a considerable brightening in the economic outlook before they put a lot more money into the market.”  (WSJ also [...]