Archive for October, 2009

• Top clicks this week on Abnormal Returns
  abnormalreturns, October 30th, 2009 at 2:52 pm, Comments: 0

  As a little crowdsourcing experiment we are going to try something new.  Below are the top ten posts Abnormal Returns readers clicked on for the week ended on Friday, October 30th.  The description is as it read in that day’s linkfest.
  You could use this in a couple of ways.  First it could serve as a [...]

• Cash, diversification and hedging
  abnormalreturns, October 30th, 2009 at 2:16 pm, Comments: 0

  As Carl Richards at behavior gap says in plain language what many have felt this past year.  “Losses hurt [a lot]!“  The question is what can an investor do to mitigate the risk of unprotected equity investments.  To answer this we need a couple of definitions.
  The word hedge has many definitions including some related to [...]

• Friday links: slow capital
  abnormalreturns, October 30th, 2009 at 11:44 am, Comments: 0

  “In summary, there are always uncorrelated assets, but they are unlikely to maintain the same correlation throughout all market cycles due to the fact that all market cycles are different.”  (The Pragmatic Capitalist)
  ETNs are expensive to trade.  (IndexUniverse)
  David Merkel, “Bond indexes are what they are.  They represent the average dollar invested in the bond markets.  [...]

• Thursday links: uncorrelated returns
  abnormalreturns, October 29th, 2009 at 7:21 am, Comments: 0

  A couple of short-term oversold measures.  (VIX and More, Quantifiable Edges)
  Most investors would have been better off doing nothing the past eighteen months.  (IndexUniverse)
  Paul Tudor Jones, gold and the future of hedge funds.  (The Pragmatic Capitalist, market folly, FT Alphaville, DealBook)
  “High-velocity hedge funds aren’t really about investing,” said one hedge fund founder. “It is a [...]

• Wednesday links: stale prices
  abnormalreturns, October 28th, 2009 at 11:55 am, Comments: 0

  Don Fishback, “It appears as though VXX is yet another in a long line poor performing ETFs that are based on futures products.”  (Don Fishback)
  Eddy Elfenbein, “There’s a lot wrong with EMH, but I don’t think we can hang our current mess on it.”  (Crossing Wall Street)
  For the past 25 years gold has not been [...]

• Why context matters
  abnormalreturns, October 28th, 2009 at 11:40 am, Comments: 0

  I believe virtually everything I read, and I think that is what makes me more of a selective human than someone who doesn’t believe anything. – David St. Hubbins from This Is Spinal Tap (1984)
  Josh Gerstein at Politico recently wrote a piece that compared how similar incidents during both the Bush and Obama administrations have [...]

• Tuesday links: stock price fragility
  abnormalreturns, October 27th, 2009 at 11:52 am, Comments: 0

  Eric Falkenstein, “I would estimate 90% of all alpha is misrepresented.”  (Falkenblog)
  Just what is the “implied cost of assuming alpha’s existence“?  (All About Alpha)
  Everyone is reading the newly bearish quarterly missive from Jeremy Grantham.  (Market Beat, Credit Writedowns, The Money Game, MarketBeat, Investment Postcards, Fund My Mutual Fund)
  An updated look at pullbacks in this market [...]

• Monday links: transport weakness
  abnormalreturns, October 26th, 2009 at 12:04 pm, Comments: 0

  “The hedge fund industry is on the brink of recouping all its investment losses sustained during the credit crunch, placing many funds in a position to earn performance fees.”  (WSJ)
  What are we to make of the weakness in Transports?  (Small Fish, Big Odds, VIX and More)
  US dollar volatility is returning to normal levels.  (Bespoke)
  How is [...]

• Just who is the smart money?
  abnormalreturns, October 26th, 2009 at 8:41 am, Comments: 0

  The following comment by Joe Weisenthal via Twitter got us thinking about just who is the “smart money” these days.
  With the junk bonds rallying, you don’t hear as much about how “smart” the bond market is, and how it leads stocks.  
  The point that Weisenthal is making is that the bond market is only “smarter” when [...]

• Sunday links: your own time horizon
  abnormalreturns, October 25th, 2009 at 3:20 pm, Comments: 0

  Jason Zweig, “As an investor, you are free to choose your own time horizon. If other people want to try earning a few fractions of a penny a few thousand times a day, you should wish them well — and refuse to join them.”  (WSJ)
  “The wild ride of the last decade or so does not [...]