Archive for November, 2009

• Monday links: depression mode
  abnormalreturns, November 30th, 2009 at 1:12 pm, Comments: 0

  Hedge fund manager Bridgewater Associates is under fire for having gone into “depression mode” in their All-Weather portfolio.  (Pensions & Investments)
  “(T)rying to calculate industry-wide alpha is a mug’s game.  Hedge funds are not a cohesive asset class, they are a subset of many “alternative asset classes“.  (All About Alpha)
  David Varadi, “Most traders would be better [...]

• Sunday links: party poopers
  abnormalreturns, November 29th, 2009 at 11:59 am, Comments: 0

  The case for markets having overreacted to the Dubai World news.  (WSJ, James Altucher, FT Alphaville, VIX and More)
  On the role of Iran in the rise (and fall) of Dubai as an economic powerhouse.  (Clusterstock)
  Is Dubai a “canary in a coal mine” for commercial real estate or sovereign defaults?  (The Reformed Broker, 24/7 Wall St., [...]

• Friday links: bursting bubbles
  abnormalreturns, November 27th, 2009 at 10:37 am, Comments: 0

  Dubai World defaults.   Volatility returns.  (WSJ, Calculated Risk, Aleph Blog, Barron’s, The Reformed Broker, VIX and More, The Money Game, Felix Salmon, Curious Capitalist)
  Newsletter writers have become increasingly (and highly) bullish.  (Bespoke)
  Individual investors are unusually bullish.  (The Pragmatic Capitalist)
  Why are aluminum prices holding up?  (WSJ)
  Is a bubble in emerging market debt brewing?  (Economist)
  On the [...]

• Wednesday links: Sharpe experience
  abnormalreturns, November 25th, 2009 at 9:49 am, Comments: 0

  Palash R. Ghosh, “The correlation between U.S. and foreign stock markets, even the emerging markets, has become so strong as to render almost meaningless the concept of geographic investment diversification and asset allocation.”  (WSJ)
  Eric Jackson, “Survivorship bias leads to celebrating the winners and — usually — overinterpreting their moves leading up to their success and [...]

• Tuesday links: bear fund boom
  abnormalreturns, November 24th, 2009 at 12:13 pm, Comments: 0

  Individual investors are pouring money into long-short and bear market mutual funds.  (Bloomberg also Fund My Mutual Fund)
  Mark Hulbert, “I think it would be fair to say that the stock and T-Bill markets can’t both be right about the financial risks that exist today.”  (Marketwatch)
  What stocks “matter the most” to hedge funds?  (The Money Game)
  Is [...]

• Monday links: Treasury teaser rates
  abnormalreturns, November 23rd, 2009 at 12:17 pm, Comments: 0

  Are banks blind to the risks inherent in sovereign debt?  (FT also Capital Spectator)
  What exactly is a good Sharpe ratio for a commodity trading advisor?  (World Beta)
  Did John Paulson succeed due in part to his “antisocial behavior”?  (NYMag)
  Understatement:  agency mortgage-backed securities are rich.  (EconomPic Data)
  Realized volatility has once again caught up with the VIX.  (VIX [...]

• Sunday links: waves of social mood
  abnormalreturns, November 22nd, 2009 at 9:53 am, Comments: 0

  The S&P 500 is flat for the past 11+ years.  Where would you have done better?  (Floyd Norris)
  Jason Zweig, “People who regard themselves as risk-averse will assemble portfolios of highly similar stocks that all seem to be “safe.” The result, paradoxically, is a risky portfolio with every egg in one basket.” (WSJ)
  Are “waves of social [...]

• Top clicks this week on Abnormal Returns
  abnormalreturns, November 20th, 2009 at 10:08 pm, Comments: 0

  Last week’s top clicks were a hit with our readers so, without any further ado here are the top ten posts Abnormal Returns readers clicked on for the week ended on Friday, November 20th.  The description is as it read in that day’s linkfest:

  The twenty-five most valuable blogs in America.  (24/7 Wall St.)
  Doug Kass, “There [...]

• Friday links: market mood swings
  abnormalreturns, November 20th, 2009 at 12:34 pm, Comments: 0

  “For better or worse, the more likely culprit for the uptick in market mood swings is the increased popularity of ETFs.  As more take bets on sectors and asset classes rather than individual stocks, it has become a market where good news lifts all boats, and bad news sinks all ships.”  (Bespoke)
  The stock market is [...]

• Thursday links: costless capital
  abnormalreturns, November 19th, 2009 at 12:50 pm, Comments: 0

  When your cost of capital is 0% everything looks attractive.  (Kid Dynamite also Big Picture)
  Be wary when a private equity firm looks to go public.  (WSJ, Behind the Headlines)
  Using the Taylor Rule as a check on rate expectations.  (Accrued Interest)
  One overlooked downside to Fed policy is the dearth of opportunities for yield investors like insurance [...]