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Cam Hui, CFA  

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  • 'Did You Expect GOOG To Trade At A PE Of 10?' And Other 'Smart Beta' And Factor Investing Questions [View article]
    Elisabeth:

    If I could respond to your points:

    "In my blog "Smart Beta 4: Factor Exposure's Curveball", I demonstrated the opposite of what you claim, namely that virtually all funds have factor exposure, and therefore conflating smart beta and factor exposure implies that practically all ETFs are smart beta funds."

    We need to define some terms here. Exactly what do you mean by "factor exposure"? I define it in a Barra-like framework, i.e. if your factor exposure is different from the benchmark (whatever that means) you have an active factor bet.

    Second, the point I was trying to make is that smart beta is just factor exposure re-packaged. Back in 1970s and early 1980s there was a host of anomalies literature from finance academics, e.g. small cap, low PE, low PB, etc. Institutions jumped on those anomalies and invested accordingly, until they discovered the value-growth cycle. Most smart beta funds are a form of re-packaging of those (value) anomalies.

    "Also, your guidance that "If it is marketed as a passive or semi-passive portfolio, then the investor has to make a decision of whether those more or less permanent industry bets make sense as a way of creating alpha." is a touch overstated. "

    Most value anomalies are not one-size-fits-all factors across sectors. A naïve implementation, which ignores sector and industry, will give you sector biases in your portfolio. It is unclear whether most individual investors understand that nuance. A sector or industry neutral value factor, e.g. low PE, may not work well in all sectors, such as Tech because Tech is more growth and momentum driven.

    To be sure, there are some factors that work well across all sectors, such as estimate revision, earnings surprise, insider activity, price momentum, but not all do.

    I hope that my clarifications help.

    Cam
    Apr 25, 2014. 09:43 AM | 2 Likes Like |Link to Comment
  • 'Did You Expect GOOG To Trade At A PE Of 10?' And Other 'Smart Beta' And Factor Investing Questions [View article]
    No they don't.

    Imagine a cap weighted index with two stocks, A and B. They start off with weights of 50% each. You invest an equal amount (index weight) in A and B.

    A month passes. A has doubled, while B has returned 0%. The new weights are A (66.7%) and B (33.3%).

    Question: Why would you need to trade if you stay at index weight?
    Apr 24, 2014. 08:24 PM | Likes Like |Link to Comment
  • 'Did You Expect GOOG To Trade At A PE Of 10?' And Other 'Smart Beta' And Factor Investing Questions [View article]
    Thank you for the edit.
    Apr 23, 2014. 09:08 AM | Likes Like |Link to Comment
  • New All-Time Highs = Secular Bull Market? [View article]
    I agree with you about the A/D line, etc., but your time horizon is too short for the secular bull vs. bear discussion. The secular bull/bear question has to do with the expected return of stocks over the next decade, which is not something that you can determine with indicators like A/D line, earnings estimates and so on.
    Mar 10, 2014. 05:50 PM | 1 Like Like |Link to Comment
  • New All-Time Highs = Secular Bull Market? [View article]
    Here is an older chart of market cap to GDP that goes back to 1925. Average was 59.24%

    http://bit.ly/1qqENfJ
    Mar 10, 2014. 05:48 PM | Likes Like |Link to Comment
  • How 2014 Could Be Like 1929 [View article]
    See start date for y-axis. October 2007 = 100.
    Feb 17, 2014. 09:31 PM | Likes Like |Link to Comment
  • Is The Correction Over? [View article]
    Author’s reply » In a previous post (see http://bit.ly/1ku0KZW) I pointed out that Thomson-Reuters took apart the components of earnings growth by quarter. Estimated Q4 EPS growth has a very low component from sales growth so a very low sales growth is not a surprises.
    Note how expected sales growth rises in Q1, Q2, etc.
    Feb 9, 2014. 08:09 PM | 1 Like Like |Link to Comment
  • Are Stocks Tumbling Too Far Too Fast? [View article]
    He seems to have taken down the post. Not sure why. Try following the link from Abnormal Returns: http://bit.ly/19WznnR
    Jan 26, 2014. 10:30 PM | Likes Like |Link to Comment
  • Are Stocks Tumbling Too Far Too Fast? [View article]
    Also see Bill Luby's excellent post on the short-term profitability of fading VIX spikes: http://bit.ly/1aVppBk
    Jan 26, 2014. 12:46 PM | 2 Likes Like |Link to Comment
  • What Are The Bearish Triggers? [View article]
    Just follow the link for New Deal Democrat in the article.
    Jan 22, 2014. 08:33 AM | Likes Like |Link to Comment
  • A Time For Caution [View article]
    It sounds like a sensible approach, but I haven't seen the backtest results to comment whether that represents a good rule or not.

    I would focus more on forward 12 month earnings estimates, because if you focus on any single forward FY, EPS estimates have a tendency to drop while forward 12 month normalizes expectations.
    Oct 25, 2013. 12:52 PM | 1 Like Like |Link to Comment
  • Why A Gold Standard Is A Bad Idea (Government Interfering In Free Market Edition) [View article]
    Any fixed exchange rate regime, yes that includes CNY, presents the same problem. We have seen the same thing happen in Europe with the euro - national governments can't print so the adjustment process is very painful.
    Oct 7, 2013. 09:06 AM | 1 Like Like |Link to Comment
  • My Lehman Lesson: Model Diversification And Flexibility [View article]
    Rosenberg made the stagflation comment recently on August 1, 2013.
    Sep 17, 2013. 09:19 AM | Likes Like |Link to Comment
  • Who Pays For China's Excesses? [View article]
    I never said that the government's preemptive actions would fail. I just pointed out that it will be challenging to navigate the road ahead without an accident, given the constraints that they operate under.
    Aug 12, 2013. 02:01 PM | Likes Like |Link to Comment
  • What A Regime Shift Looks Like [View article]
    Sorry folks. It seems that SA cut off some of my post. Here is a link to the full article: http://bit.ly/18qPNUf
    Jul 18, 2013. 05:06 PM | Likes Like |Link to Comment
COMMENTS STATS
117 Comments
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