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Chris Ridder, CFA  

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  • Debunking 'Debunking Myths of a U.S. Monetary Collapse' Redux [View article]
    I was just using the data and example You provided. That is how ex-post alpha analysis is done.

    From your email sent February 11, 2011, "I think at this point, it's best that we part ways in our conversations." to me.

    Again, please stick to the issues and data that pertains to finance and economics.
    Aug 31, 2011. 01:41 PM | Likes Like |Link to Comment
  • Debunking 'Debunking Myths of a U.S. Monetary Collapse' Redux [View article]
    You write in a public forum and then get upset when a person who knows you disagrees and points it out? Deal with the economic & financial facts and issues on Seeking Alpha.

    You made a mistake and had almost 2 weeks to correct it, before it was pointed out; and then the same mistake was there when you republished it over 6 months latter!

    There is the claim that things should have been done privately but this proclamation is done in public.

    C'Mon' Man!!
    Aug 31, 2011. 01:32 PM | Likes Like |Link to Comment
  • Debunking 'Debunking Myths of a U.S. Monetary Collapse' Redux [View article]
    One can look down below, rebutting the author's example, to answer this claim of data mining.

    I heard the same thing in 1998 from brokers, not this author, that stocks were the way to invest. This does not make me right and the author wrong, but it is stated to show readers that other asset classes can outperform the stock asset class for long periods of time. I just computed the alpha of the Rogers Commodity index since July 1998 to July 2011. It was 8.47% a year. Shows that tatical asset allocation should be in the toolbox.
    Aug 31, 2011. 12:49 PM | Likes Like |Link to Comment
  • Debunking 'Debunking Myths of a U.S. Monetary Collapse' Redux [View article]
    Seeking Alpha means above market risk adjusted returns
    en.wikipedia.org/wiki/...

    Jensen's alpha = Portfolio Return − [Risk Free Rate + Portfolio Beta * (Market Return − Risk Free Rate)]

    I found the monthly, instead of daily, returns for the rogers commodity index. Indeed over the time frame from the close on Feburary 28, 2009 until the close on April 30, 2011. SPY did have greater absolute returns but not greater risk adjusted.

    The annual return of SPY over these dates was 35.3% (used yahoo finance dividends included so this was the total return after fees). The Rogers Commodity index was 33.2%. However the monthly beta of Rogers was .7942 over this time period. I assumed that the risk free rate was zero percent (even 25 bps did not change the outcome). So the equation simplifies down to:

    Jensen's alpha = Portfolio Return − [ Portfolio Beta * Market Return]

    Alpha = 33.2% - [.7942 * 35.3%]

    Alpha = 33.2% - 28.04%

    Alpha = 5.16%

    Cost of Rogers ETF is .75% a year which would leave 4.41%.
    Take off another 1 % for an asset manager fee and you are still left with an Alpha of over 3%.
    Aug 31, 2011. 12:27 PM | Likes Like |Link to Comment
  • Debunking 'Debunking Myths of a U.S. Monetary Collapse' Redux [View article]
    I wrote, “So far it looks okay for “things” compared to companies, but without a time horizon it is difficult to have a “hard science” comparison. However, for a trader or an investor doing tactical asset allocation, 6 months might be considered a long time. … There are just times a trader wants to be long things and not companies. “

    I believe most people would agree that for most traders 6 months is considered a long period of time. What about investors doing tactical asset allocation? (explanation of tactical asset allocation www.investopedia.com/t...) How long have things outperformed companies? Notice in the chart link posted that there are long time periods where commodities seem to outperform other asset classes.

    The famed investor Jim Rogers started a commodity index, so that he could invest in it, on July 31, 1998. The index level was 1000. www.rogersrawmaterials...

    As of August 29, 2011, the index level was at 3956.95 for an annualized total return of just over 11%. Since the data referenced was the sp500 I looked up the total return of SPY over these 13+ years. SPY adjusted for dividends had a price of $90.39 (from yahoo finance) and on August 29, 2011 the closing price was $121.36 for an annualized total return of 2.29%.

    Typically, asset managers charge a 1% fee for stocks investments and most likely between 2-3% for commodities (Rogers etf is .75%). After subtracting fees of 3% from the commodity index it still has an 8% annual return; while if a person just bought and held the SPY they received just over a 2% annual return. By definition the SPY investor did not produce any “Alpha”, and while I don’t have time to make the daily data into returns and run the regression, I would think it very highly probable that the commodity index did produce the “Alpha” that investors are seeking, and this is even for a period of over 10 years!
    Aug 30, 2011. 02:42 PM | 1 Like Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    I have replied to your comments about the US while this article was about Europe. I further showed M1 climbing at higher rates in Europe than US M1 or M2 in the 1970's. We can disagree about methodology since that is nothing new in the discussion of ideas.
    Aug 26, 2011. 02:09 PM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    I just checked US M1 growth from Jan 1970 to Jan 1980 and it was 6.36% while US M2 was 9.64% (using NSA). ECB growth at over 10.5% in M1 was much higher.
    Aug 26, 2011. 01:38 PM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    I would suggest using this hypothesis over on the original post of Gold vs Fed Balance Sheet, since this article deals with Europe.

    I started with the lowest base money I could find, since I wanted to attempt to be as near to final payment, i.e. money, and not credit instruments. I am expecting to do further research into other countries and higher M's in the future. One step at a time for now.
    Aug 26, 2011. 01:29 PM | Likes Like |Link to Comment
  • Making Sense of Sino-Forest [View article]
    www.zerohedge.com/news...
    Aug 26, 2011. 01:05 PM | Likes Like |Link to Comment
  • Making Sense of Sino-Forest [View article]
    Muddy Waters Wins

    www.zerohedge.com/news...
    Aug 26, 2011. 01:04 PM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    "M1 fell in the 1970's ..." This is empirically incorrect, from January 1970 to January 1980 M1 grew at a 10.53% annual rate. This then refutes the conclusion, "It's not a real shocker that during the high inflationary '70s, M1 would be lower, and hence a gold/M1 ratio would be higher. "

    Date ECB M1 in Millions
    1980Jan 444852
    1979Jan 408528
    1978Jan 365881
    1977Jan 325151
    1976Jan 299355
    1975Jan 261605
    1974Jan 238431
    1973Jan 225173
    1972Jan 198807
    1971Jan 178489
    1970Jan 163416
    Aug 26, 2011. 12:36 PM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    I would point out the price of gold rising in the 1970's despite high nominal interest rates. The "real" interest rate would seem to be much more important factor in determining the price of gold.
    Aug 26, 2011. 10:44 AM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    If we take the premise "no one really knows what is the relevant measure of the stock of money. Is it M1? Is it M2? Is it something else?" and combine with another premise, "money supply is that stock of assets that determine the price and business cycle output fluctuations" then how is the price ever going to be determined of any asset, not just gold, since money supply is presumed to not be known?

    You can also look at my reply to H.J. HuneyCutt for more explanation.
    Aug 26, 2011. 10:42 AM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    If there is "no easy and objective way to value gold" then how will one ever know if it is a bubble? At best you are left as an agnostic with respect to the price of gold.
    Aug 26, 2011. 10:33 AM | Likes Like |Link to Comment
  • Gold Vs. European Central Bank Money Supply [View article]
    The thesis is that investment demand for gold is driven by the perception of how sound the banking system is. If money supply is growing fast then the ratio of gold/ and a certain "M" should be falling. Eventually if the increase in "M" continues long enough; investors will, most likely, become fearful of inflation, or the soundness of credit, and begin to move allocations into gold and the ratio will then stabilize or increase. A reversal of the expectation would have the opposite effect.

    Also, if one has the expectation that consumer / industrial consumption of gold will remain stable as a percentage of the economy, then as money circulates and grows, along with the economy; then demand for gold should move with it. Of course one can disagree with this expectation.
    Aug 26, 2011. 10:26 AM | Likes Like |Link to Comment
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