Daniel Moser

Fed Model Indicates Good Value Exists in Stocks, We Just Need a Catalyst

I agree that current Treasury yields are unnaturally low i.e. the prouduct of intervention. Quite frankly, I am in the camp that yields will be moving substantially higher in years to come. However, this scenario actually validates the Fed Model because it implies that treasury yields are too low relatively to earnings yields. Nonetheless, I am extremely skeptical of the Fed model in general. While I didn't include it, a simple regression analysis of the spread and S&P 500 returns produces in R^2 of about .23 which is far too low to rely on by itself.

I am pretty confident I mention it but, if not I will say it now, I assume that S&P 500 earnings for 2009 are going to be 25% lower than 2008 in my analysis. So the argument that analysts are going to take earnings estimates down is already incorporated into my analysis.

Good call on the graph. Next time I will be sure to include one if it is a similar piece.

The Shedlock-Schiff Affair: A Chronicle

What is amazing to me is that so many people came out so strongly against Schiff as though they absolutely knew he was wrong. As far as I am concerned, anyone who laughs someone out of the room for their ideas that might seem outlandish at the time rather than logically and intelligently debating them has no credibility whatsoever. I guess this is just a problem inherent in human nature. Will there ever be a day that we don't assume naively that we are right and the good times will never end? Maybe if everyone (people, advisors, and politicians) would start intellectually discussing issues rather than promoting idiocy investors wouldn't have lost so much money. I don't like perma anything. I like people who take a position and duke it out with their opposition all the while respecting the oppositions view. Funny how during all of those silly debates between Schiff and others....Schiff never lost his cool (from what I saw). Yet, his opponents never stopped yelling and laughing being entirely disrespectful of Schiff's views. And the ironic part, Schiff was by far more correct with what he said than anyone who argued with him. I am confident that Schiff is secretly having the last laugh...although he has enough class to not have that laugh out in the public eye.

Moment and Omega Rankings of Index ETFs

I have just recently discovered the concept of omega as a portfolio measure and I have a question for you...

How do you incorporate correlation measurements into portfolio construction using Omega as your maxmizing function during the construction process? I think I understand the objective behind seperating gains from losses for the purposes of capture various moments of the distribution but it seems like this process, on face, loses the ability to construct portfolios that utilize inverse correlations in the market place. Thanks for your help.