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- Time to Pick Up the Pieces of the Global REIT Thud [view article]
- Now is the Time for Inverse Sector ETFs [view article]
- Real Estate Bottom - or Prelude to a Drop? [view article]
- How to Invest Like Yale's David Swensen [view article]
- Short Cut to Profits? A Closer Look at Inverse Funds [view article]
- Home Prices See Record Declines in July [view article]
- Tuesday Outlook: Bailout Brouhaha [view article]
- A Tale of Two Coasts [view article]
- Commercial Real Estate Hits 7-Year Low [view article]
- Market Rewind: Exceptional Range [view article]
- An Endowment Portfolio From Publicly-Traded Vehicles [view article]
- Was China Behind Thursday's Market Sell-Off? [view article]
loading ...Recent IYR Articles
- Time to Pick Up the Pieces of the Global REIT Thud
- Friday Outlook: Who Let the Dogs Out?
- Wednesday Outlook: Approaching Capitulation?
- Real Estate Bottom - or Prelude to a Drop?
- Tuesday Outlook: Capitulation? Not Yet
- Friday Outlook: Investors Finally Giving Bad Data Its Due
- Thursday Outlook: Dysfunctional Politics
- Home Prices See Record Declines in July
- Tuesday Outlook: Bailout Brouhaha
- Short Cut to Profits? A Closer Look at Inverse Funds
- Full List of Articles »
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Greenspan Blasts Housing Bubble He Helped Create [view article]
The sad end of the story is that the victims, hard working americans are loosing their properties just because they bought at the wrong time or got carried away as what everyone else was doing. Of course that was wrong but people deserve a second chance, it is too much too loose. Help has come too late for most of them. While government spends trillions of dollars and human lives dying elsewhere no one calls that unmoral or irresponsible. Deflate housing but save the people not the lenders who gave their money irresponsibly.Reply
Greenspan Blasts Housing Bubble He Helped Create [view article]
you are all wrong.a rising tide lifts all boats & therewas no one who could pull the plug to let the tide out.that is our country.no one can say a word against goldilocks.after the collapse the finger pointing starts.i bailed @ 14,000dj.i never listen to talking heads.watch a cartoon & think for yourself. ReplyGreenspan Blasts Housing Bubble He Helped Create [view article]
Good article, right on the button.Addressing some other poster comments:
JohnP- You said the GSE's needed more regulation. The thing is, they have grown big enough that they are able to buy off the bosses of their regulator- hence no regulation. The system is broken, and they shouldn't exist.
User 209500- The home mortgage deduction simply inflates prices by the amount of the subsidy. To the renter, the tax benefits of renting are countered by the excess pricing due to the subsidy. Canada i a great example that housing market can exist with our this distortion. Phase out the HMD over a 10 year period.
winslow- Greenspan abandoned his Ayn Rand and hard money views after he joined the politicians in DC. Had he stayed true to his earlier wisdom he would have been right, but he wouldn't have been offered the chairman job either. It would have been offered to someone else that would promise to do what his political masters asked of him regardless of the long term consequences to the country.
Central planning is an ineffective at setting the prices of borrowed money as it is at setting prices of toothbrushes. Interest rates should simply be set by the supply and demand of savings. When savings scarce, as they are now, rates would be higher. This of course only works in a world where money can't be created from thin air.
Abolish the Fed, go back to an asset based currency.
Just because the politicians don't get the growth they seem to think the country deserves doesn't make it right to destroy the economic system. Being able to spend money without explicitly raising taxes is simply too seductive for the system to endure, regardless of the character of the people involved. This is why the original design of the country was the way it was. Unfortunately when the government came up against the restraint is was too easy to simply remove the restraint.
Reply
A Simple Momentum System for Beating the Market [view article]
Besides the 8-9% that stock markets make, one can only win what others loose. So who are the loosers when everybody outperformes by 10%?This is what EMH supporters tell hard cases.
Matt:
"Naturally all analysis is post"
You can develop a strategy with old data, say 1900 to 1980, and then validate the strategy with the data from 1980 until today. There are still some difficulties with that but you test the model on data which you didn't use to build the model, thats essential.
I can't believe I answered that seriously.
If you guys like, we can do an experiment, just say: "I'd like to".
cheers
rudi Reply
Greenspan Blasts Housing Bubble He Helped Create [view article]
I agree with you, JohnP. However, I would take your comments a step further. It is our system that allows for this collusive relationship between big business and big government. The road to hell is paved with good intentions and Fannie and Freddie are examples of this.The executive and legislative branches of government must be free to think and act in the objective interests of all their constituents. They cannot do this while their attention is constantly sought and consumed by well-funded lobby groups in DC. Congress, the Senate, even the occupants of the White House cannot help but become biases in favour of these lobbying interests when this is where all of their information and campaign funds come from.
I do not even blame lobbyists since they are only acting in their own interests, seeking their own advantage. They need to have their activities limited.
The problem is the system that allows this lobbying to take place and, since lobbying is so successful, effectively encourages corruption.
Stop blaming individuals and start looking at ways to fix the source of the problem: a system that encourages the corrupting influence of special interests and lobby groups. Reply
A Simple Momentum System for Beating the Market [view article]
Clearly Graham and Ken Fisher have been some of the most successful investors and both somehow managed to find time to write books while Fisher also has many peer reviewed papers published.The buy and hold arguement holds because eventually most stocks rise, and if you wait long enough your selections will as well. Combining sector rotation with long term objectives has been a hallmark of success for many long term holders thought of as buy and hold, the rotation is just slower for some people (Buffett) than others (Fisher). And some are much faster (Town).
It is not possible to copy Buffett's returns without copying his methodology, and that includes being an active manager, whether a a board member at Washington Post and Coke, or through selecting and retaining the management of the wholy owned companies.
Naturally all analysis is post, as are all back-testing analysis. You obviously can't analyze what hasn't happened, so that arguement seem disingenuous.
The risk is chasing old returns, so balancing over trading with getting in after the momentum has changed requires more thought. A less risky model may be to take benchmark risk against a market cap based world index like MSCI World by varying up or down the allocation of the sectors.
One thing missing is industry rotation in the article. Those that rotated out of retail, homebuilders, discretionary and autos last summer are and will likely continue to do well.
Matt Reply
A Simple Momentum System for Beating the Market [view article]
as far as i can tell there is sector and asset class rotation ata speed and with a power like never before. Imho this is precisely the to be expected effect of myriads of dumb quant funds chasing more or less the same momentum strategies. Since they follow price, not value they tend to actually hunt their own echos if they exercise a sufficiently large influence over the market. it seems to me, that this stage has arrived. so they rotate out of oil and oil stocks and out of solar into biotech and financials - producing a rapid price deline of the former and a rapid price jump for the latter. If both trends have gone far enough they will move on to the next sectors and assets. In the process, a growing market weight of that will tend to ever more shorten these cycles until they occur on weekly rather than multi-month cycles. Finally the speed at which the portfolios can be turned over will act as a natural border. When all is said and done though, longterm stock prices will rise nor faster or slower than without these momentum folks. But there will be a heck of volatility around the mean.What's my take? I gladly look out for value opportunities created by the brainless stampede of the momentum herd. They can chase the pennies (dwindling excess returns versus broad indexes of 2-3 percent per annum) while i will look to make the bucks (5-10%) outperformance on average. Reply
A Simple Momentum System for Beating the Market [view article]
Ikkyu:Ok I read the paper a second time:
If you assume a daily standard deviation of say 1%, then you get an approximate standard deviation (ignoring fat tails, using a hundret years, etc.) of sqrt(1*250*100) = 158%. If you would like to do a simple test you would compare the difference of both charts (Exhibit 2 and 3) to twice that standarddeviation. The cumulated returns of the traded series shoud be 300% larger than the buy and hold strategy to be 95% sure, not to have an incidental phenomenon.
To get the mentioned "scientific proof", a lot more would be neccesary. One thing that did never happen is a test of the hypothesis on true validation data. i.e. you apply an (appropriate) econometric test to data, that you never used for your analysis and which you don't use a second time!
"you guys act like Mr. Faber is some kinda snake-oil salesman!! "
Exactly. Because he does marketing for his book and he is unscientific.
I bet he would never put all his money in that strategy and lever. Neither would he (and wouldn't be able to) administer larger sums of money with that strategy.
I am very willing to discuss this further, if it helps to clarify!
Reply
A Simple Momentum System for Beating the Market [view article]
Price is a reflection of value. The value of an asset is equal to the total of all future earnings, such as dividends, which will be obtained from it, discounted for the interest that will be lost from having to wait to get these earnings. That said, Mr. Faber, kindly run this computation in Mathematica.ListLinePlot[Accumulat...
Prove to me that what we see in the markets is not, in fact, the above in disguise. Until then, I couldn't care less about your rotation/momentum system (or your book, for that matter).
Reply
A Simple Momentum System for Beating the Market [view article]
Excellent article. Thanks very much. ReplyGreenspan Blasts Housing Bubble He Helped Create [view article]
JohnP, bingo! It wasn't all of Congress not paying attention, it was a couple of dozen individuals that happened to be around during the Clinton years that were extremely familiar that it had become a personal safe bet. It always is when you create and defend the laws - In other words, legislating into thy own pocketbooks. It is this kind of collusion the Founding Fathers warned vehemently against and this financial crisis is not a new series of events either. Unfortunately for the American people, too much power has not been consolidated into one party that can manipulate the voters now or face losing there homes and further going broke if they don't dance the tune. And the rest are the sheep watching the main stream media on TV to see if Britany got cooked up and acted like a little whore again. ReplyA Simple Momentum System for Beating the Market [view article]
Puddi said: "Most such systems will make some money some of the time. If any system exists that makes good money all of the time, its inventor isn’t going to be writing a book about it."No trading system purports to make money all of the time. In fact, you can have less than 50% winning trades and can still make money. I suggest you read up on some basic trading theory.
Rudi said: "You didn't reveal any scientific proof because you can't."
Ah, dude first chill and then look at his peer-reviewed published academic paper! This is one of the most documented, pervasive effects in finance and you guys act like Mr. Faber is some kinda snake-oil salesman!!
Mebane, maybe these comments are an indicator as to why the momentum effect keeps on working....
Cheers from Osaka,
john Reply
Housing Crisis Likely to Wipe Out Two Decades of Family-Earned Wealth [view article]
Lots of conflicting housing information out this week. As I wrote recently, I think the first report is more accurate in terms of the major loss of wealth for Americans. ReplyGreenspan Blasts Housing Bubble He Helped Create [view article]
Alan Greenspan - the oxymoron of the economy. who elected him as chairman of Federal Reserve? This real estate slump was created by the Federal Government through the 'interest rate cut Rampage'. Mr. Greenspan (aka oxymoron) forgot that. He had no vision of the long term impact of that. Federal Government did it anyway to stimulate the economy to fund the war in Iraq. Poor bastards didnt even got the oil. Now everyone suffer... ReplyGreenspan Blasts Housing Bubble He Helped Create [view article]
Bingo get Bush re-elected. Reply