nickgogerty

http://www.gogerty.com
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209 Comments

    • Tue Jun 17th 09:20 AM | Rating: 0 0
      Commented on:
      Sharpe Ratios of Leading Fund Managers
      Meb, nice article, you are correct the sharp ratio does penalize upside volatility. You are also correct in showing the variances in Sharpe's over time. Most of the research I found indicates Vol a pretty good predictor of drawdown, with the exception of option selling skewing outcomes.

      From a behavioral perspective most investors underperform their investment vehicles due to buying high and selling low. I wonder how behaviour, ie. exiting funds and investor returns correlate with volatility. Money flows into mutual funds or ETF's could probably be mined for the data.
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    • Tue Jun 17th 09:08 AM | Rating: 0 0
      Commented on:
      Raser Technologies: A Short Squeeze in the Making
      any thoughts on the tax equity financing that could disappear if the renewable energy bill doesn't get passed?
      View article »
    • Mon Jun 16th 11:17 AM | Rating: 0 0
      Commented on:
      Global Returns: Stocks Down, Bonds Down
      Indicating wether the currency factor was local or converted back to dollars would be helpful. Otherwise, put it all in Zimbabwe for mega returns....ex currency mises.org/story/2532
      View article »
    • Mon Jun 16th 11:10 AM | Rating: 0 0
      Commented on:
      Whither Municipal Bond Insurance?
      the irony in my mind, is that the things that brought problems to MBIA etc. was a failure in correlation products such as CDOs. MBIA itself is a correlation bet that is structured to fail. The occasional muni default wouldn't pose a threat to MBIA, but defualt coverage when needed by the most people will correlate and will cause a payment failure to cover. MBIA itself is the uber structured correlation asset with most exposure in one asset class (US municipal securities). Many purchasers of insurance will likely discover they own the equivalent of the equity tranche of a structured product at a most inopportune time.
      View article »
    • Mon Jun 16th 10:55 AM | Rating: 0 0
      Commented on:
      Risk-Based Asset Allocation: Worth the Effort
      by using a metric "monthly" that is smaller than your period of auto-correlation moment 252 days aren't you building in the autocorrelation tautologically.

      vol by definition is mean reverting (due to its constraints of 0 in teminus for the referent) and thus has auto-correlation, but I think it is important to perhaps calculate your vol on a 30 day rolling metric and then look for monthly auto-correlations. Perhaps you used a 30 day vol., but the chart indicates 252 (annualized) vol and then refers to monthly correlations.

      The serial auto-correlation in returns is close to zero as stated, but present and positive with a historically positive skew, hence stock market growth over time.

      A regularly updated traditional risk model using Monte carlo or mean variance allocation is a form of trend following in its own right. Not that, there is anything wrong with that, but it should be acknowledged for what it is.
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    • Fri Jun 6th 09:58 AM | Rating: 0 0
      Commented on:
      Home Equity LTVs In Stratosphere
      nice article. Some good data compilation.
      View article »
    • Fri Jun 6th 09:49 AM | Rating: 0 0
      Commented on:
      The Perils of Construction in the U.S.
      any numbers or stats to back up the story would be appreciated.
      View article »
    • Fri Jun 6th 09:35 AM | Rating: 0 0
      Commented on:
      Portfolio Theory: The Unnatural Alternative?
      portfolio theory is trend following in drag and assumes "knowledge" in the Soros sense that isn't there.
      View article »
    • Thu Jun 5th 18:17 PM | Rating: 0 0
      Commented on:
      Leading Academics Talk to Hedge Fund Managers About Freud, Finance and 'Quacks'
      Ask Stan O'neil, Angelo Mozillo, Robert Nardelli, etc. nice exit packages for those fellows and millions of people bought their shares :)
      View article »
    • Wed Jun 4th 09:52 AM | Rating: 0 0
      Commented on:
      Muni Defaults Triple
      rising defualts are part of the subprime process. property taxes are a function of rolling 5-7 year assessments in many cases. expect declining taxes to lead to more muni defaults for the next 3-4 years.
      View article »
    • Wed Jun 4th 09:49 AM | Rating: 0 0
      Commented on:
      Internet Traffic Growth Does Not Matter
      80% of net traffic is p2p file sharing. www.readwriteweb.com/a...

      the telcos throttle this traffic which is nasty as skype and advanced Net based VOIP services get degraded. The carriers want to protect their premium voice offerings, it is a losing battle. 8-9 years out can anyone imagine anything other than pure IP without having to pick a wireless or voice traffic. SIP protocal uber alles. Expect rapidly declining ARPUS on voice and cellular in 3-4 years in the US. It is already happening in the Europe www.fiercewireless.com...
      View article »
    • Tue Jun 3rd 10:14 AM | Rating: 0 0
      Commented on:
      Iowa Farms Harvested $4 Billion of Subsidies in 3 Years
      with a population of 3m people that works out to $1,333 per person in the state of iowa.
      View article »
    • Mon Jun 2nd 09:41 AM | Rating: 0 0
      Commented on:
      Heard Enough about Alternative Energy? Think Energy Efficiency
      good article, a smarter grid and HVDC could definitely help.
      View article »
    • Fri May 30th 17:13 PM | Rating: 0 0
      Commented on:
      Do You Need to Be Abnormal to Trade Successfully?
      By definition success that is beyond average is deviant behaviour. It is just common usage of the word to ascribe deviance as a negative trait. Success is positive variance and therefore by definition requires deviance. Large deviance is exactly what people seek in their investment's results, unfortunately it isn't always on the correct side of the curve
      View article »
    • Tue May 27th 09:05 AM | Rating: 0 0
      Commented on:
      700 ETFs and Counting: A Bird's-eye View
      Nice overview of the space and the sectors.
      View article »
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