NO DooDahs

Market Bottom Already? I Don't Think So

The bottom was in January. The action in March was a lower-volume retest.

Societe Generale Trader Causes $7.1 Billion Loss in “Exceptional Fraud”

"Censored data?"

No. The guys with "rogue" gains take 'em off the table while they're still small, and enjoy their profits. The guys with "rogue" losses are the ones that double down again and again and again ...

Another Hedge Fund Tracker Launches

I love the marketing gimmick being played by this fund, and others of its ilk. “We’ll match the hedge fund ‘beta’ and return stream, but be transparent and less expensive, so PLEASE mister institution, place your ‘alternative’ allocation with US!”

Here’s another idea. Use the same approach, but rather than model an index, model a **constant** return!, and market it as a “whole enchilada” approach where someone could potentially put ALL of their money.

They could still market it as an alternative investment. Think about it – if they can achieve close to a constant monthly return stream, it is by default a non-correlated return stream when compared to **any other asset class** - and thus, a pretty good deal.

Why Technical Analysis is Nonsense

@ the Prince: please, don't go changing! Your trades will doubtless provide much profit for others. Could you disclose them, please?

@ Seeking Alpha: I am once again reminded why I rarely visit here.

Investing in the Basic Necessities

If you look carefully at the composition of PHO, you will find that there are very few - if ANY - pure plays on water in it.

Lots of utilities, technology companies, and suchnot, but very few companies that make a majority of their revenue finding and delivering water.

Just an FYI.

Sharpe Ratios on 2007 ETF Returns

Interesting. I've never looked at Sharpe or Sortinos on sub-annual timeframes by taking annual return data for year-ending on each point. Is this an industry norm of some sort, or are you innovating here?

When I've looked at ratios on shorter timeframes, I've taken the returns and standard deviations on that timeframe (daily, weekly, monthly, whatever) and calculated the ratios on that data. Of course, when doing it that way, it doesn't translate to an annualized ratio and one has to be consistent in making sure that statistics are only compared to the proper timeframes.

Speaking of translating, what is the correlation between daily year-ending return data Sharpes and non-overlapping year-period Sharpes? It would be interesting to see if what you've done translates to the larger scale.

Perhaps when you're bored over the holidays, you could some of the longer-running sector ETFs with 7-year Sharpes done both ways:

* 7 data points of non-overlapping years

* 7 x 252 data points of year-ending daily returns

... and see if they're consistent with each other. Purely academic, because as discussed previously, I'm not a huge fan of the Sharpes, Sortinos, Alphas, Betas.

The Risks of Following a Long-Term Guru

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The Risks of Following a Long-Term Guru

It's good to remember that every seller has a counterpart who is buying the shares sold -

E.W. Scripps Company: A Raging Short?

I'm amazed at the lack of logic and critical thinking applied in this post.

The author takes one show – "My House is Worth What?" – from all of the shows on four different television networks. He then slams it as "bubble-channel" and "car-crash fascination" based on the current home-price hysteria, and by association smears EVERY show on ALL FOUR networks with that image. From that, he conjectures falling revenues and an obvious "disconnect" from the stock price.

Has he looked at the cash flow statements, or any financials, for this company? Or does he make this judgment based on ONE SHOW that is about home prices?

Has he done any stringent examination of the networks' actual programming? There's a lot of material about living on a budget in those networks; in flyover country, some of us have housewives that cook, and the kitchen is a center of activity; the food shows are aimed at families preparing meals, not at gourmands eating at restaurants; even in the event of an economic downturn, wouldn't there be a marginal INCREASE in demand for "do it yourself" programming – which these networks are full up with?

Has he looked at the chart he provided? Down 10% YTD, in a market that is up 3-4%, may not be a "raging short" but it certainly wasn't bad, especially if somebody took advantage of the rampant fear mid-August to cover partially.

This is probably the worst Kedrosky I've read. Which is a shame, because while I expect this of most authors, I didn't expect it from Paul.

Sharpe Ratios on 2007 ETF Returns

When you say "annualized daily data" – what exactly do you mean? How many data points of return are evaluated for each ETF, and how many are used in the calculation of standard deviation?

I am GUESSING that you have 250-ish data points, each one being a return for the year period ending on each trading day of 2007, with the 3% RF being used for each point. Is that correct?

Persistence of the relationships is indeed the key.

Is your larger dataset also composed of industry (or other) ETFs? I would be curious about the relationship between return and volatility for the universe of exchange-traded stocks, but that would just be academic and not functional curiousity.

U.S. Foreclosures Surge

*Everybody* who stepped up and bought more home than they could afford is a speculator. If they were a first-time buyer "suckered" in, they should've stayed a renter. You can't cheat an honest man!

*Everybody* who took a HELOC that they couldn't afford to pay back is a speculator. Barnum had a word for those who wanted something for nothing, I believe it was "sucker."

Consumer spending may be some quantifiable percentage of G-D-P, but that is not the same thing as "the economy."

Let's play your flawed "econ-numbers" game for a minute, just for the sake of argument. You appear to be forgetting that economics is a marginal analysis, and not a light switch. Some small portion of the consumers curtail spending slightly because of foreclosure issues, because they still need to eat, drink, wear clothes, have transport, send their rugrats to school, etc. So a small portion cuts a small bit out of another fraction of G-D-P, and everyone wants to yell "recession!"

And remember, for those in not leveraged and in fine financial shape, even a downturn presents an opportunity.

U.S. Foreclosures Surge

RE is local, agreed. For most of the U.S. this is a non-issue, and those who specialize in real estate investing for the leverage, tax benefit, cash flow, and long-term appreciation (i.e. the "slumlord approach") are absolutely loving life right now. You may not realize it, but seeds are being sown for millions to be made by today's savvy foreclosure buyers!

I have no sympathy for anyone stupid enough to buy a home they couldn't afford, or who got stuck holding a bag trying to turn inventory in a (formerly) hot market. #$@#$^% them. Somebody's gotta buy at the top.

That being said, the fearmongering about this move in foreclosures is out of hand.

(1) A few members of a small speculative element is getting spanked, but many don't realize that many if not most members of that speculative element have already made their money on the deals.

(2) Another segment getting spanked is the marginal buyer, who should have been a tenant, but got greedy.

These are of very little impact in the grand scheme of things. The fear has actually wound up producing a buying opportunity in equities.

Merrill Likes Toyota Even With Strong Yen

Given that the Yen will almost certainly decline again as the carry trades are put back on (give 'em a month or two), dittos and megadittos.

U.S. Foreclosures Surge

The national foreclosure rate in July was one filing for every 693 households, or about one seventh of a percent (0.1443% or 0.001443) of all households. Oooh, vayweee skayweee!

At that rate, by the year 2065 we'll ALL be in foreclosure! ROFLMAO!

Catch the Beginning of the Coming Bounce: Buy, Buy, Buy

GS up 3% today, CFC up 13% today.