A separate, forthcoming study in the Review of Financial Studies has also found that the difference between Wall Street and independent stock research has largely disappeared. (It was conducted by Ohad Kadan of Washington University of St. Louis; Leonardo Madureira of Case Western Reserve; Rong Wang of Singapore Management University and Tazchi Zach of Ohio State.)
via Strategies – Stock Analysis, Then and Now – NYTimes.com.
So we’d submit that the “hedge fund light” moniker often applied to the strategy has done it a disservice since investors may have assumed this meant 130/30 was just a hedge fund with a “lighter” volatility, not a “lighter” idiosyncratic risk.
If the AUM decrease seen over the past six months shows us nothing else, it’s that investors have a higher aversion to idiosyncratic risk than systematic risk right now. (This also explains some of the increasing popularity of very-high-volatility index ETFs.)
130/30 is indeed a “cool” idea that puts to test the manager’s ability to actually produce alpha. But recent markets have been rough on the bread and butter investment strategies underlying some 130/30 funds. So, for now, we say they’re both cool and they’re dogs. They’re cool dawgs.
via AllAboutAlpha.com» 130/30 Today’s Post » 130/30 once had “cool factor” now has fleas?.
But Chinese and western officials in Beijing said China was caught in a “dollar trap” and has little choice but to keep pouring the bulk of its growing reserves into the US Treasury, which remains the only market big enough and liquid enough to support its huge purchases.
But I read a few large chunks of Andrews’ book a month or so (I had a galley), and the main personal finance lesson I drew from it was, Don’t ever get divorced.
via Personal finance tip No. 1: Stay married – The Curious Capitalist – TIME.com.
Bob Shiller:
“A financial crisis needs general thinking, and a team of specialists will have difficulty understanding the whole thing,” he says. “Nouriel’s approach has always been worldwide, which is not rewarded in academia. There’s an element of luck in everything, but it’s not random who he is.”
So, Mr President, the bill now being considered in Congress is in direct contradiction to your campaign pledge. Will you now please stand up for principle and issue a veto threat?
do credit card interest rates actually reflect credit quality? I have never worked on the consumer end, or for a bank, so I have no inside knowledge. The thing that bugs me about it is the complete lack of granularity in the rates. I can price a CDS or a CDO to within a hundredth of a percent (a basis point, bp). You may think I’m just making it up, or concentrating tail risk, or performing a market and thereby creating the market, but at least I can get very specific with rates and prices. I can also tell you the specific movements that move it 10 basis points this way or that way. I never have seen that with credit cards.
via Credit Card Reform: Does my credit card’s interest rate mean anything? « Rortybomb.
t: I basically agree with this, although it’s couched as though we disagree. I’m the “author who has been widely published on the subject of Wall Street’s use of mathematical models” the blog entry is talking about.
via Felix Salmon » Blog Archive » Friday links don’t look very encouraging Blogs .
Innovative Quant Solutions out with a brief looking at the future of quant factors and whether it even makes sense to diversify these at all in 2009
Yet when you look back at the causes of the financial crisis, you’d have to say that the Fed’s failure to do anything to rein in the credit bubble of 2003-2006 was one of the biggies.
So it’s been interesting to see how just about every new regulatory reform proposal coming out of Washington looks to increase the Fed’s power and to increase the Fed’s discretion.
via Fed wins, SEC loses. Is that really a good idea? – The Curious Capitalist – TIME.com.
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