Here are
the week’s markets- and trading-related articles, now even less technical than
previously. Follow ‘MoreLiver’ on Twitter or Facebook. The LTRO
and JP
Morgan posts have been updated.
Previously
on MoreLiver:
GENERAL
Investing In A G-Zero World – The
Capital Spectator
"A world order in which no single country
or durable alliance of countries can meet the global leadership."…It's
easy to see a G-Zero world as favorable for investment opportunities, but it's
also a world filled with new and uncertain risks.
The Ultimate in High-Frequency Trading – All
About Alpha
Messaging
with neutrinos?
This was my fourth trip to the so-called Woodstock for Value Investors
and my latest attempt to capture the majority of the comments made by Warren
Buffett and Charlie Munger.
Making Banks Small Enough And Simple Enough To
Fail – Simon
Johnson / Baseline
The proposition is simple: Too-big-to-fail
banks should be made smaller, and preferably small enough to fail without
causing global panic…But big banks and the Treasury Department both opposed it,
parliamentary maneuvers ensured there was little real debate.
Economics professor in London: 'They aren't here to
learn, they're here to pass' | Joris Luyendijk – The
Guardian
Jeffrey Gundlach, Bond Savant – Businessweek
Since DoubleLine first took investor money in
April 2010, it has amassed $34 billion in assets. Even as it quadrupled in size
last year, DoubleLine’s $22 billion Total Return Bond Fund (DBLTX) outperformed
99 percent of its rivals. The firm takes in $80 million to $100 million in new
client dollars every day.
Interviews with Julian Robertson & Jim
Chanos – market
folly
Derivatives trader: 'The trouble is, regulators
are idiots' – The
Guardian
Joris speaks to a trader about City
short-termism, high pay, the excitement of recent years and why he now wants a
way out
How Wall Street Killed Financial Reform – Rolling
Stone
It's bad enough that the banks strangled the
Dodd-Frank law. Even worse is the way they did it - with a big assist from
Congress and the White House.
STRATEGY
On Covestor, Copycat Traders Auto-Buy as Mirror
Trading Takes Off –
Beta
Beat
A few years ago, Covestor pivoted to emphasize
an even weirder business: mirror trading. In addition to merely watching Mr.
Sykes make his millions from his Columbus Circle apartment, one can share the wealth by automatically mirroring his
moves.
CFA Conference: Eugene Fama – Above
The Market
some bullet
points from Fama’s presentation
John Hussman on the unsustainability of
high-growth and Apple
– Can
Turtles Fly?
Winning Methods of the Market Wizard - Jack
Schwager – Youtube
1 hour
video.
CFA Conference: James Montier – Above
The Markets
Quick
lecture notes. GMO’s asset allocator, previously SocGen’s co-head of global
strategy. The focus: bad models. bad policies, bad incentives and bad behavior. EDIT: just found the video
James Montier on why investors struggle to
follow the Magic Formula: Cognitive Biases and Behavioral Errors – Greenbackd
Diversification: Still the Only Free Lunch - dshort
To
diversify you need low correlations – and thus by minimizing correlations, you
minimize the variance!
How to Beat the Market, and Why Most Investors
Don't – dshort
Value and
momentum work, but sometimes they underperform for a year or two. Stick with
the strategy and don’t switch after a period of sub-par performance!
Angels, Pinheads, Capital Gains and Dividends – The
Psy-Fi Blog
Are
dividends really redundant? Many investors do not think so.
Asset correlations with minimum variance
portfolios – Portfolio
Probe
The minimum variance portfolios have slightly
reduced correlations to assets in weight-constrained portfolios.
HEDGE FUNDS
Billion-Dollar Traders Quit Wall Street for
Hedge Funds – BB
As banks slash or defer pay and reduce the amount
they’re willing to wager, the traders are seeing better opportunities at hedge
funds and investment firms that seek to profit in markets lenders are
retreating from.
Hedge funds head for big banana skin – FT
Diversification has proven the most robust
survival mechanism against failures of judgment by any one society, hedge fund
manager or style. But what if we are now a single global hedge fund community
afraid to take stop losses and convinced of an inflationary outcome to be all
short US Treasuries and long real assets?
Hedge Fund Inflows Slowing, a Report Indicates – DealBook
/ NYT
Inflows into hedge funds rose $2.3 billion in March, a significantly slower pace than the $6.8 billion increase in February. It is also much slower rate than the $13.9 billion of inflows posted in March 2011.
Inflows into hedge funds rose $2.3 billion in March, a significantly slower pace than the $6.8 billion increase in February. It is also much slower rate than the $13.9 billion of inflows posted in March 2011.
Infographic: The Worlds Richest Hedge Fund
Managers Exposed – mathfinance
ASSET CLASSES
Euromoney FX Fistfight Is Over for Another Year – The
Source / WSJ
The small fries have taken a beating this year
as the biggest banks have stolen a still-bigger proportion of the market share.
This year, the top five FX-dealing banks share a whopping 55% of the $4
trillion-a-day market.
CDS and Synthetic CDOs Explained – The
Big Picture
(video) Nationally renowned forensic accounting
expert, Thomas A. Myers, explains the fundamentals of credit defaults swaps and
synthetic CDOs (collateralized debt obligations).
Strategic Briefing: The Outlook For Oil Prices – The
Capital Spectator
Links and
summaries of recent articles
Long Term Secular Cycles on S&P – The
Big Picture
Some
nice-looking charts – inflation-adjusted.
Facebook – Retail Roadshow – Facebook
RISK MANAGEMENT
Don’t Fight the Last War: Lessons from the
Battlefields of Risk Management – Credit
Writedowns
Dealing with the unexpected - Stability breeds
instability - Correlated mistakes - One-dimensional thinking - The all
important question
JP Morgan Loss Bomb Confirms That It’s Time to
Kill VaR – naked
capitalism
The good news is the regulators seem to be a
step ahead of Dimon in turning their backs on VaR. FT Alphaville last week
reported on the latest missive from the Basel Committee on Banking
Supervision on capital requirements for bank trading operations. They said they
don’t like VaR and want to move to other metrics
History of Value-at-Risk: 1922-1998 – Holton (pdf)
27-page
working paper.