| Lost decades are rare |
| 06/16/25 | | Markets |
"Lost decades are periods where U.S. stocks generate little to no total return for roughly a 10-year period (or longer). The three most prominent lost decades in U.S. stock market history occurred in the 1930s, the 1970s, and the 2000s. In each of these periods, U.S. stocks declined by 50% (or more) and then took around a decade to recover. The good news is that lost decades don't happen too often. In the 10 decades from 1920-2020, only 3 of them would be classified as such. But, do you know what's even better? When we take into account how a typical person invests their money, these lost decades become shorter and less prevalent. "
|
| It's affordability |
| 06/08/25 | | Markets |
"While macro data may point to an economy that appears resilient - with moderate nominal growth, low unemployment, and steady consumer spending - beneath the surface, an affordability crisis is building. Though it may spare those with inflated assets, it is marginalizing and demoralizing a vital portion of the U.S. population."
|
| Drawdowns and recoveries |
| 06/02/25 | | Markets |
"Long-term investors need to be aware of the pattern of drawdowns and be prepared to face them when they inevitably occur. The best investors and stocks suffer through large drawdowns, which can be considered a cost of doing business over the long haul. The median drawdown for the 6,500 stocks in our sample from 1985-2024 was 85 percent and took 2.5 years from peak to trough. More than one-half of all stocks never recover to their prior highs. Relative to smaller drawdowns, larger drawdowns, on average, take longer to occur, recover to the previous peak less often, and yet can provide attractive returns off the lows. Recoveries from drawdowns of all sizes have significant skewness, which means some stocks do extremely well relative to the pack. As a result, average returns from rebounds are higher than median returns."
|
| Buying the dip wins again |
| 05/20/25 | | Markets |
"Retail investors have won again. When trade tensions flared in early April and about $6.6 trillion in market value vanished from US stocks in just two business days - the fifth-worst two-day drop since the S&P 500's creation in 1957 - they didn't panic. Instead, they did what they've learned to do over the past 15 years: They bought the dip. Six weeks later, the US stocks benchmark has not only recovered but surpassed its pre-tariff levels, delivering a gain of about 17% from the lows to those who kept their nerve."
|
| Profitability retrospective |
| 05/20/25 | | Markets |
"rofitability subsumes all the quality factor, explaining both the performance of the strategies the investment industry market and the factors that academics employ"none of the quality factors generated significant positive alpha relative to profitability, the other Fama and French factors, and momentum. The pricing of the quality factors was primarily through significant positive loadings on profitability. Thus, instead of focusing on various quality metrics, investors can concentrate on a company's ability to generate profits."
|
| Mr Market rules |
| 05/12/25 | | Markets |
"The curious thing about financial markets is that they do not respond to what most of us would regard as news."
|
| Beanie babies + bimetallism |
| 05/12/25 | | Markets |
"Beanie Babies in the 1990s were a classic bubble involving small stuffed animal toys. The bubble featured a seemingly scarce commodity and an exciting new trading and communications technology, the internet. Early buyers were richly rewarded by price increases, attracting more buyers. Burton and Jacobsen (1999) estimate that the annual returns on Beanie Babies were between 159% and 176% from 1994 to 1999. But the bubble collapsed after 1999, perhaps because Beanie Babies offered no vision of social justice."
|
| US treasuries, deficits and credibility |
| 05/12/25 | | Markets |
"The damage has been done. How much? Aside from higher yield and a lower stock market it's hard to measure. You also have constant attacks on institutions. The next couple months will be very noisy. You have tariffs and trade talk, tax bill, inflation, a massive unsustainable deficit and an economic slowdown. Followed by midterms elections. Mistakes have been made and that increased pain for the people. This is about a country's reputation."
|
| Suffering in private |
| 05/05/25 | | Markets |
"Can you make money in a private investment fund? Probably. But I see it as an uphill - and unnecessary - battle."
|
| Got diversification |
| 05/05/25 | | Markets |
"Diversifying equity allocations outside of the United States seems like a prudent move in this macroeconomic environment, and, given valuations, international outperformance is a trend that could continue for years to come."
|
| The Kardashian of money |
| 05/05/25 | | Markets |
"the basis of this wealth is a self-perpetuating set of beliefs, as opposed to an independently valuable economic function."
|
| Quantitative instability |
| 04/27/25 | | Markets |
"Fire sales by quantitative funds had a significantly larger destabilizing effect on markets compared to traditional mutual funds. For an equivalent-sized fire sale, the market impact of quantitative funds was more than eight times greater. In addition, it takes between one and three months longer for stocks sold by quantitative funds to fully recover."
|
| A quantum of confusion |
| 04/21/25 | | Markets |
"My view is that the quantum confusion of 2024 is a symptom of the general degradation of U.S. stock market quality, part of the 'Koreafication' process where the market becomes more retail dominated. I don't want to overstate the quantitative significance of this trend, because as shown in Figure 2, it's mostly confined to small-cap stocks. But it appears that bizarre pricing previously confined to pink sheet stocks is now visible in listed smaller names."
|
| Buy the bottomless pit |
| 04/13/25 | | Markets |
"A basic property of optimal decision-making is that you should act more conservatively when you have less accurate information. As of April 2025, we're confronted with a situation where we have very little historical precedent and the outcomes we observe are extremely volatile. As a logical consequence, we should be cautious in responding to events."
|
| Here we go |
| 04/13/25 | | Markets |
"But whatever you are focused on, and whichever region you choose to invest in, our best advice is to chill. Don't panic. Don't overreact. Don't pretend like you know where things are immediately going. Don't think that you need to. You don't."
|
| When does the market recover? |
| 04/13/25 | | Markets |
"it's the perfect time to examine how long U.S. stocks typically take to recover from such a decline. Knowing this information can help you set the right expectations about what might happen next in the stock market. And, with the right expectations, it's much easier to stay invested for the long term."
|
| Courageously losing your money |
| 03/30/25 | | Markets |
"I explain why concentration is bad and diversification is good. I start by assessing the arguments in favor of concentrated portfolios, including the deluded belief that concentration brings both high return and low risk. I review the extensive record of client wealth destroyed by overconfident concentrators, and then discuss the conceptual errors underlying the enduring appeal of concentration."
|
| Trend following is harder |
| 03/30/25 | | Markets |
"Trend following is not for the faint of heart. While it can reduce the overall volatility of your portfolio during extended declines, it can also create anxiety and stress with its constant false positives, missed recoveries, and delayed outperformance. Whether such a strategy fits into your portfolio and lifestyle is up to you."
|
| How bubbles grow |
| 03/24/25 | | Markets |
"As hedge fund manager Cliff Asness has commented about short sale constraints, 'Our problem wasn't that we couldn't short NASDAQ in 1999, our problem was that we could and did.'"
|
| The index inclusion effect is dead |
| 03/15/25 | | Markets |
"The index inclusion effect is being arbitraged away by the companies themselves and all that is left is for traders to speculate on what kind of announcements the index provider could make, which is much more uncertain and a far cry from the original arbitrage opportunity."
|
| The high-yield spread signal |
| 03/10/25 | | Markets |
"In previous research, we have cited 6.0% on the high-yield spread as the break point that defines a crisis. That level might now be slightly lower, given the ratings shift in the market since 2015. We estimate that the adjusted level would be 5.6%. But students of the high-yield spread will note that when the high-yield spread reaches that level, it usually does not hover there but moves right through on its way much higher."
|
| Why analyst forecasts are optimistic |
| 03/10/25 | | Markets |
"The result of this common practice is that the terminal value typically accounts for about 75% of the total fair value. And that share is remarkably stable, indicating that analysts really don't change their approach to modelling over time."
|
| Massive spending: a red flag |
| 03/01/25 | | Markets |
"The ideal measure of forward-looking returns is not past capex, but future expected capex. As shown in Lamont (2000), if your goal is to predict aggregate U.S. stock returns in the coming year, capex plans work better than trailing capex. Thus as of February 2025, we expect low stock returns over the next 12 months. You could say that stocks are 'overpriced' or you could say they are 'fairly priced to deliver low returns,' but either way the forecast is for below-average returns."
|
| Hidden tail risks beyond the bell curve |
| 03/01/25 | | Markets |
"Measures like skewness and kurtosis can be helpful supplements to average return and volatility when thinking about the role that diversifying assets can play in a portfolio. Delving into skewness and kurtosis enables investors to uncover these nuances and build portfolios that are more resilient to unexpected market swings."
|
| Bubbleitis |
| 02/23/25 | | Markets |
"Well, let's see. Stock valuations are insanely expensive. Home prices are through the roof. ... Credit spreads are tight as a drum. And don't even get me started about zero-day stock options and leveraged ETFs! Oh, and with all this going on, the Fed says monetary policy is restrictive. You can't make this stuff up, Doc!"
|
| Turn-of-the-month strategies |
| 02/15/25 | | Markets |
"As with many published anomalies, the classical Turn-of-the-Month (TOM) effect, originally defined as the period from the last trading day of the month to three days after, appears to have largely disappeared in the past decade."
|
| If you get a takeover offer, fight |
| 02/15/25 | | Markets |
"In short, if you are a company that is approached with a takeover bid, rule number one is to fight for a better deal. The chance of the bidder walking away is very low indeed and if the deal is modified, there is an 80% chance you get more money for the business."
|
| The unintended consequences of rebalancing |
| 02/15/25 | | Markets |
"Institutional investors engage in trillions of dollars of regular portfolio rebalancing, often based on calendar schedules or deviations from allocation targets. We document that such rebalancing has a market impact and generates predictable price patterns. When stocks are overweight, funds sell stocks and buy bonds, leading to a decrease in equity returns of 17 basis points over the next day. Our results are robust to controls for momentum, reversals, and macroeconomic information. Importantly, we estimate that current rebalancing practices cost investors about $16 billion annually-or $200 per U.S. household. Moreover, the predictability of these trades enables certain market participants to profit by front-running the orders of large institutional funds."
|
| Bubbles might be likely to repeat today |
| 02/10/25 | | Markets |
"Bubbles do sometimes repeat within the span of a few years. Historically, the Mississippi Bubble in France ended around 1720 just as the South Sea Bubble appeared in Britain. And in the past few decades we've often see blatant overpricing that appears, gets corrected, and then promptly re-appears. In the lab, we can observe bubbles that occur in repeated experiments run with the same participants. All these facts are consistent with theoretical models that can produce recurring waves of bubbles."
|
| The hidden costs of volatility drag |
| 02/10/25 | | Markets |
"Leveraged concentrated or non-diversified ETFs can be useful for short-term trading, but they are generally ill-suited for long-term investing. Their underperformance is primarily due to volatility drag - a natural result of compounding returns in volatile markets. This issue is amplified when leveraging highly volatile assets, as the drag increases disproportionately with higher leverage."
|
| AI and the Mag 7 |
| 02/10/25 | | Markets |
"a lot of investors have done very poorly betting against the scrappy innovators of Silicon Valley. But now that they are mega-cap behemoths run by mega-billionaires trying to outspend each other, maybe the Mag 7 will be outmaneuvered by their true heirs, another group of as-yet-unknown young innovators who are toiling away all over the world in garages far less expensive than the $1,700/square foot you have to pay to live in the cushy confines of Silicon Valley."
|
| The fartcoin stage of the market |
| 02/01/25 | | Markets |
"I can't believe I'm saying this, but the current meme coin mania makes the bubble of 2021 seem like a relatively sober exercise in rational valuation. At least back then, Roaring Kitty talked about earnings, and crypto enthusiasts rhapsodized about use cases. They might have been delusional, but at least they were delusional about the right things."
|
| There is no fear priced into anything |
| 01/27/25 | | Markets |
"Valuations tell the tale. The current market's price-earnings ratio is top decile for last few decades. Credit-spreads are near record tights. There is no fear priced into anything at the present moment."
|
| A recession is coming |
| 01/27/25 | | Markets |
"The 1960-61 and 1990-91 recessions are missed (although a 10yr-2yr disinversion might catch the latter), while a recession is predicted for April 2025. Of course, if the inversion failed to predict the 2024 recession, is there reason to believe the disinversion will predict well?"
|
| Valuation indicators to ignore |
| 01/19/25 | | Markets |
"Here I review four commonly used measures of market overvaluation that you can safely ignore. All four measures say the U.S. stock market is overvalued today. The market might well be overvalued today, but these measures are not good reasons to say so."
|
| 2024 in factors |
| 01/19/25 | | Markets |
"Looking at some of the biggest drivers of returns, the global equity factor had higher returns and lower volatility versus the historical average. Similarly, the large size factor, high-investment (AI-driven), and high turnover (lots of trading activity) all did quite well for style factors. Momentum and quality did well but were largely in line with history while value lagged."
|
| Stock market history, illuminated |
| 01/13/25 | | Markets |
"What particularly interests us is that - until the last decade - European and US stock markets behaved very similarly over many, many years. Given that many constituents in both markets are global businesses selling many similar products and services multi‐nationally to similar regions, countries and customers, this made sense."
|
| How big is the equity risk premium? |
| 12/22/24 | | Markets |
"Unlike retail investors, institutional investors do not simply extrapolate past returns into the future. They are quite rational and sensible. When equity markets decline, they increase their risk premium and thus their expected returns. When equity markets rally, they reduce their risk premium and thus their expected future returns."
|
| Chasing past performance |
| 12/22/24 | | Markets |
"The only thing I know for sure is I've never seen sentiment so dour on corporations outside of large cap U.S. stocks."
|
| Don't expect a repeat |
| 12/22/24 | | Markets |
"To be sure, markets will always be vulnerable to crises. Human nature today is fundamentally the same as it was 100 years ago. But nearly everything else has changed and, for that reason, I don't see the risk of a 1929-style decline being one that should keep us up at night."
|
| Long-term expected returns |
| 12/16/24 | | Markets |
"The CAPE ratio is the most reliable proxy for the valuation component. It adjusts the price-to-earnings ratio by using a long-term average of earnings, which helps smooth out the effects of economic cycles and provides a clearer picture of long-term valuation levels. Its consistent performance across multiple decades makes it a strong predictor of long-term E(R)."
|
| Bubble beliefs |
| 12/08/24 | | Markets |
"Judging only by overvaluation beliefs, we had a bubble in 2000, a second bubble in 2021, and then a third bubble happening right now."
|
| Rethinking asset growth |
| 11/18/24 | | Markets |
"The authors concluded that asset growth captures unique information that is unexplained by other traditional measures."
|
| Don't place that call |
| 11/03/24 | | Markets |
"Thales was right, and he ended up making a fortune. Perhaps more important, with his payments to the olive press owners, he invented a new financial concept, now known as an option. Today, options exist across the financial world, and investment funds that employ options have been growing in popularity."
|
| Embrace the skew |
| 11/03/24 | | Markets |
"To truly benefit from stock investing, it's necessary to embrace both the emotions and the rewards that come with positive skew. This means learning to live with tail events. They may be uncomfortable when they occur, but they are an integral part of long-term success in the stock market."
|
| A generational investment |
| 10/21/24 | | Markets |
"With all eyes on US large cap growth stocks and disinflation beneficiaries, we see bigger opportunities in international, small caps, value stocks and inflation beneficiaries."
|
| Faith |
| 10/21/24 | | Markets |
"Fast forward to today, and a Tesla bear may be able to give countless, cogent, reasons why the stock rally during the period above was the perfect storm of pandemic lockdowns, chip shortages, and meme-stock hysteria; or even if it wasn't, of how the fundamental story has changed dramatically since, with the emergence of competitive models from traditional manufacturers, overwhelming competition from the Chinese, the saturated appetite of early EV adopters, the deceleration of growth, the collapsing of gross margins, continued struggles with the software and truly driverless automated vehicles, difficulties with regulators, management team losses, diverted CEO attention, or other concerns about corporate governance."
|
| Equally bad? |
| 10/21/24 | | Markets |
"Today, just 10 stocks account for 35% of the S&P 500's total value. And while the largest technology stocks - dubbed the Magnificent Seven - have done exceedingly well in recent years, their extreme outperformance is making people nervous."
|
| Human error is predictable |
| 10/11/24 | | Markets |
"Contrary to rational expectations theory, humans might actually be predictably irrational, especially when it comes to making predictions about the future."
|
| The great pumpkin |
| 09/28/24 | | Markets |
"While valuations support our view that stocks are in another bubble, rarely is today's market labeled as one. This is the case even as equity valuations are near or above past bubble peaks. Given the associated career risk and fear of being labeled an extremist, few professional investors are willing to even say the word. As Linus puts it, 'There are three things I've learned never to discuss with people: religion, politics, and the Great Pumpkin.' While avoiding talking about an asset bubble may make it easier to participate, it doesn't reduce the risk of its presence."
|
| Are demographics destiny? |
| 09/21/24 | | Markets |
"After controlling for working-age population, basically every country besides Italy has had remarkably similar changes in their overall GDP. This isn't GDP per capita because it doesn't use total population, but working-age population. In other words, GDP per worker has grown roughly the same across these developed economies. "
|
| Forecasting volatility and correlations |
| 09/21/24 | | Markets |
"Although returns appear to follow a random walk, we see that this simple model actually does an okay job of predicting volatility and a good job at predicting some of the correlations."
|
| The Great Rotation |
| 09/15/24 | | Markets |
"investors may be well served by balanced allocations that are based on net income generation, with around 55% weight in the US and 45% internationally."
|
| Diversifying equity portfolios |
| 09/15/24 | | Markets |
"International equities clearly provide the most diversification benefits of any of the major style exposures. US small caps are next. US large-cap growth, large-cap value, and mid cap provide the least diversification."
|
| Cumulative vs. cyclical knowledge |
| 09/01/24 | | Markets |
"Reading old finance articles makes you feel like the ancient past was no different than today - the opposite feeling you get reading old medical commentary."
|
| Michael Mauboussin on concentration |
| 08/25/24 | | Markets |
"So the Rob A. thing was exactly right, which was it was if for 65 years, at least, it was really bad to own the number one stock." [video]
|
| Overvalued or new paradigm |
| 08/11/24 | | Markets |
"The takeaway is that the historical record suggests that thinking 'this time is different' is dangerous to your financial health."
|
| Worth the weight |
| 08/04/24 | | Markets |
"The S&P 500 Equal Weight Index has recently displayed underperformance in comparison to the S&P 500, driven primarily by historical extremes of performance in the market's largest names. Moreover, concentration in the broader U.S. equity market has increased to its highest in many years, while single-stock momentum trends are showing unusual signs of extension. Historically, such periods have tended to eventually revert toward their historical means, with such reversion accompanied by stronger relative performance by equal weight indices." [pdf]
|
| Some crazy charts |
| 08/04/24 | | Markets |
"On a real basis, energy prices have gotten a lot cheaper over the past 15 years or so. You can get a better sense of this decline by looking at the amount people spend on energy as a percentage of overall personal consumption"
|
| That time of the market cycle |
| 07/27/24 | | Markets |
"when we consider valuations and the drivers of this cycle, sustainability is not a word that comes to mind. Instead of a healthy economy and invincible bull market, we see conformity, the extrapolation of the unsustainable, and a top-heavy market risking losing control on the upside. We see 1999."
|
| A time traveler's guide |
| 07/21/24 | | Markets |
"Although he did note that actually these long-term performers had somewhat moderate returns - on an annualized basis - compared to the companies that periodically pop up throughout stock market history through surging and capturing the imagination of an entire generation of investors, before ultimately fizzling out. Think RCA in the 1920s, Polaroid in the 1960s, or Cisco in the 1990s. 'Really high returns,' he wrote to us. 'Don't persist.'"
|
| Neglecting equilibrium |
| 07/21/24 | | Markets |
"The biggest difference between an academic view of markets and the view of actual investors is that most investors believe that higher future earnings growth means higher future stock returns, whereas academics believe this information is priced in by an efficient market."
|
| US stocks are much more expensive |
| 07/14/24 | | Markets |
"The US trades at almost a 2x premium to the rest of the world on EV/sales. And we see an even more dramatic story on price-to-book multiples"
|
| Did inflation kill the CAPM? |
| 07/06/24 | | Markets |
"Currently, with the excess CAPE yield below 3% and inflation above 3%, expected returns are low. Historically, after such periods, the market return was close to zero, but factor strategies still delivered positive returns of about 3% after inflation. Therefore, while the immediate future may not be promising for the equity premium, it looks bright for factor premiums."
|
| The buyback wall of shame |
| 06/29/24 | | Markets |
"With the stock market trading at record highs, corporations are aggressively buying back stock. Some consider the current level of buybacks as a sign of confidence. Given valuations, we view it as a sign of capital misallocation and profit extrapolation."
|
| Chasing the biggest stocks |
| 06/22/24 | | Markets |
"Outperformance comes from the journey to the top 10, which can be breathtaking. However, once these companies reach the summit, it's much harder to maintain that outperformance."
|
| The penny stock anomaly |
| 06/22/24 | | Markets |
"In summary, we have shown penny stocks generally have unattractive investment characteristics, with lower average returns and higher volatility than regular stocks."
|
| A changing yield curve signal |
| 06/15/24 | | Markets |
"The recessionary implications of the most recent yield curve inversion remain an open question. However, we think a more interesting question is what an inverted yield curve means for asset class and factor returns."
|
| Procyclical stocks earn higher returns |
| 06/15/24 | | Markets |
"We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks."
|
| Insights on short squeezes |
| 06/08/24 | | Markets |
"More broadly, portfolios with the highest short interest performed the worst on an absolute and risk-adjusted basis while those with the lowest short interest performed the best"
|
| Don't bank on the equity risk premium |
| 06/07/24 | | Markets |
"If stocks will assuredly outperform bonds over intervals of, say, 20 years or more, where is the risk? And if stocks aren't risky over long intervals, why should their returns exceed the returns on bonds that are not risky?"
|
| Unpacking the Equity Risk Premium |
| 06/07/24 | | Markets |
"Because stocks remain risky regardless of the holding period, stocks often outperform, because investors get compensated for taking that risk. Stocks are a good wager over the long term, on favorable odds. But stocks remain a bet, one that can go bad for any randomly selected investor over their personal time horizon."
|
| Stocks for the long run? |
| 06/07/24 | | Markets |
"The new historical record reveals that the divergent performance of stocks and bonds from 1946 to 1981 was unique. Nothing like it had ever occurred in the century-and-a-half before. The most recent four decades look quite different, with stock and bond performance again approximating parity."
|
| The economics of different |
| 06/01/24 | | Markets |
"With investors piling into passive strategies and chasing many of the best performing stocks, the current bull market in conformity appears invincible. For the remaining active managers, investing differently at this stage of the market cycle can be a career killer. Nevertheless, given valuations and the drivers of the current cycle, we believe the economics of different have rarely been more attractive."
|
| The gold rally |
| 05/25/24 | | Markets |
"They find that gold's price has a near-zero correlation with gold stock used in jewelry, owned by central banks, or in the form of bars and coins. But gold prices have historically had a whopping 0.74 correlation with the amount of gold owned by gold ETFs."
|
| The stock market in an election year |
| 05/25/24 | | Markets |
"In the seven or so weeks following an election there can be lots of uncertainty around how the future might unfold. But, if we look at how markets actually perform after an election, they are typically pretty average."
|
| Estimating future returns |
| 05/18/24 | | Markets |
"As of December 31st, 2023, the S&P 500 was forecasting a return of 1.34%/year over the next ten years, with no adjustment for inflation. As of the close on May 10th, 2024, that figure was 0.32%/year."
|
| Diversification is about decades |
| 05/18/24 | | Markets |
"You don't have to look too far back for a lost decade in U.S. stocks (it happened from 2000-2009). In the 1970s and 1980s, U.S. stocks were closer to the bottom of the pack than the top."
|
| Inflation revisited |
| 05/09/24 | | Markets |
"Regardless of the starting inflation trigger, we observed that oil and gold performed the best, in our opinion, with equities next. Copper generally had middling performance, TIPS delivered unsatisfying returns, and 10Y Treasurys were consistently the worst performer."
|
| Risk seeking vs. mitigating |
| 04/28/24 | | Markets |
"Golfers often change their approaches mid-hole, mid-round, mid-season, and sometimes even mid-swing. It's unquestionably manic. Yet, golfer behavior pales in comparison to investor behavior."
|
| Not scared of bears |
| 04/28/24 | | Markets |
"Bill Bernstein points to four such risks - deflation, inflation, confiscation and devastation. These are Bernstein's four horsemen of the economic apocalypse, all of which could do major, permanent damage to your portfolio."
|
| Invest for the decades |
| 04/21/24 | | Markets |
"Even in one of the worst equity markets in history, someone who bought over time would've done okay if they had just stuck with it."
|
| Sector neutrality in factor investing |
| 04/21/24 | | Markets |
"We show both analytically and empirically that the average long" short investor is more likely to benefit from hedging out sector bets, whereas the long-only investorshould, on average, avoid sector neutralization."
|
| It's not the economy |
| 04/14/24 | | Markets |
"One of the most widely cited surveys papers, summing up all the economic literature on the ability of financial market movements to predict economic growth, said that while economists have often noted some sort of link between stocks and growth, 'upon closer inspection, however, this link is murky.'"
|
| The empirical problem with competitive strategy |
| 04/06/24 | | Markets |
"There is no empirical evidence that a company's market share predicts its profitability. But that hasn't stopped academics, business school curricula, and management consulting firms from promulgating the idea for decades."
|
| Shining moment |
| 03/31/24 | | Markets |
"Where will gold go from here? It's hard to know. Gold doesn't pay any income. As Warren Buffett likes to say, it 'just sits there.' In fact, gold costs money to hold, because it requires storage space and security."
|
| The B-Team |
| 03/30/24 | | Markets |
"we do not believe the current market and profit cycles are perpetual. Like past cycles, we expect many of the trends inflating profits and asset prices will revert and be proven unsustainable. In basketball terms, this game (cycle) isn't over. We plan to keep shooting, finish the game, and are prepared for the final shot. Instead of giving up, we believe valuations matter more today than ever."
|
| Economic momentum |
| 03/30/24 | | Markets |
"Strong empirical evidence demonstrates that momentum (both cross-sectional and time-series) provides information on the cross-section of returns of many risk assets and has generated alpha relative to existing asset pricing models. Brooks, Feilbogen, Ooi, and Akant's study adds to that body of research by providing tests of pervasiveness and robustness, increasing our confidence that the findings of momentum in asset prices are not a result of data mining."
|
| 90% is much better than nothing |
| 03/30/24 | | Markets |
"Noise is not only a fact of life for financial data, it is present in economic data, health data even data about Reddit comments. As the great Fischer Black said in his prescient article on data noise, published almost 40 years ago: 'I think almost all markets are efficient almost all of the time. 'Almost all' means at least 90%.'"
|
| Forecasting is hard |
| 03/23/24 | | Markets |
"Although we might not like to admit it, we know that forecasting economic and market variables is tough, but just how tough? A new study by Don Moore and Sandy Campbell sought to answer this question. They looked at 16,559 forecasts made in the Survey of Professional Forecasters since 1968, and found that those making expert predictions had 53% confidence in their accuracy but were only correct 23% of the time."
|
| Why are U.S. stocks expensive? |
| 03/23/24 | | Markets |
"But I do think Zack Morris is right to describe the U.S. stock market as a savings vehicle as much as an investing one, thereby earning a monetary premium."
|
| Why quality stocks perform so well |
| 03/23/24 | | Markets |
"And this is good news for investors because it means that investing in highly profitable companies is not associated with higher risks and at the same time based on behavioural biases that are unlikely to change over time, so the effect should be relatively persistent."
|
| 2023 private equity fundamentals |
| 03/23/24 | | Markets |
"PE-backed firms generally have much lower margins than public companies, so this rise in interest costs has meant that the median PE-backed company is actually generating zero free cash flow."
|
| Sclerotic small caps |
| 03/17/24 | | Markets |
"We think the changing composition of industries and quality among the small-cap universe is more to blame for weaker recent returns to small caps rather than a structural change in the upward mobility for small-cap equities."
|
| Global Investment Returns Yearbook 2024 |
| 03/09/24 | | Markets |
"Today, the US market dominates its closest rival and accounts for a staggering 60.5% of total world equity market value. Japan (6.2%) is in second place, the UK (3.7%) in third position, while Mainland China is ranked fourth (2.8%). France, Canada, Switzerland, Australia, Germany and India each represent 2-3% of the global market, followed by Taiwan with 1.7% and South Korea with a 1.4% weighting."
|
| Cost of capital and capital allocation |
| 03/09/24 | | Markets |
"There is an old saying that 'in theory there is no difference between theory and practice, while in practice there is.' One area where this appears to be true is the actions of public companies in the U.S. during the recent period of 'easy money,' when financial capital was cheap and abundant."
|
| Stocks (and bonds) for the long run |
| 03/09/24 | | Markets |
"Outside the post-World-War years from 1941 to 1981 stocks in the US did not outperform bonds by any meaningful margin. Let me repeat that: Apart from the four decades to the 1980s, stocks did not systematically outperform bonds. Sometimes stocks outperformed bonds, sometimes bonds outperformed stocks"
|
| The low-volatility factor |
| 02/25/24 | | Markets |
"The low-volatility premium may be the most compelling anomaly in financial markets: Less risky securities outperform their riskier counterparts over the long term."
|
| The blue and yellow can |
| 02/25/24 | | Markets |
"the current market reminds us of the late 1990's when investors were also crowding into tech and high-quality stocks. Stocks such as Coca-Cola (KO) were in high demand as investors looked for ways to participate in the rising equity market while minimizing risk. As investors crowded into Coca-Cola's stock to reduce risk, its valuation soared along with the risk of overpaying. The flight into quality eventually resulted in losses, as Coca-Cola's stock declined over 50% from its cycle peak in 1998 to its trough in 2003, reminding us that good businesses don't always make good investments."
|
| How many factors do you need? |
| 02/16/24 | | Markets |
"Putting all this together, we end up with the knowledge that the factor zoo can be reduced to some 10 to 20 factors and that among the most important factors to consider are value, momentum, quality, and growth."
|
| The persistence of growth |
| 02/16/24 | | Markets |
"An implicit assumption in most forecasts is that growth is persistent. While analysts underwrite high growth for companies that have grown quickly and slow growth for companies that have grown slowly in the past, a large body of evidence demonstrates that reversion to the mean of both positive and negative abnormal earnings growth is the norm."
|
| Increasing returns |
| 02/09/24 | | Markets |
"Although Adam Smith pointed out increasing returns two and a half centuries ago, much of economic theory over time has featured perfect competition and decreasing returns. However, Kenneth Arrow, an economist and also a Nobel Prize winner, noted that a review of economic studies over time reveals that, “[the theory of increasing returns] acts like an underground river, springing to the surface only every few decades.”10 Research over the past 50 years has allowed the river to flow to the surface, and it is time to see what it has to say and what it means." [pdf]
|
| Overcoming experimenter bias |
| 02/09/24 | | Markets |
"One dramatic visual example of backtest overfitting is shown in the graph at the right, which displays the mean excess return (compared to benchmarks) of newly minted exchange-traded index-linked funds, both in the months of design prior to submission to U.S. Securities and Exchange Commission for approval, and in the months after the fund was actually fielded. The 'knee' in the graph at 0 shows unmistakably the difference between statistically overfit designs and actual field experience."
|
| Pods, passive flows, and punters |
| 02/09/24 | | Markets |
"Eventually, the market is a weighing machine. If you want some evidence " even from some of the most iconic, well-followed, index-heavy, retail-engaged, pod-owned, successful companies, it is still, eventually, about the fundies."
|
| Investing at all-time highs |
| 02/03/24 | | Markets |
"Historically, equities (as a whole) tend to outperform in the short run following all-time highs, but there is less clarity over longer time periods."
|
| Investing in beauty trends |
| 01/21/24 | | Markets |
"Fashion may garner the attention but it's the little things - lipsticks and face creams - that steadily rake in the dollars no matter who is designing the frocks that season."
|
| New all-time highs |
| 01/21/24 | | Markets |
"Most of the time new highs are followed by more new highs. The average one, three, five and ten year total returns following new highs were +16%, +27%, +59% and +206%, respectively."
|
| Regional growth and returns |
| 01/21/24 | | Markets |
"We believe the simple argument to invest in the fastest-growing region doesn't work as an investment strategy - something investors should be conscious of as they hear the seductive calls to overweight the United States even further."
|
| Should your job determine how you invest? |
| 01/21/24 | | Markets |
"For example, as someone who works in the financial industry, this table suggests that I should have some of my wealth invested in commodities (despite their poor track record) and that I shouldn't have any allocation to REITs."
|
| Oh those share price forecasts |
| 01/14/24 | | Markets |
"A simple forecast of a 7.5% return for the S&P 500 (the average annual price change since the end of World War II) would have been better than either the analyst bottom-up forecasts or the strategists' forecasts. Over the last twenty years, it would have been slightly pessimistic, but the root mean square error (RMSE) as a measure of forecast accuracy of this simple 7.5% forecast was lower than either the RMSE of the bottom-up analyst forecasts or the strategists' forecasts."
|
| The all U.S. stock portfolio |
| 01/14/24 | | Markets |
"Though the U.S. stock market is far more diversified than any other stock market on Earth, investing 100% of your portfolio into U.S. stocks is inherently tilting your portfolio toward the U.S. technology sector."
|
| Money misconceptions |
| 01/14/24 | | Markets |
"Sure, a big paycheck makes it easier to save. But in the end, what matters is your savings rate as a percentage of your income, rather than the size of your paycheck. In other words, a modest earner could potentially achieve financial freedom faster than a high-income individual with undisciplined spending and savings habits."
|
| Costly shorts |
| 01/14/24 | | Markets |
"we believe in most instances the most pragmatic application of hard-to-borrow data is to steer clear of taking long positions in these stocks, serving as a strategic compass in the often-tumultuous seas of market speculation."
|
| Crowded trades |
| 01/07/24 | | Markets |
"On average, crowded stocks were associated with future superior returns, while the least crowded stocks provided inferior returns"
|
| The biotech boneyard |
| 01/06/24 | | Markets |
"It seems that there is but one savior for biotechs with no revenue: get to revenue."
|
| The financial distress puzzle |
| 12/29/23 | | Markets |
"The empirical research findings demonstrate that the return premium generated by being long low-distress risk stocks and short high-distress risk stocks is persistent"
|
| The spring crack-up boom |
| 12/29/23 | | Markets |
"As is often the case during the later stages of asset bubbles, we believe we've reached a point where higher home prices do more harm than good. While the current environment is favorable for homebuilders, another leg-up in prices would be very troublesome for the millions of Americans already priced out of the housing market."
|
| Long-Term News |
| 12/15/23 | | Markets |
"The Dow Jones Industrial Average fell 48 points on Tuesday. Greg Jones, an analyst at Merrill Lynch, expected that no one would care about that useless, vapid, fact by tomorrow."
|
| The Temptation of Factor Timing |
| 12/15/23 | | Markets |
"Returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads."
|
| Quality of new entrants |
| 12/08/23 | | Markets |
"We decided to revisit the US small-cap quality question, this time exploring whether the change in quality is attributable to declining profitability of companies that have been public for years, an influx of newly listed unprofitable companies, or de-listings/M&A from highly profitable companies."
|
| A passive crash |
| 12/03/23 | | Markets |
"When the traders put in their sell orders, the same algos that got in front of their buy orders on the way up will get in front of their sell orders on the way down. At that time, we expect the combination of algorithmic trading and passive outflows will create tremendous opportunities for those with liquidity."
|
| The case of covered calls |
| 11/25/23 | | Markets |
"Because the covered call strategy eliminates the upside potential, it produces negative skewness of returns (the kind investors dislike). And while it is true that a covered call strategy reduces kurtosis (fat tails), the problem is that it eliminates the potential for the good fat tail (the one to the right) while having no impact on the risk of occurrence of the bad fat tail (the one to the left), only reducing its size by the amount of the premiums collected."
|
| Not always for the long run |
| 11/21/23 | | Markets |
"Once investors accept that stocks can disappoint, no matter the interval, diversified portfolios become more attractive. In an Ibbotson/Siegel world, any portfolio not 100% in stocks must underperform over the long term. Only investors with a low tolerance for short-term volatility can justify mixing in bonds. But if sometimes stocks do well and sometimes not, even an investor with a high tolerance for risk can justify diversifying away from a 100% stock position."
|
| Death of inflation |
| 11/19/23 | | Markets |
"The reality is that stocks have averaged about 4.4% according to Dimson (2020) or 6.6% according to Siegel (2014). A lot of this depends on which market you look at and what time horizon, but the global stock market has generated nowhere near 10% when you account for real factors like inflation, taxes and fees. And that's important because we don't live in a nominal world. We live in the real world where we pay for inflation, taxes and fees over time."
|
| Diversification is not a free lunch |
| 11/19/23 | | Markets |
"Diversification is a vital concept for investors. It is an acceptance that the future is inherently unknowable and can take many different directions. If done well it provides protection against both uncertainty and hubris. The best indicator of an investor's overconfidence is how concentrated their portfolio is. If we could accurately predict the future, then we would only own one security."
|
| Inflation and the stock-bond relationship |
| 11/12/23 | | Markets |
"For stocks to be more attractive than bonds during periods of inflation, it is not necessary that stocks be perfect inflation hedges. All that is required is that stocks be better inflation hedges than bonds."
|
| Beyond risk parity |
| 11/05/23 | | Markets |
"The problem is that this still requires investors to forecast the expected returns of different asset classes and sub-asset classes, diagnose the risk of those asset classes, and then combine those asset classes in an optimal way based on their correlations. This problem seems equally, if not more daunting than individual security selection."
|
| Soft serving a hard landing |
| 11/05/23 | | Markets |
"Interestingly, and slightly off topic, we're noticing more companies are choosing debt reduction over stock buybacks. It's a growing trend that we expect will accelerate assuming interest rates and refinancing risk remain elevated. Although this would be a positive for balance sheets, it could remove one of this cycle's most aggressive buyers of equities - corporations."
|
| Retail performs poorly |
| 10/29/23 | | Markets |
"The evidence demonstrates that the attention-induced behavior of individual investors leads to anomalies (mispricings). That is why retail investors are referred to as 'noise traders,' while sophisticated institutional investors are referred to as 'informed traders.' Sadly, individual investor trading driven by attention leads to poor returns."
|
| Sea change |
| 10/29/23 | | Markets |
"The upshot: While bonds might be relatively more attractive today than they were in the past, the data suggest that bonds will remain relatively less attractive compared to stocks."
|
| Worst year in generations |
| 10/22/23 | | Markets |
"The tried-and-true 60-40 portfolio lost 17% last year, its worst performance since at least 1937"
|
| Post-earnings announcement drift |
| 10/21/23 | | Markets |
"Instead of buying stocks with positive earnings surprises and selling stocks with negative earnings surprises, one should focus on buying stocks with positive earnings surprises that trade near their 52-week highs and selling stocks with negative earnings surprises that trade near their 52-week lows."
|
| Paradox of past performance |
| 10/14/23 | | Markets |
"Although we may not like to admit it, the past performance of an asset class or fund is likely to have an overwhelming influence on our decision making. We may try and mask the hold it has on us, but we are inescapably drawn towards investments with strong recent returns. The more pronounced and persistent the outperformance, the greater the pull. There is probably no more prevalent nor puzzling paradox in investing - in order to enhance our returns we make decisions based on a measure that is likely to reduce them."
|
| Risk of ruin |
| 10/14/23 | | Markets |
"Haghani was dismayed at how few participants grasped how to play their edge, even at an intuitive level. As well as betting on tails, they'd over-bet, under-bet, and erratically bet. Yet position sizing is a huge determinant of performance in gambling and in financial markets."
|
| One less vulnerability |
| 10/07/23 | | Markets |
"Many of the relationships we have come to know and love (oil vs. USDCAD, Aussie vs. Terms of Trade) have broken down as transmission mechanisms have changed."
|
| The tide is going out |
| 10/01/23 | | Markets |
"Much like the tidal cycle in Nova Scotia, which sees the tide go in and out every 12-hours, the economy has been in a very advantageous tidal period for more than 12-years given how long interest rates hovered near historic lows. Yet, with the Fed having hiked rates more quickly than in any period since the early 1980's, the economic tide is clearly shifting. So far, we have just seen the earliest signs."
|
| Asset class CAPM |
| 10/01/23 | | Markets |
"CAPM suggests that stock returns should rise linearly with volatility. But chart equity returns against volatility and you'll see a scatter plot - indeed, the best-fit regression line that runs through the scatter in fact slopes downward."
|
| Downside of short selling |
| 09/24/23 | | Markets |
"Activist short-sellers who remain anonymous typically do so for fear of harassment of themselves and their families, from either their targeted companies or investors who lost money when the stocks of those companies declined in value. They also worry about fending off costly lawsuits."
|
| We'll have a good time then |
| 09/24/23 | | Markets |
"The Fed needs to be very careful here. The working class and younger generations may discover who is responsible for their inability to own a home."
|
| Stock-bond correlation |
| 09/17/23 | | Markets |
"Investors tend to think of stocks and bonds as negatively correlated, with stocks doing well in positive growth environments and bonds doing well when growth slows or declines. And that was largely true for the last quarter century. But earlier this year, the trailing three-year correlation between stocks and bonds turned positive for the first time since November of 2000"
|
| Network effects unravel |
| 09/16/23 | | Markets |
"For network effects to occur, the product or service has to be highly relevant to its users. When relevance fades, network effects quickly unravel."
|
| Hot stocks of the decade |
| 09/10/23 | | Markets |
"In each of the five full decades we studied, the weight of the top 100 stocks at the end of one decade was materially lower in the next. The decade following the dot-com craze of the 1990s (the 2000s) witnessed the lowest survival rate in our study with only 73% of stocks remaining a decade later"
|
| Dissecting the investment factor |
| 09/03/23 | | Markets |
"The investment factor should not be considered in isolation when building portfolios, as profitability and how asset growth is financed (internally or externally) matters. Not all high investment firms (defined as high asset growth) have low expected returns, as those with high profitability and asset growth financed internally have high expected returns."
|
| Market returns with error |
| 09/03/23 | | Markets |
"For periods beginning 1926, it is conventional to suppose that historical market returns are known with reasonable accuracy. This paper challenges that comfortable certainty. Multiple indexes of market return are examined to show that return estimates do not closely agree across indexes and are unstable within index over time. The paper concludes that two-decimal precision - to the whole percentage point, with an error band of plus or minus one percentage point - would better reflect the accuracy of historical estimates of annual market return. Implications for evaluating mutual fund performance and back testing investment strategies are considered."
|
| Castles built on sand |
| 08/27/23 | | Markets |
"I woke up to the realization that no matter what the text books say about risk-free investments, there are times when finding an investment with a guaranteed return can become an impossible task."
|
| Scared money |
| 08/27/23 | | Markets |
"Our bottom-up review supports our belief that the economy is slowing. The inflation rate is also slowing, but accumulated inflation remains a serious concern, especially for middle to lower-income consumers."
|
| Investing for immortals |
| 08/20/23 | | Markets |
"Within equities, I would probably split it 50/50 into a value and a momentum portfolio and within each of these portfolios, I would hold equal amounts in each stock."
|
| Against Cassandras |
| 08/13/23 | | Markets |
"if you listen to Cassandras, I am very confident, you will lose money in the long run. The only way to make money with doom and gloom forecasts is to time them both on the way in and on the way out very precisely. And I know nobody, who can do that. In fact, the simple observation that the Cassandras all seem to be bearish all the time should tell you one thing: The only ones making money from these doom and gloom forecasts are the ones who make them."
|
| Corrections in bull markets |
| 08/07/23 | | Markets |
"So in almost half of all years when the U.S. stock market is up by 20% or more, there has been a double-digit correction during the journey to those wonderful gains."
|
| The Top 5 |
| 08/07/23 | | Markets |
"The last 10 years have seen a concentration of returns to the tech sector and to a few companies within that sector. This is both notable and unusual. With the advent of exciting new technologies like AI and superconductors, we think it's plausible that the top 5 largest companies 10 years from now may look quite different from the top 5 today. In which case, a diversified portfolio would likely serve investors better than a highly concentrated size-defined portfolio."
|
| End of an era |
| 07/29/23 | | Markets |
"A Fed economist argues we should expect a slowdown in net income growth"
|
| Everything is cyclical |
| 07/29/23 | | Markets |
"A lot of mistakes in life come when you think risk is something caused by external forces, when in fact the weight of your own success is enough to pull you down without any outside help."
|
| PE Improvements |
| 07/23/23 | | Markets |
"We received a large number of emails and questions about last week's research, and so we thought we'd do a deeper dive into the data to try to provide further insight into the most controversial points."
|
| International diversification is prudent |
| 07/16/23 | | Markets |
"Given the current (as of March 2023) economic positions for the U.S. CAPE (at 3.4%) and the EAFE CAPE 10 (5.6%), unless these values change, investors can reasonably estimate EAFE markets to outperform the S&P 500 by 2.2% annually."
|
| P.E. operational improvements |
| 07/16/23 | | Markets |
"By and large, as an industry, PE firms take control of businesses to increase debt. As a result, or in tandem, the growth of the business and the rate of spending on capex slows. That's a simple, structural change, not a grand shift in strategy or a change that really requires any expertise in management."
|
| Sustainable investors expect lower returns |
| 07/16/23 | | Markets |
"The takeaway for those investors is to recognize that they are accepting not only lower expected returns, but lower risk-adjusted expected returns, to invest in accordance with their sustainability preferences."
|
| End of an era |
| 07/09/23 | | Markets |
"I show that the decline in interest rates and corporate tax rates over the past three decades accounts for the majority of the period's exceptional stock market performance. Lower interest expenses and corporate tax rates mechanically explain over 40 percent of the real growth in corporate profits from 1989 to 2019. In addition, the decline in risk-free rates alone accounts for all of the expansion in price-to-earnings multiples. I argue, however, that the boost to profits and valuations from ever-declining interest and corporate tax rates is unlikely to continue, indicating significantly lower profit growth and stock returns in the future."
|
| He got us to diversify |
| 07/02/23 | | Markets |
"Markowitz's lasting contribution is that he taught investors how to think about diversification, and few people debate that."
|
| Bulls are back |
| 06/25/23 | | Markets |
"When you combine the current drawdown, the possibility of further inflation, and the high amount of market concentration in our current rally, you can see why I'm hesitant to take a victory lap for the new bull market."
|
| Losses in the safest asset |
| 06/25/23 | | Markets |
"So, let's pause and briefly recap. At this point, it's clear that there's no single asset that is guaranteed to preserve your wealth. The best we've done is a -49% decline. In the safest asset you still lost half your money at some point!" [pdf]
|
| The replication problem in finance |
| 06/25/23 | | Markets |
"There is a problem with replication of finance studies on risk premia and trading strategies. Additionally, there is a problem of out-of-sample results not matching in-sample returns. You don't get what you think with most financial studies. There are a couple of reasons for this disconnect. One, the construction of the test was poor. Two, the articles published are only extremes from data mining. Three, risk premia, once observed are arbitraged away. Four, market behavior and structures change. Overall, the buyer needs to beware."
|
| Stocks a good hedge |
| 06/16/23 | | Markets |
"Households who want to fund a goal over an extended period that is adjusted for inflation (e.g., retirement income) should actively consider owning equities, even if they are relatively risk averse."
|
| Bad at forecasting |
| 06/11/23 | | Markets |
"The long-term average market return is 8.9%, yet the average forecast return is less than half that at 3.8%! The average return of the CFO survey is 4.0% and the average return from the household surveys is 6.7%."
|
| Bull market vs unemployment |
| 06/11/23 | | Markets |
"Average annual returns have been higher from higher unemployment rates and lower from lower unemployment rates."
|
| The worm turns |
| 06/11/23 | | Markets |
"Have we finally reached a point of spending exhaustion where the decline in the middle- and lower-income consumer outweighs the growth in spending from the higher-end? From our bottom-up perspective, it appears a growing number of consumers have reached a tipping point. While two months don't make a long-term trend, we believe the worm has finally turned. The all-important consumer is slowing."
|
| Hidden cost of covered call writing |
| 06/05/23 | | Markets |
"there is a hidden cost of covered call writing, which is the potentially significant opportunity cost of having the stock go above the strike price causing lost portfolio appreciation."
|
| Private equity fundamentals |
| 06/03/23 | | Markets |
"From a quantitative perspective, the fundamentals of sponsor-backed companies look frightening. Yet private equity remains the darling asset class of sophisticated investors, with many endowments and family offices nearing a 40% allocation The financial fundamentals look far less attractive than one might expect, given such high level of enthusiasm."
|
| The sin premium |
| 06/03/23 | | Markets |
"Their findings are consistent with economic theory - investors require higher expected returns to hold more sinful stocks."
|
| Trend following in equities |
| 05/28/23 | | Markets |
"Japan can be used as a case study as it is ahead of the rest of the world in terms of a declining population. Economic growth has been anemic and its stock market features a long bear market between 1989 and 2010. The results from this analysis do not highlight that long-short trend following was effective when applied to the Nikkei 225, although long-only trend following generated attractive risk-adjusted returns."
|
| The time to buy stocks |
| 05/28/23 | | Markets |
"Sixty-one percent of U.S. adults say they have money invested in the stock market, the highest percentage Gallup has measured since 2008. Stock ownership fell during the Great Recession and stayed depressed for more than a decade, including lows of 52% in 2013 and 2016."
|
| Timing |
| 05/28/23 | | Markets |
"Difficult as it might be sometimes, investors' best bet is to choose an asset allocation - and then to stick with it."
|
| The investing mystery of our age |
| 05/21/23 | | Markets |
"The paradox of our decade is that the capex needs of a multipolar, environmentally conscious, world are enormous. But, nobody wants to invest in capex for commodities! This is untenable."
|
| Zero-day options |
| 05/21/23 | | Markets |
"Wall Street has accepted that derivatives trading will never be the same after the frenzy for fast-twitch stock options took hold. What it next has to absorb: The equity market itself is threatening to go the same way."
|
| Diversification |
| 05/14/23 | | Markets |
"It's worth noting that any strategy that attempts to beat the market will, by definition, need to have a tracking error greater than 0. One way this could potentially be achieved is with a very concentrated (10- to 20-stock) portfolio, as employed by many actively managed hedge funds. Another way could potentially be through a quantitative approach that seeks to capture factor premia while diversifying away unsystematic risk through larger portfolios."
|
| Best times to trade ETFs |
| 05/07/23 | | Markets |
"Avoid the open. Avoid FOMC announcement periods."
|
| Garbage is back |
| 05/07/23 | | Markets |
"hype-driven rallies around narrative themes have become a dominant feature in the US equity markets"
|
| Expectations affect share repurchases |
| 04/30/23 | | Markets |
"It finds that firms repurchase significantly more shares when they expect higher future earnings relative to market expectations, which is consistent with the undervaluation hypothesis. This finding holds regardless of the level of underlying valuations. The results do not appear to be driven by managerial misvaluation or bias. Rather, my findings suggest that firms utilize insider information to time the market with respect to share repurchase decisions."
|
| The age of average |
| 04/02/23 | | Markets |
"Distinctiveness has died. In every field we look at, we find that everything looks the same. Welcome to the age of average."
|
| So much to like |
| 04/02/23 | | Markets |
"Not only are stocks better value than they were 15 months ago, but also the long-term benefits remain as impressive as ever. What benefits? Here are nine reasons I have 88% of my retirement portfolio in stocks."
|
| Feel bad all the time |
| 04/02/23 | | Markets |
"The average number of days to go from peak to trough is 381, so just over a year. The average number of days to go from the previous peak to new all-time highs is 1,166 days or more than 3 years."
|
| Simple diversification |
| 04/02/23 | | Markets |
"The research we reviewed demonstrates that a simple 1/N factor diversification strategy will likely be at least as efficient as more 'sophisticated' versions such as mean-variance and minimum variance strategies."
|
| Mr. Market's paddle |
| 03/25/23 | | Markets |
"Fed members also appear confused by the relationship between the Fed's powerful tools and concerning macroeconomic trends, such as inflation, wealth inequality, and the declining labor participation rate. Chairman Powell recently commented on the labor participation rate, noting rising retirements were contributing the decline. Based on his comments, it appears Powell is unable to connect the dots between the Fed's powerful tools and retirement-enabling portfolio and home values. Instead, he blames COVID and doesn't consider the linkage between the Federal Reserve's bloated balance sheet, asset prices, and labor availability."
|
| Executives with remarkable timing |
| 03/25/23 | | Markets |
"Never-before-seen IRS records show that CEOs are sometimes making multimillion-dollar bets on the stocks of direct competitors and partners - and doing so with exquisite timing."
|
| Merger arbitrage |
| 03/25/23 | | Markets |
"There are about 40 deals per year meeting our criteria; 89% of deals close successfully. The arbitrageur earns about 2.0% on the successful deals and loses 2.8% on cancelled deals for a blended average 1.5% return on long exposure if they were to bet on every merger."
|
| Institutional impact on factor premiums |
| 03/25/23 | | Markets |
"For anomalies that are risk-based, that is what we should expect to see because, while risk cannot be arbitraged away, cash flows can reduce the size of the premium. For the anomalies that are behavioral based, it appears that limits to arbitrage are still sufficient to allow them to persist post-publication."
|
| Central banks move |
| 03/19/23 | | Markets |
"In a global response of the type not seen since the height of the pandemic, the Fed said it had joined with central banks in Canada, England, Japan, the EU and Switzerland in a co-ordinated action to enhance market liquidity. The ECB vowed to support euro zone banks with loans if needed, adding the Swiss rescue of Credit Suisse was .instrumental. for restoring calm."
|
| UBS to rescue Credit Suisse |
| 03/19/23 | | Markets |
"UBS is paying 3 billion Swiss francs ($3.25 billion) for Credit Suisse, about 60% less than the bank was worth when markets closed on Friday. Credit Suisse shareholders will be largely wiped out, receiving just 1 UBS share for 22.5 Credit Suisse shares they own. Extraordinarily, the deal will not need the approval of shareholders after the Swiss government agreed to change the law so that it can be completed rapidly."
|
| Cliff Asness interview |
| 03/18/23 | | Markets |
"Neither he nor AQR engages in market timing, but the spread between value and growth had gotten so huge that he felt comfortable 'sinning a little.'" [audio]
|
| Bank run |
| 03/18/23 | | Markets |
"It would be shocking if we are not talking about loan-level delinquencies, charge-offs and credit losses later this year. Our expectation is that the stress banks' asset-liability managers are under right now gets shifted to banks. credit officers in the second half of this year. This is the slower-moving risk in banks that has been dormant for many years now thanks in part to easy monetary policy, and it seems to be awakening due to the knock-on effects of higher interest rates and the draining of liquidity from the financial system."
|
| US backs customer deposits |
| 03/12/23 | | Markets |
"Silicon Valley Bank customers will have access to their deposits starting on Monday, U.S. officials said on Sunday, as the federal government announced actions to shore up deposits and stem any broader financial fallout from the collapse of the tech startup-focused lender. ... SVB equity and bondholders would be wiped out, said the official, who briefed reporters after the announcement."
|
| Defying Logic |
| 03/12/23 | | Markets |
"In theory, higher rates should result in downward pressure on housing prices. But there's another, more subtle factor at play: Many existing homeowners, who had been considering selling, now feel 'stuck.' The problem is that, if they move, they'll have to take out new mortgages, which might be prohibitively expensive. The result: Fewer homeowners are putting their homes on the market. That reduction in supply is putting upward pressure on prices at the same time that higher rates are applying downward pressure."
|
| Bank Runs, Now and Then |
| 03/12/23 | | Markets |
"There was an infamous story of a bank run in Hong Kong that was caused by a long line in front of a pastry shop that just so happened to be right next to a bank. People assumed the line was for depositors taking their money out of the bank, word spread and soon the bank run was on for no other reason than the herd mentality."
|
| The Demise of Silicon Valley Bank |
| 03/12/23 | | Markets |
"One of the features of banking crises is that they rarely repeat consecutively. This matters because policymakers have a tendency to craft regulation around the last war. US stress tests include all manner of scenarios for bad credit, but few for interest rate shocks. The severely adverse scenario for 10 years Treasury yields is 0.8-1.5%; the baseline scenario, reflecting a shallower recession, incorporates yields of 3.2-3.9%."
|
| Stocks and bonds are positively correlated |
| 03/05/23 | | Markets |
"For the past 30 years, the correlation between stocks and bonds has been negative. But last year, the trailing three-year correlation turned positive for the first time since November 2000. This is something that many investors today have never experienced in their professional lives."
|
| Wild lumber prices |
| 03/05/23 | | Markets |
"Lumber is currently at $369 per 1000 board feet. This is down from the peak of $1,733, and down 72% from $1,441 a year ago."
|
| The long term |
| 02/26/23 | | Markets |
"Elroy Dimson, Paul Marsh and Mike Staunton published a book the early-2000s called Triumph of the Optimists: 101 Years of Global Investment Returns that looked at the historical record of equity markets around the globe since the year 1900. This book provides the answer to these questions. And lucky for us, the authors update the data on an annual basis for the Credit Suisse Global Investment Returns Yearbook."
|
| Stocks vs bonds |
| 02/25/23 | | Markets |
"A more revelatory observation is that, in the first 150 years of McQuarrie's data, bonds and stocks perform about the same. And they also perform nearly the same from 1982 to 2012. In fact, what emerges is that the equity outperformance that seems so evident in Siegel's data is in fact concentrated in the period from around World War II to 1982."
|
| Risk eats return |
| 02/19/23 | | Markets |
"To understand the intuition behind reducing exposure with the square of volatility, first consider an investor whose portfolio returns ten percent one month and draws down ten percent the next. The end portfolio isn't flat: the investor has lost one percent of their starting investment, even though the average return over the two periods was zero. Now consider an investor whose portfolio rises five percent before falling by the same amount. That investor will only lose 25bps relative to his starting point."
|
| We measure what we can |
| 02/12/23 | | Markets |
"There is a common idea in academic finance that is conspicuously dismissed by both contrarian investors and the popular culture: the claim that historical volatility is a good indicator of future risk."
|
| Helpful in theory |
| 02/12/23 | | Markets |
"Each bubble differs, but the eventual comeuppance always feels brutally familiar."
|
| 60-40 annus horribilis |
| 02/05/23 | | Markets |
"2022 was the first year in which both assets were down significantly. The Bond Agg lost 13.0 while the S&P 500 fell 18.1%. The only other year a 60/40 portfolio lost money and had a negative bond return was 1994, a mere blip on the chart."
|
| Why equal weighting works |
| 02/05/23 | | Markets |
"two factors will remain the key driver of outperformance: three parts small cap and one part value."
|
| Arithmetic vs. geometric returns |
| 01/29/23 | | Markets |
"with apologies to all the people who know this by heart, let me spend today discussing the difference between arithmetic and geometric returns and why understanding this relationship is crucial for long-term investment success."
|
| Asset allocation crash risk |
| 01/29/23 | | Markets |
"While Factor-Based and Risk-Parity portfolios exhibit best risk-adjusted returns in the long run, the Dynamic Asset Allocation reduces the abandonment risk due to its lower expected drawdown. Across all strategies, risk-tolerant investors that rely on the longer history for setting their expectations, experience significantly better outcomes, particularly if their investment horizon includes times of crisis"
|
| Price-to-fantasy ratio |
| 01/17/23 | | Markets |
"If reported earnings next year merely match the likely final 2022 level of $181, then the current price-to-forward earnings (P/F) ratio is 21. In 2023, if earnings tumble just 20% from 2022 levels, then the correct current P/F ratio is 26, hardly a bargain."
|
| Harvey vs the spread |
| 01/08/23 | | Markets |
"The spread, which Harvey's work is based on, has been consistently inverted since mid November and hovered Wednesday at around minus 82 basis points. Despite the curve being inverted for the ninth time since 1968, Harvey said it's probably not a harbinger for a recession."
|
| A disaster for Tesla |
| 01/08/23 | | Markets |
"On this metric, Tesla still has a similar enterprise value to many of these automakers combined even after falling so sharply in 2022, despite being utterly unjustified by current fundamentals."
|
| Take your losses |
| 12/31/22 | | Markets |
"Given that the yield curve inverted in 2022, we need to examine what returns look like following an inversion. After digging into the data, I discovered the answer - after an inversion returns tend to be more bell shaped and more negative."
|
| Rational rebalancing |
| 12/31/22 | | Markets |
"We find that optimal methods involve rebalancing that is neither too frequent, such as monthly or quarterly calendar-based methods, nor too infrequent, such as rebalancing every two years. Implementing an annual rebalancing strategy is optimal for investors who don't participate in tax-loss harvesting or maintain tight tracking to a benchmark portfolio, such as passive funds-of-funds. Most of the efficiency of these rebalancing strategies is generated by harvesting equity risk premium, while allowing reasonable portfolio drifts." [pdf]
|
| Don't try to get rich twice |
| 12/18/22 | | Markets |
"Anyone who has become rich twice is dumb. Why would you risk what you need and have for what you don't need? If you are already rich, there is no upside to taking on a lot more risk, but there is disgrace on the downside."
|
| 'Twas the bill before Christmas |
| 12/17/22 | | Markets |
"The Fed made an enormous error in miscalculating inflation and their ability to print trillions without consequence. As the Fed stirs investor enthusiasm by 'taking into account the cumulative tightening of monetary policy', cumulative inflation continues to build and influence real-world pricing and spending decisions. Without a sharp decline in the Fed's balance sheet, asset prices, and economic activity, we do not expect cumulative inflation to recede to levels the stock market appears to be pricing in. Instead of focusing on the cumulative tightening of monetary policy, we suggest the Fed consider how its cumulative loosening over many years continues to pressure businesses to raise prices, suffocate the consumer, and threaten real economic growth."
|
| Size and monetary policy |
| 12/11/22 | | Markets |
"The size premium was much stronger during periods of monetary easing - a statistically significant 0.41 percent per month at the 1 percent confidence level. However, it disappeared entirely during periods of monetary tightening."
|
| Becoming less discerning |
| 12/04/22 | | Markets |
"My guess is that the rise of passive investments also has something to do with it. But whatever the reason, the trend is clear: Individual company earnings matter less and less compared to the overall market trend and how investors perceive this overall market trend."
|
| How much to expect |
| 12/04/22 | | Markets |
"After controlling for all of these factors, we can get a better idea of what kind of growth a typical retail investor can expect going forward. This is important because many of us are trying to plan our financial futures based on growth expectations we get from the personal finance industry. And if those growth expectations are inflated, then we may overestimate our probability of reaching our financial destination."
|
| Savers get paid again |
| 11/27/22 | | Markets |
"In recent years, I have been bombarded by investors questioning why they should place any portion of their portfolios in bonds. Cash was never even under consideration. I do give credence to the argument that historically low-interest rates had nowhere to go but up, and that rising interest rates cause bond prices to fall. Regardless, my point on the investor question about bonds was merely the start of the risk-taking debauchery that ensued."
|
| Momentum in option markets |
| 11/27/22 | | Markets |
"Momentum (6 to 36 months) is a far stronger phenomenon in options than in other asset classes, with a pre-cost Sharpe ratio at least three times higher than the standard cross-sectional momentum strategy for stocks."
|
| A crypto analogy |
| 11/27/22 | | Markets |
"The same is true of promoted penny stocks. If they did a large issuance of stock, the price would quickly go to something near zero."
|
| Amazon is becoming an ad |
| 11/27/22 | | Markets |
"When you search for a product on Amazon, you may not realize that most of what you see at first is advertising. Amazon is betraying your trust in its results to make an extra buck."
|
| Proof of work |
| 11/20/22 | | Markets |
"When you see a lot of people making a lot of money that wouldn't normally be making a lot of money, that's a sign that something's off. When you have 29 year-olds worth $26 billion naming sports stadiums, look out. When individuals are going from unemployment to retirement in a few months, proceed with caution."
|
| Return manipulation in private equity |
| 11/20/22 | | Markets |
"We provide evidence that private equity (PE) fund managers manipulate returns to cater to their investors."
|
| Persistence of margins |
| 11/12/22 | | Markets |
"While we've been adamant that growth is not persistent and that high growth rates should not be carried out for many years, margins and returns on assets are relatively sticky. Very high margins and returns on capital do mean revert, but slowly. While growth may be ephemeral, profitability is not."
|
| Small cap opportunity |
| 11/06/22 | | Markets |
"Within the U.S., small caps trade at a 21% discount versus their typical relative multiple against the total market."
|
| The Impact of OPEC |
| 11/06/22 | | Markets |
"We looked at how oil futures prices responded to OPEC production cuts from 2015 to the present. We found, as shown in the graph below, that, while OPEC production cuts generally resulted in about a 5% increase in oil prices, prices faded quickly over the course of the week following the announcement."
|
| The value of a brand |
| 10/28/22 | | Markets |
"Analysts covering the companies that own these brands systematically underestimate the pricing power and future earnings growth associated with these brands. This leads to a systematic underpricing of these shares and as a result a constant stream of positive surprises. The effect seems to be particularly large for companies that have developed their brands in-house and thus have no value associated with it on their balance sheet. It seems this ability to constantly surpass expectations is what drives the outperformance of the best brands."
|
| Asset growth anomaly |
| 10/23/22 | | Markets |
"For investors, the takeaway is that an efficient way to improve the expected performance of an equity strategy might be to systematically exclude firms (especially small firms) with high asset growth and extreme past returns, especially if they have low profitability."
|
| The unwind continues |
| 10/16/22 | | Markets |
"We believe that Value will outperform Growth purely and simply because it is priced to do so."
|
| Where growth forecasts err |
| 10/16/22 | | Markets |
"This analysis provides a tidy logic for value investing. Value investing works because stocks with low growth expectations priced in are less likely to disappoint dramatically."
|
| Russell Napier interview |
| 10/16/22 | | Markets |
"First of all: avoid government bonds. Investors in government debt are the ones who will be robbed slowly."
|
| Growth fades |
| 10/09/22 | | Markets |
"Twenty-five years later, and we still can't find evidence of persistent growth"
|
| Don't sell |
| 10/09/22 | | Markets |
"You don't need to catch the bottom. And you don't need to get super aggressive in drawdowns either. Not everybody has the stomach for that. But you absolutely cannot under any circumstances sell after a major decline. You just can't do it."
|
| Florida's insurance market |
| 10/09/22 | | Markets |
"That exposure of Florida as a low-lying peninsula means you have to charge much more than people can afford, and you will need public policy that will involve buying people out and saying 'You can't live here anymore.'"
|
| Back to fundamentals |
| 10/02/22 | | Markets |
"The story of the financial markets over the past four decades can be told with two data points. In September 1981, the yield on the 10-year Treasury note almost reached 16%. In August 2020, it got as low as 0.52%. The intervening decline in interest rates drove up not only bond prices, but also the value that investors were willing to put on stocks."
|
| Let's get nuts |
| 10/01/22 | | Markets |
"In our opinion, the long overdue normalization of corporate profits is currently underway. As demand begins to falter and corporate costs remain elevated, we suspect a growing number of companies will announce lower earnings guidance later this year and into 2023. We anticipate businesses tied to housing will lead the way."
|
| Stocks vs bond yields |
| 09/25/22 | | Markets |
"The average annual arithmetic expected ERP was 5.40% and the average annual expected geometric ERP was approximately 3.0%. This is slightly higher than the realized ERP values, at 5.0% (arithmetic) and 2.6% (geometric), respectively."
|
| Investing after market declines |
| 09/25/22 | | Markets |
"However, once the market has declined by 40% (or more) from all time-highs, everything changes. At this point, it seems like the benefit of doubling down is quite large."
|
| Alpha and the road less traveled |
| 09/24/22 | | Markets |
"With pessimism this pervasive, it wouldn't take many positive surprises to overturn the obvious - and make global diversification lucrative again"
|
| Estimating future returns |
| 09/18/22 | | Markets |
"With the ten-year T-note yielding 3.41%, the S&P 500 at 3946 indicates likely nominal returns of 3.00%/year over the next ten years."
|
| An edge for retail investors |
| 09/11/22 | | Markets |
"In all four sizes (large-cap/mid-cap/small-cap/micro-cap) the low liquidity stocks outperformed significantly. But, as you will notice, the difference in returns diminished with increasing size. Yes, you will find more illiquid stocks among microcaps simply because of the characteristics of the sector, but nevertheless, even among large-cap stocks, you can put the odds on your side."
|
| Buyback myths |
| 09/11/22 | | Markets |
"Dividends and buybacks are already taxed twice: when the company makes money and again when the investor receives payment. Taxing buybacks three times is obviously insane"
|
| Why fundamentals matter |
| 08/27/22 | | Markets |
"if you woke up on a Casper mattress, worked out with a Peloton, Ubered to a WeWork, ordered on DoorDash for lunch, took a Lyft home, and ordered dinner through Postmates only to realize your partner had already started on a Blue Apron meal, your household had, in one day, interacted with eight unprofitable companies that collectively lost about $15 billion in one year."
|
| Lessons from history |
| 08/19/22 | | Markets |
"One of the most fascinating parts of the Great Depressions isn't just that the economy collapsed, but how quickly and dramatically people's views changed when it did."
|
| Bucked the trend that was your friend |
| 08/19/22 | | Markets |
"Even over one of the tougher decades you'll see for managed futures, it did what it's supposed to do. It delivered non-trivial positive returns and excelled when it was supposed to and was most needed."
|
| Recessions as a timing tool |
| 08/19/22 | | Markets |
"As a market-timing tool, the NBER announcements are clearly abysmal. The delays on the announcements are so long that it is effectively a countercyclical indicator."
|
| Products based on incomplete research |
| 08/19/22 | | Markets |
"one of the key things you can do to improve your performance is to test the same methodology for other markets that have different dynamics and different performance histories. So, I calculated the daytime and nighttime returns of the US, UK, and Europe ex UK stock markets over the last 10 years. And as you can see below, while the nighttime returns for the S&P 500 look quite good, the nighttime returns for the European and UK markets are not only quite a bit lower but also roughly the same as the daytime returns."
|
| Mounting costs |
| 08/14/22 | | Markets |
"Lately, 12-month CPI-U has been running around 9%. But if we extend the time horizon back 10 years, to mid-2012, the recent spike barely registers, with the average annual increase for the past decade coming in at just 2.6%."
|
| Drawdowns and rallies |
| 08/01/22 | | Markets |
"Investors may have sighed a breath of relief in July after months of pain. And perhaps we have already seen the market's 2022 lows and this recovery will follow the rapid pace of 2020. But a broader set of base rates suggest there's reason to be cautious, that risk is still elevated, and that we might yet experience an even more significant drawdown."
|
| That's the ticket |
| 07/22/22 | | Markets |
"After creating the highest rate of inflation since 1981, the aggressive monetary and fiscal policies that led to the record earnings boom in 2021 have been put on hold. Businesses are finding themselves on their own to manage through an increasingly uncertain economy. While it's very early in the process, we believe peak earnings will be one of the victims of an economy that is currently attempting to normalize."
|
| Calling 1981 |
| 07/17/22 | | Markets |
"So in 1981 consumers were looking at 10% savings account yields, 17% mortgages, 10% bond yields and 9% inflation. Today it's 1% savings account yields, 5% mortgages, 3% bond yields and 9% inflation."
|
| A mild recession |
| 07/17/22 | | Markets |
"That's 33 consecutive weeks of more stocks making new lows than making new highs. As you can see, this is historically as bad as it gets with the lone exception of the Great Financial Crisis in 2008-2009. Again, this is not the future, this is the present. We have already been living through it."
|
| Dollar cost averaging |
| 07/10/22 | | Markets |
"Don't fear though, because I am here to defend dollar cost averaging as the greatest investment approach ever invented for the individual investor. How so? Because I'm going to show you how it held up during one of the worsts period in U.S. stock market history - the mid 1960s to the early 1980s. And if it worked there, it can work anywhere."
|
| The long tail is gone |
| 07/03/22 | | Markets |
"For those who don't know the term, the Long Tail concept refers to businesses that focus on products and services with almost no customers."
|
| Time for a pep talk |
| 07/03/22 | | Markets |
"This is where savvy investors get their edge. It's tough to outsmart other investors. But we can play a different game - by focusing not on next week but on the next 10 years."
|
| Plan now for recession |
| 07/03/22 | | Markets |
"Today, the yield curve is not inverted, so why worry? As with the recent two-fold surplus of job openings relative to job seekers, this too shall pass. Really? The forward markets do a pretty good job of forecasting near-term Fed decisions and they are suggesting a 90% likelihood of a 75 basis-point hike in July followed by another 50 to 75 basis points in September. Those moves would take the 3-month Treasury bill yield to about 3%, within hailing distance of the current 3.15% yield on the 10-year Treasury bond. Absent a run-up in long bond yields, one additional hike before year-end would leave us with an inverted yield curve."
|
| Imminent recession |
| 07/02/22 | | Markets |
"High inflation is at the top of the Federal Reserve's, Washington's, and Wall Street's list. Rosenberg says they are looking at the wrong numbers and that disinflation is already taking hold. Interest rates are expected to go higher for longer. Rosenberg cites evidence of economic slowing which will require easing sooner than expected." [video]
|
| Understand rebalancing |
| 06/24/22 | | Markets |
"Wise then went on to derive an interesting formula for the probability that buy-and-hold will beat rebalancing in the very long run - that is, as time goes to infinity. The result is that if the average difference between constituent portfolio assets' expected returns is small, less than about one percent, then rebalancing will, in the very long run - that is, at eternity - surely beat buy-and-hold; but if the average difference is greater than that, buy-and-hold will surely beat rebalancing."
|
| How bad is it? |
| 06/17/22 | | Markets |
"The average stock in the S&P and the Dow are not being beaten up as badly as they were during the Covid crash. The same cannot be said for the Nasdaq, where the average stock is getting killed, down 41% from its highs."
|
| Estimating future returns |
| 06/17/22 | | Markets |
"What are the possibilities given where the market is now? When the market is expecting 3.57% nominal [over the next 10 years], give or take one percent, what tends to happen?"
|
| Insider trades and non-trades |
| 06/17/22 | | Markets |
"Consistent with prior literature findings that insider purchases are more informative than sales (sales can be made simply for diversification purposes), the return difference was more pronounced for insider purchases than for insider sales."
|
| The worst years for balanced indexing |
| 06/12/22 | | Markets |
"Since bonds are having such a rough go at it during a correction in the stock market, this year is currently on par with 60/40 returns in 2008 and 1930. Not the kind of company you want to keep."
|
| Bedtime for Bonzo |
| 06/05/22 | | Markets |
"The clock is ticking on the Fed's delay game. They have waited and waited, as inflation has destroyed the standard of living of millions of Americans they promised to protect. And while moderating year-over-year inflation data may show statistical progress, it does nothing to reverse the inflation that has occurred or compensate those that have been harmed. Further, while the rate of year-over-year inflation may continue to decline as it did in April's CPI report, we believe inflation will remain well above the Fed's target and well above what the average family can withstand without significantly altering their spending and voting decisions."
|
| Risk when credit spreads rise |
| 06/05/22 | | Markets |
"Every equity drawdown of -30% or more has occurred within six months of high-yield spreads crossing the 10-year median of 430bps. As Ben Bernanke highlights, credit markets amplify and propagate shocks to the real economy. Within this framework, deteriorating credit market conditions - such as increases in insolvency and rising real debt burdens - feed back into the economy, which in turn worsen credit conditions."
|
| Rallies to the bottom |
| 06/05/22 | | Markets |
"I thought it would be useful to exam how the U.S. stock market has bottomed historically and the false rallies that have occurred along the way."
|
| Buy high sell never |
| 06/05/22 | | Markets |
"I always remember Bob when I'm putting money to work in the market, as I am today. It's never fun to watch an investment go down shortly after making it. Regret is a powerful emotion. But if you invest in a diversified stock portfolio and hold on for a decade or longer, just as Bob did, you should fare just fine."
|
| Still overrated |
| 05/29/22 | | Markets |
"In sum, PE LPs are paying higher-than-S&P 500 prices for near-distressed credit quality micro-caps with a heavy sector bias toward tech and healthcare. With cracks showing in public markets for these sectors, and for growth in general, I fear that the reckoning might be finally arriving for private equity."
|
| The worst years in the market |
| 05/23/22 | | Markets |
"Here's the good news - the longer-term returns after the worst years ever are pretty good. The average 3 year forward return is +35%. The average 5 year forward returns is a gain of almost 80%."
|
| Hedging with gold |
| 05/23/22 | | Markets |
"If for whatever reason, things become extremely difficult, I may be running more risk than I thought in my funds. So gold is a nice insurance policy. The 5%-7% weighting would partially offset the hit we would take on equities."
|
| Big selloffs are part of investing |
| 05/15/22 | | Markets |
"Huge stock market sell-offs are normal. The S&P has historically seen an average annual drawdown of 14%. Some years see milder sell-offs. Other years see worse ones."
|
| Welcome back to 1994 |
| 05/14/22 | | Markets |
"At present I am pretty sure 30-year mortgage rates will rise to 6%, and maybe 7%. No one is panicking enough on this, so it will likely go higher. MBS hedging is a powerful force, and will continue until people no longer want to buy houses at such high interest rates."
|
| 15 charts |
| 05/14/22 | | Markets |
"Pundits spent a lot of time asking if Warren Buffett had lost his touch in 2020. It felt like the market had passed him by. As usual, Buffett just had to wait"
|
| 75/25 the new 60/40 |
| 05/08/22 | | Markets |
"His point about cash outperforming when bond returns go negative is certainly applicable in today's rising interest rate environment. Bernstein offered up a mix of 75% in stocks and 25% in cash equivalents as an alternative to the 60/40 stock-bond portfolio."
|
| Up in smoke |
| 05/08/22 | | Markets |
"The two characteristics of thematic investing are having a good story and attractive returns. No matter how sexy a theme is, the majority of investors only hop onto the train once it started moving uphill. Naturally, this makes thematic investing so dangerous as it appeals to our love for stories, and greed for making money. Stated differently, thematic investing is performance chasing with a narrative."
|
| The great inventory build |
| 05/08/22 | | Markets |
"With The Great Inventory Build in full swing, we believe we are getting closer to a point when rotating out of energy stocks and into beaten down consumer discretionary stocks will make sense."
|
| The scale versus the casino |
| 05/01/22 | | Markets |
"In the short run, the market is a casino, but in the long run, it is a scale. Is this an improvement? Probably not, but speculation has become so rampant that it may be a necessary modification to change voting machine to casino."
|
| This time wasn't different |
| 05/01/22 | | Markets |
"Arguably, the market is hitting the worst offenders because they deserve it. For instance, over 40% of all stocks had no earnings over the last 12 months. But what we haven't seen in at least 20 years is such a high number of stocks with no sales. 15% of all stocks reported no revenues over the last year! That's a smidge over 900 stocks with no sales!"
|
| Sell in May and go away |
| 04/29/22 | | Markets |
"we think it is fair to conclude (as many empirical studies already have) that there may be something to this 'selling in May and going away' thing, especially over very long time horizons."
|
| Confidence |
| 04/24/22 | | Markets |
"The value factor works well when spreads are falling and poorly when spreads are rising. The cheap cyclical stocks captured by the value factor are heavily impacted by changes in credit conditions. Notably, this is the opposite pattern shown by 10-year Treasurys, which is why the two asset classes serve as good complements in a business-cycle based strategy."
|
| On concentrated positions |
| 04/17/22 | | Markets |
"Be careful with concentrated positions. You need certainty about safety most, earnings second, and growth third. Otherwise you are a gambler, and most gamblers lose."
|
| Risk-reward in a hiking cycle |
| 04/17/22 | | Markets |
"We believe there's a strong practical argument for a large allocation to fixed income today. The argument is simple: rising rates tend to be bad for all asset classes, and fixed income actually tends to perform relatively well, with significantly lower drawdowns."
|
| Lost decades |
| 04/10/22 | | Markets |
"As with any insurance-like products, the signal would have slightly underperformed the benchmark in most of the other periods. This is because investors would trade upside capture for downside protection by holding cash roughly one-third of the time."
|
| Inverted bonds |
| 04/10/22 | | Markets |
"Going back to 1970, in the year after a yield curve inversion, U.S. stocks had a median inflation-adjusted total return of 4.7% while 5-Year U.S. Treasuries had a median inflation-adjusted return of 4%. Even if we were to extend this analysis to look over two or five years, we would find that 5-Year Treasuries still underperform U.S. stocks following a yield curve inversion."
|
| Predictable price pressure |
| 04/03/22 | | Markets |
"The market moves higher when dividends are paid. Market returns are 4x higher when dividend-payments are the highest. The results hold internationally as well. Some specific stats: market returns are 13bps higher on the top 5 dividend-payment days and 5bps higher on the top 50 dividend-paying days. The largest price pressure effects are in the first quarter of the year, when the probability of an asset manager reinvesting is highest. In contrast, the effect is muted in the fourth quarter, when the probability of reinvestment is lowest (managers are using cash to pay off investors)."
|
| Bill Miller's biggest loss |
| 04/03/22 | | Markets |
"Miller lost $300 million on Enron. It was roughly an 89% loss and the most money he had ever lost in a single position (at that point in his career). It also turned out to be the quickest. It only took 60 days."
|
| Optimists are too pessimistic |
| 03/27/22 | | Markets |
"Michael Kitces did an analysis where he discovered that retirees following the 4% rule in a 60/40 portfolio were more likely to 4x their wealth than deplete any of their principal after 30 years. In other words, if you started retirement with $1 million in a 60/40 portfolio and withdrew 4% a year, your chance of ending up with $4 million was higher than your chance of ending up with under $1 million after 30 years."
|
| Markets follow profits |
| 03/27/22 | | Markets |
"Basic corporate profits have grown about 8% a year historically. So, corporate profits double about every nine years. The stock market ought to double about every nine years."
|
| The low beta premium |
| 03/19/22 | | Markets |
"The superior performance of low-volatility stocks was first documented in the literature in the 1970s - by Fischer Black in 1972, among others - even before the size and value premiums were 'discovered'. The low-volatility anomaly has been shown to exist in equity markets around the world. Interestingly, this finding is true not only for stocks but for bonds as well. In other words, it has been pervasive."
|
| Commodities vs Commodity ETFs |
| 03/13/22 | | Markets |
"The average correlation between oil and oil ETFs was only 0.8. Gold ETFs provide better exposure to gold than oil ETFs to oil. Gold mining stocks are hybrids that feature gold and equity beta."
|
| Estimating future returns |
| 03/13/22 | | Markets |
"The only period compares with this valuation-wise is the dot-com bubble. We are near dot-com level valuations, in the 98th percentile. And if you view the 10-year returns from the worst time of the dot-com bubble to now, you can see that the results they obtained are worse than what I forecast here."
|
| Do what Jack said |
| 02/27/22 | | Markets |
"But while I worry about the Ukrainian people, I'm not much concerned about the stock market's decline. It's not because I have a crystal ball. Unlike the talking heads on the financial cable TV shows, I have no idea what will happen next in the financial markets. But I'm certainly not selling my stock funds. In fact, if the decline continues, I'll be investing more and, if the drop is steep enough, a whole lot more."
|
| Noise traders |
| 02/13/22 | | Markets |
"Research has demonstrated that individual investors generate negative results by paying attention to the noise of the market even before the costs of the trades. In addition, their behaviour induces increased crash risk in the stocks they buy. Investors should have learned that lesson from the crash of the dot-com stocks in March 2000."
|
| The long run |
| 02/13/22 | | Markets |
"To give you an idea about the numbers, real rates are currently very close to these long-term trends but slightly below. In order to get back to trend, real rates would have to rise by about 0.7% to 0.8% in the United States and the UK."
|
| When short-sellers attack |
| 02/04/22 | | Markets |
"short-sellers are biased. They issue fare more negative target prices than can be justified by fundamentals. This isn't surprising. Short-sellers make money if a share drops, so they systematically overstate the negatives and understate the positives. As a rule of thumb, it seems a good idea to divide the target return of a short seller by ten and you get the true reaction of the share price in the first week or so after the short-seller attacks."
|
| Observations from the decline |
| 01/30/22 | | Markets |
"The average stock with a Price/Sales over 10 has lost 19% so far this year. The average stock with a Price/Sales over 30 has lost 23.5%."
|
| When the Fed raises rates |
| 01/30/22 | | Markets |
"Surprisingly, stocks have held up relatively well during past hiking cycles. The average total return in these periods was 23%."
|
| Casualties of success |
| 01/23/22 | | Markets |
"Size is nature's leverage. Sought after for its benefits straight up to the point that it ferociously turns against you. Same thing applies to companies and investments."
|
| Inflation expectations |
| 01/22/22 | | Markets |
"Most importantly, the relationship between inflation expectations and future inflation changes over time, not just in degrees, but in sign, meaning that sometimes higher inflation expectations lead to higher inflation and other times they lead to lower inflation."
|
| Goodbye upside |
| 01/16/22 | | Markets |
"I was shocked when I saw the 2021 performance of Global X Nasdaq 100 Covered Call ETF (symbol: QYLD) compared to that of the Invesco QQQ Trust (QQQ), which tracks the Nasdaq 100. The Global X fund was up a paltry 10% last year, while the Invesco ETF soared 27%."
|
| The 52-week high glass ceiling |
| 01/15/22 | | Markets |
"Chart analysts would tell you that at the 52-week high many investors will want to sell their stocks in order to lock in their profits at that salient anchor. Thus, selling pressure increases and the share price often bounces lower from this psychologically important level."
|
| Factor Olympics Q4 2021 |
| 01/09/22 | | Markets |
"It is easy making the case that we are currently at the peak of the current market cycle, eg by pointing to the sale of an invisible rock NFT for $12,800. However, the same position could have been taken in 2017 when the Argentinian government sold 100-year bonds shortly after resolving its latest sovereign default. The good times can not continue forever, but short-term predictions are futile. A more nuanced argument is that there has already been a change in the investment sentiment that is reflected in the factor rotation from momentum to value stocks."
|
| Growth stocks sell off |
| 01/09/22 | | Markets |
"If growth stocks sell off will they bring value stocks down with them?"
|
| Stock market history |
| 01/02/22 | | Markets |
"This also means that US growth is not necessarily 'expensive' vs. European growth, but that European value has a decent chance - at least from a historical perspective - of being extremely inexpensive not only when compared to European growth, but also when compared to US value."
|
| Separate processes |
| 12/19/21 | | Markets |
"Mindless stock bulls talk of TINA [There Is No Alternative (to buying stocks)], as if there is no limit to how high stock prices can go when interest rates are low. I want to tell you about TIN. There Is Nothing (worth buying). This is the nature of financial repression."
|
| Estimating future market returns |
| 12/19/21 | | Markets |
"At the end of the third quarter, the S&P 500 was poised to nominally return -0.64%/year over the next 10 years. As of the close today, that figure was -1.83%/year, slightly more than the -1.84%/year at the record high last Friday."
|
| The very-long-run CAPE |
| 12/12/21 | | Markets |
"The CAPE ratio, the popular market valuation metric, created by Professor Shiller, shows cyclically adjusted price-to-earnings ratios. It currently stands at 38.7. This is very high in the context of historical levels, exceeding all prior peaks except the Dotcom - since 1800."
|
| The value of satisfied employees |
| 12/12/21 | | Markets |
"During recessions like 2000 to 2002 and 2008 to 2009, the outperformance of companies with a highly motivated workforce is particularly strong."
|
| The Bogle method |
| 12/12/21 | | Markets |
"I think we can draw two key conclusions. First, the Bogle method suggests we should ratchet back our return expectations for the next 10 years. It seems unlikely that the S&P 500 will notch 10% a year, and it could return far less. That's the bad news."
|
| Cheap money is driving overvaluation risk |
| 12/12/21 | | Markets |
"Today, credit is extremely cheap and extremely accessible, and that is driving rising asset prices in three key markets: public equity markets, private equity markets, and housing markets. In each of these markets, rising asset prices are accompanied by decreasing loan-to-value ratios, falling debt costs relative to income, and, most strikingly, asset prices that look extremely high relative to history."
|
| The Fed's labor trap |
| 12/05/21 | | Markets |
"Whether bullish or bearish, few can argue this is not one of the most fascinating times in the history of financial markets. Last week equities reached another record high, bolstered by strong earnings and the Federal Reserve, which remains committed to its 0% fed funds rate and a dovish taper. It appears investors continue to assume business as usual, with ultra-easy monetary policy always being there to save the day."
|
| A difficult choice |
| 11/28/21 | | Markets |
"When I focused on the percentage I had in stocks, I thought I could weather a bear market. But I'd lost sight of the total dollars at risk. Losing 30% to 40% of that money doesn't feel nearly as manageable. That's why I've let my stock allocation trend down from 64% a year ago."
|
| The value of value |
| 11/28/21 | | Markets |
"About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures."
|
| This will not last |
| 11/28/21 | | Markets |
"if four years ago you looked at the stocks with a P/S ratio above 20 and those with a P/S ratio below 20, the above 20 group would have underperformed (and lost money on absolute terms) through today"
|
| Musing about S&P 500 valuations |
| 11/28/21 | | Markets |
"Analyzing the 10 largest stocks in the S&P 500 shows a quite heterogeneous picture based on the earnings expected for the next fiscal year. The shareholders of JP Morgan Chase only have to wait approximately a decade for their initial investment to be earned by the company, although it is worth mentioning that bank earnings are highly cyclical, which might make this significantly longer. In contrast, the investors in Tesla require close to 200 years for the earnings to accumulate to its market capitalization, which reflects a rather obscene valuation."
|
| Sector-neutrality not a mistake |
| 11/21/21 | | Markets |
"We show both analytically and empirically that the long-short investor is more likely to benefit from hedging out sector bets, whereas the long-only investor is more likely to benefit from investing in the factor as it stands."
|
| Estimate of the future |
| 11/21/21 | | Markets |
"In some ways, the Federal Reserve is the whipping boy of Congress. Congress can't decide on anything significant, so the Fed fills in the blanks, and keeps things moving, even if it creates humongous asset bubbles in the process. That is what we are facing today."
|
| Crazy or normal? |
| 11/14/21 | | Markets |
"I can't help but think about the research papers that will be written on the current marketplace. There will certainly be differences, at the margin, but it is truly the case that when it comes to human behavior, history repeats itself. Over. And over. Again."
|
| Inflation, factors, and returns |
| 11/06/21 | | Markets |
"Inflation is as violent as a mugger, as frightening as an armed robber and as deadly as a hit man."
|
| Gone with the wind |
| 11/06/21 | | Markets |
"With asset prices soaring, we've made the difficult and contrarian decision to lower our sails and reduce risk. Based on current prices, we believe investors are dismissing the substantial risk associated with extraordinarily expensive valuations combined with unsustainable monetary and fiscal policies."
|
| Risking, fast and slow |
| 10/30/21 | | Markets |
"For example, stocks have lots of fast risk, but little slow risk. The S&P 500 could drop 20% tomorrow, but 30 years from now it's likely to be much higher than it is today. On the other hand, cash has lots of slow risk, but little fast risk. Next year your dollar should be worth about the same as it is worth today. But 30 years from now? Not so much."
|
| A 60/40 warning |
| 10/24/21 | | Markets |
"The historical average real return for the 60/40 portfolio is 3.4%. Our middle ground forecast cuts that by more than half. That's not good news."
|
| Reaching for returns |
| 10/24/21 | | Markets |
"The 40-year decline in interest rates has put investors today in a difficult position. They are forced to either reach for higher returns or accept the reality of lower ones."
|
| Long volatility strategies |
| 10/23/21 | | Markets |
"a simple equal-weighted portfolio of JPY/AUD and gold would have replicated the CBOE Eurekahedge Long Volatility Hedge Fund Index reasonably well since 2004."
|
| Craving risk or losing reward |
| 10/07/21 | | Markets |
"Because even if we observed that the average investor allocation to stocks was at record highs, it wouldn't necessarily imply that investors were craving more risk. In fact, I'd argue that any change in aggregate allocations over the last few decades has little to do with changing risk appetites and everything to do with lower bond yields."
|
| What to do about inflation |
| 10/07/21 | | Markets |
"When seeking inflation protection in your portfolio, it is important to make the distinction between assets that hedge inflation (have returns that move closely with unexpected inflation) and assets that outpace inflation over the long term. If your goal is to fund short-term consumption that is tied to inflation, you will want to consider hedging assets. If your goal is to fund spending over the long term, investments that outpace inflation are more appropriate. And chances are you need some combination of both in your portfolio to help protect current consumption and long-term spending needs."
|
| Energy shock |
| 10/03/21 | | Markets |
"Energy prices are soaring from the U.S. to Europe and Asia as economies rebound from a pandemic-induced lull and people return to the office. The shortage is so acute that China ordered its state-owned companies to secure supplies at all costs and Europe is burning more of its already depleted stocks of the dirtiest of fossil fuel, a move that may complicate climate talks next month."
|
| Hedging with options |
| 10/03/21 | | Markets |
"Despite significant research, we were unable to identify a simple options-based approach that both protected against black swan events and did so at an acceptably low cost - achieving this goal requires either a complexity of strategy or a robust active approach that goes beyond our basic quantitative efforts."
|
| This time it's different |
| 10/03/21 | | Markets |
"The current investing world is odd indeed and perhaps this time it's different: interest rates are zero, central banks manage stock markets, start-ups with unrealistic plans to make money are valued at billions, the market cap of cryptocurrencies has breached a trillion dollars, zombie companies like GameStop have been rejuvenated, and so on."
|
| Inflation builds |
| 10/03/21 | | Markets |
"Assuming current trends continue, we expect the transitory inflation narrative will eventually succumb to reality and threaten the Federal Reserve's ability to monetize debt and maintain negative real interest rates. Without the Fed's intrusive interference in the free markets, interest rates would once again move freely, allowing asset prices to properly reflect their underlying fundamentals. Ironically, instead of the Federal Reserve saving us from inflation, we believe it will be inflation that saves us from the Federal Reserve."
|
| Financial Crisis Prediction |
| 09/24/21 | | Markets |
"we have just entered a Red Zone as of the end of 2020. This is driven by the rise of debt-to-GDP and the equity market rally. Even if debt-to-GDP is calculated using the pre-COVID GDP level, this result holds. So, if crises are by-products of credit and asset price growth cycles, as the authors' evidence strongly suggests, then the US may have just entered the danger zone."
|
| Stock markets becoming more correlated |
| 09/24/21 | | Markets |
"One interesting aspect of this analysis is that both the value and momentum factors are currently exhibiting the highest correlations across markets since the tech bubble in 2000, which is a reflection of the global enthusiasm for expensive and strongly performing technology stocks."
|
| Yielding to buybacks |
| 09/24/21 | | Markets |
"Utilities and real estate are the only two industry sectors, out of 11, with a negative buyback yield. These two sectors are issuing stock, while the other nine industries are net share repurchasers. As of the end of the first quarter, the energy sector featured the highest total shareholder yield (5.2%), followed by financials (3.8%). Meanwhile, real estate (1.9%) and consumer discretionary (0.7%) have the lowest total yields."
|
| Amazon and inflation |
| 09/19/21 | | Markets |
"Labor productivity among nonstore retailers rose about 20% from 2019 to 2020, which is more than twice the 8% rate of labor-productivity growth experienced by the retail industry as a whole."
|
| Portfolios in crashes |
| 09/19/21 | | Markets |
"based on their liquidity requirements, most large institutional investors have no alternative but to adopt cap-weighted strategies. Investing billions in small caps or emerging markets is more expensive than trading large-cap US stocks. Equal-weighting may offer higher returns for equity investors over the long run, but the majority of capital may not be able to access them."
|
| Rational at night, irrational at day |
| 09/12/21 | | Markets |
"Meanwhile, all the different deviations from the rational model of CAPM appear during the day. Size, value, quality, and investment factors all have very high returns during the day when humans mess up all the nice rational models economists have developed. At night, these factors tend to lose a bit mostly because the stocks that have underperformed during the day catch up some performance based on the overnight news. But the nighttime setbacks aren't strong enough to eliminate factor returns."
|
| Inflation portfolio using asset classes |
| 09/05/21 | | Markets |
"Finally, we calculate the correlation of the portfolio to inflation. Although the asset classes were selected based on their correlation to inflation, the average correlation to inflation was only 0.4 during the period from 2006 to 2021. Investors might regard this as low, but the correlation of TIPS, which are popular inflation instruments, was approximately 0."
|
| Small stocks pricier than they appear |
| 08/29/21 | | Markets |
"Metrics that include negative earnings show the Russell 2000 went from trading at 27 times its past 12 months of earnings at the end of March 2020 to trading at 238 times earnings one year later, according to data from index provider FTSE Russell. That multiple fell by nearly half over the following month, and as of July was down to about 70. With loss-making companies removed, the Russell 2000's price-to-earnings multiple was both lower and less volatile: about 14 in March 2020, up to nearly 25 in March 2021 and then down to 19 at the end of July."
|
| Touching the sky |
| 08/21/21 | | Markets |
"With today's new high (4,479.71) in the S&P 500, the share of funds model now rates the market as having the highest valuation since 1945. The share of funds in stocks is over 52.3%. Projected returns over the next 10 years are -1.87%/year, not adjusted for inflation."
|
| Hanging by a thread |
| 08/15/21 | | Markets |
"Events, like money, compound. And the central feature of compounding is that it's never intuitive how big something can grow from a small beginning."
|
| The economic recovery catches a cold |
| 08/15/21 | | Markets |
"Are we really going to just ignore the worst consumer sentiment numbers in a decade?"
|
| Evaporating liquidity |
| 08/15/21 | | Markets |
"The Fed is tightening as they reduce QE, and begin raising the Fed Funds rate in 2022. It will end in a market meltdown in late 2022 as an overly indebted economy cannot tolerate the increase in the financing rate. The Fed will find itself trapped and interest rates will remain low. My confidence level on this idea is only 70%."
|
| Building an inflation portfolio using stocks |
| 08/15/21 | | Markets |
"Although we selected stocks based on their correlation to inflation, we have not analyzed how effective these stocks are as inflation-proxies. The average correlation was 0.4 in the period from 2007 to 2018, which is only marginally higher than the 0.3 of the Russell 2000. Given that the performance of both portfolios was approximately similar, this is not surprising. However, perhaps more surprising is that the correlation of other inflation-proxies like TIPS was not high either. In fact, the correlation of TIPS to inflation was 0.1 over the same time period, which is explained by the lagged inflation data that feeds into the TIPS principal and coupon calculation."
|
| The overvalued market |
| 08/15/21 | | Markets |
"While it would be foolish to call the stock market anything but expensive right now there is some context required here. The JP Morgan Guide to the Markets has some excellent charts that do just that. Here's a good one that shows a number of different valuation measures compared to their 25-year averages"
|
| The benefits of sin stocks |
| 08/08/21 | | Markets |
"As the shunned-stock hypothesis suggests, sin stocks have not only provided higher returns than the market portfolio but higher risk-adjusted returns as well. In addition, Richey's study demonstrates that sin stocks provide the added benefit of being defensive in nature, reducing the tail risk of investing in equities. Risk-averse investors may conclude that, for them, sin investing is a good choice."
|
| Just say no |
| 08/08/21 | | Markets |
"In fact, a portfolio holding a basket of stocks (with at least a $100 million market cap) exceeding 15x sales lost money from January 2000 to today. What's worse, it suffered a 92% drawdown! Not many investors can recover from that. Of course, maybe this time is different. Maybe valuations don't matter. But history suggests otherwise."
|
| Investing nightmares |
| 08/07/21 | | Markets |
"My investment nightmare doesn't involve a 50% decline or a lost decade like the one we had in the U.S. from 2000-2009 either. It's far worse than that. Because even the Lost Decade for U.S. stocks wasn't that bad when you consider the path markets took over that time period."
|
| Bonds and inflation |
| 08/02/21 | | Markets |
"Inflation has never been this high, with bond yields this low."
|
| Double or nothing |
| 07/25/21 | | Markets |
"As signs of policy-induced imbalances grow and become more difficult to defend, we believe the days of consequence-free money printing are over. Instead of adjusting to the heightened risk of quantitative easing ending, investors appear to be doing what they've been conditioned to do over the past decade: shake it off, parrot the Fed's narrative, and ride the stock market higher without concern. In effect, the game of double or nothing continues."
|
| What happens after a decade |
| 07/25/21 | | Markets |
"Doing anything but hold a 60/40 portfolio (or a derivation of it) has almost inevitably come at a cost. It is now considered to be the natural, default option by many investors. It is not clear, however, whether this status is because of something innate in the 60/40 structure that makes it the neutral choice, or whether investor opinions would change if it endured a prolonged spell of disappointing returns."
|
| Hedging inflation is hard |
| 07/19/21 | | Markets |
"Markets always require context but the biggest lesson here is how hard it can be to hedge against short-term risks in the markets. People have been pounding the table on inflation for a number of years now. I'm sure many of them were ready for a victory lap now that it's finally here. Yet the markets aren't cooperating."
|
| Equities as an inflation hedge |
| 07/19/21 | | Markets |
"Equities generated attractive nominal returns across all inflation regimes. However, real returns were zero when inflation was above 10%. Energy and materials performed best, consumer-facing sectors worst."
|
| Patient investing is hard |
| 07/11/21 | | Markets |
"Unfortunately, my more than 25 years of experience in advising investors has taught me that when it comes to judging the performance of investment strategies involving risk assets, far too many investors believe that three years is a long time, five years a very long time and 10 years an eternity."
|
| When dollar cost averaging fails |
| 07/11/21 | | Markets |
"If you had picked a random month to start buying U.S. stocks and kept buying for the rest of the decade, there is a 98% chance that you would have beaten cash (and an 83% chance that you beat 5-Year Treasuries as well). Yes, there were times when you underperformed, but in a vast majority of periods you would have made significant gains."
|
| Meme stock investing |
| 07/11/21 | | Markets |
"You can't do this forever. It smells a bit like a Ponzi Scheme already, in fact. Eventually, you run out of marks."
|
| Don't try to predict it |
| 07/11/21 | | Markets |
"Consumers, economists and bond traders often attempt to forecast inflation, but we really are walking in the dark."
|
| On negative oil and futures prices |
| 07/04/21 | | Markets |
"The spot barrel is the oil you can buy right now in the cash market for (almost) immediate delivery. Forward barrels are similar cash market transactions where you contract today for delivery of oil at some point in the future."
|
| Bubble of epic proportions |
| 07/04/21 | | Markets |
"Grantham will explain why he is calling this a bubble of epic proportions and suggest ways that investors can handle it." [video]
|
| High expectations |
| 06/27/21 | | Markets |
"After capturing returns of 12.5% above inflation in 2020, investors anticipate even higher returns post-pandemic markets: For 2021 they expect to achieve annual returns of 13% above inflation. Over the long term, they anticipate 14.5%. Both numbers are substantially greater than the 5.3% above inflation financial professionals say is realistic."
|
| Market trivia |
| 06/27/21 | | Markets |
"16 Unbelievable Facts About the Markets"
|
| Doctor copper |
| 06/27/21 | | Markets |
"The results indicate that while oil is a top performer during economic recoveries, copper performs best when the economy is expanding."
|
| On oil |
| 06/27/21 | | Markets |
"Today, we note that the high-yield spread over the last three months has fallen materially (from 3.86 to 3.36), indicating that now could be a good time to implement our strategy on the long side. In the long run, we believe this strategy could produce excess returns and be a valuable diversifier to tailored investor portfolios."
|
| The impact of intangibles |
| 06/27/21 | | Markets |
"The good news is that intangible-intensive companies can grow faster than their tangible counterparts. The bad news is they can also become irrelevant and shrink fast." [pdf]
|
| Estimating future stock returns |
| 06/20/21 | | Markets |
"On March 31st, the S&P 500 was priced to return 0.07%/year over the next 10 years. Today, that figure is -0.67%. At the close on Monday, that figure was -1.03%. These figures do not take account of inflation, so it indicates real annual returns between negative 2 and negative 3 percent."
|
| Mid-Caps |
| 06/20/21 | | Markets |
"Unfortunately, this creates a conundrum for investors. They can look at 90-years of data for US stocks, where mid-caps did not generate attractive excess returns, or 30-years of data across other stock markets where mid-caps outperformed."
|
| Day traders learning about their ability |
| 06/13/21 | | Markets |
"We analyze the performance of and learning by individual investors who engage in day trading in Taiwan from 1992 to 2006 and test the proposition that individual investors rationally speculate as day traders in order to learn whether they possess the superior trading ability. Consistent with models of both rational and biased learning, we document that unprofitable day tradersare more likely to quit than profitable traders. Inconsistent with models of rational speculation and learning, we document that the aggregate performance of day traders is negative, that the vast majority of day traders are unprofitable, and many persist despite an extensive experience of losses." [pdf]
|
| Questioning emerging markets |
| 06/06/21 | | Markets |
"We can demonstrate this relationship by comparing the outperformance of EM to US equities and the inverted US Dollar index. We observe that EM equities outperformed when the US Dollar depreciated. It is not a perfect relationship (there are none in finance), but it held broadly in the period between 1990 and 2020."
|
| Tobacco and defense as inflation shelters |
| 06/06/21 | | Markets |
"tobacco and defense have historically been reliable inflation shelters, rewarding investors with positive real returns during periods of higher inflation that more negatively impacted both their respective sectors and the broad market."
|
| Stakeholder capitalism |
| 06/06/21 | | Markets |
"The solution is thus to ensure that the CEO remains an owner, holding long-term equity, rather than being a salaried employee paid with a bonus based on short-term profit. Indeed, research shows that CEOs who own a substantial chunk of their firm outperform those who own little by 4-10 percent per year in long-term shareholder returns."
|
| Investing in commodities |
| 06/06/21 | | Markets |
"On an individual basis, commodities appear to be largely unpredictable. And even though the significance of the mean regression factor improves dramatically in the cross-sectional analysis, there remains a lot of noise within the other factors, as their signs flip from positive to negative and they go from statistically significant to insignificant on different time frames. Market timing strategies based on fundamental factors in commodities do not appear to be as reliable as factor-based strategies in stocks and bonds."
|
| How boom turned to bust |
| 05/30/21 | | Markets |
"Over the last 30 years, a buy-and-hold strategy in commodities underperformed the S&P 500 by 10% and the classic 60/40 portfolio by 9%, while also enduring colossal drawdowns and significantly more volatility."
|
| Economics of customer businesses |
| 05/23/21 | | Markets |
"Understanding the basic unit of analysis is an essential element of security analysis. An investor should have a point of view on how a company makes money, what opportunities exist, and the role competition might play in shaping the financial outcome. Boiled down to the core, the basic unit of analysis seeks to assess whether a company's investments are likely to earn a return in excess of the cost of capital." [PDF]
|
| The failure of anomaly indicators |
| 05/23/21 | | Markets |
"One springboard for the You-Xue-Zhang article was a 2016 study by Harvey, Liu and Zhu, who after analyzing 296 anomalies from published papers found that between 80 and 158 (i.e., up to 53%) are likely false discoveries."
|
| Fall of the titans |
| 05/16/21 | | Markets |
"The argument that low (and negative) interest rates justify higher valuations does not seem to hold water when the 10 largest companies by market-cap have an aggregate valuation multiple three times higher than the market. Add in the growing numbers of unsophisticated investors who are buying and selling stocks based largely on speculation, and the result is a potent mix for investors in today's stock titans."
|
| Hanging tough |
| 05/02/21 | | Markets |
"Finally, as I argued last year, I don't see any alternative to owning stocks. After factoring in taxes and inflation, cash investments and most bonds are priced to lose money."
|
| Craziest market |
| 04/25/21 | | Markets |
"Currently, we have an antiquated video game retailer (GME) being valued at $10 billion (nearly 10 times what it was worth at the start of the year). We have a literal joke internet coin (Dogecoin) that has a market cap of over $50 billion. And I just recently heard about a single deli in New Jersey (HWIN) that was recently valued at over $100 million. The deli had $35,000 in sales over the previous two years."
|
| Tesla and base rates |
| 04/11/21 | | Markets |
"What I wanted to focus on however was the revenue outputs in the model where the CFA credited analyst has $31b in 2020 rising to $700b in 2025, that's a CAGR of 117%! One of the things that always staggers me is the way analysts forecast revenue growth without any context to the base rate."
|
| After big gains |
| 04/11/21 | | Markets |
"I looked at the returns over the ensuing one, three and five year periods to see what happened after enormous gains of the past."
|
| Death to the lost decade |
| 04/11/21 | | Markets |
"Stable growth and tame inflation rewarded both equities and bonds and rendered less valuable any diversifying assets that sought to profit from more volatile or negative growth or higher inflation. Macro-economic analysis.and even more simple concepts like international diversification or value investing - failed to benefit investors. But growth has not always been so stable nor inflation so tame. And when those key economic drivers have behaved differently, the results for investors in different asset classes have been markedly different."
|
| It's all in the mix |
| 04/11/21 | | Markets |
"It's impossible to predict where the market will go next, so your best defense is to have an appropriate asset allocation. But how exactly can you determine an ideal allocation?"
|
| Momentum and mean reversion |
| 04/04/21 | | Markets |
"Momentum dictates that what has done the best in the past will continue to do the best and Mean Reversion just the opposite - where what is done the worst will eventually do the best, reverting back to its mean. That both can be true is one of the great paradoxes in investing."
|
| Yield shortage |
| 04/03/21 | | Markets |
"But the nice thing about dividend-payers is that they're easier to hang onto if you just view the volatility as the cost of higher income. Stocks are violent, dividends are steady."
|
| Disappearing BOGOs |
| 04/03/21 | | Markets |
"Based on numerous trips to the grocery store and other retail outlets, I've noticed a sharp drop in promotions over the past several months. Recent quarterly results and commentary of the businesses on our 300-name possible buy list support my anecdotal observations. With declining inventories and rising costs, companies have been reducing promotions to protect gross margins and receive full price on their limited supply."
|
| Replication crisis that wasn't |
| 03/28/21 | | Markets |
"In plainer words, done properly (using a consistent methodology, accounting for the simultaneous testing of many factors, comparing to a fair yardstick and not 100% of a backtest, studying the broadest set of factors in the most places, using global data, and even making their code and data available online) the study of ex post 'after the research paper came out and told everybody the good news' factor results is extremely supportive of factor investing."
|
| Replication crisis in finance |
| 03/28/21 | | Markets |
"Value factors became stronger when controlling for other effects because of their hedging benefits relative to momentum, quality, and leverage. And the Leverage cluster became one of the most heavily weighted, in large part due to its ability to hedge value and low-risk factors."
|
| The great reversal |
| 03/21/21 | | Markets |
"The current narrative is that a) small companies will benefit more from stimulus measures than their larger counterparts, b) global stocks will benefit from a falling dollar and higher global growth, c) value stocks will improve with the rise in interest rates and the steepening yield curve, d) technology will underperform as the vaccines and herd immunity will allow people to leave their homes again, e) bond yields will rise with inflation pressures mounting, and f) commodities will move higher with a resumption of growth and demand."
|
| Blowing bubbles |
| 03/21/21 | | Markets |
"Drawing on economist Hyman Minsky, Bernstein says there are four conditions necessary for a financial bubble to form: easy credit, exciting new technologies, amnesia about the prior bubble and bust, and the abandonment of old, prudent methods for valuing investments."
|
| Financial leverage makes stocks riskier |
| 03/14/21 | | Markets |
"When calculating the risk-adjusted returns, the conclusion on the lack of value creation via leverage crystalizes further as the stocks with the lowest leverage generated far higher risk-return ratios than the most leveraged stocks on a sector-neutral basis. Given this, investors should avoid stocks with too much leverage, especially sector specialists."
|
| A new ice age |
| 03/14/21 | | Markets |
"So instead of it being a new ice age for the traditional vendors, is it possible they might actually end up being the ones selling most of the new-age ice?"
|
| Valuing private equity |
| 03/14/21 | | Markets |
"Our results don't imply that PE doesn't create any value, to be clear. But they are consistent with a Berk and Green story in which the value is extracted as fees by the GPs, leaving little in the way of excess return for the investors."
|
| The long run is lying to you |
| 03/07/21 | | Markets |
"To state the obvious, when strategies get more expensive, all-else-equal they do better while that richening is occurring. Yet to assume these changes are the expectation going forward, as simply examining past returns does, strikes us as folly. I examine the returns on various markets, market differentials, and most importantly, the value factor, using a regression framework that accounts for these valuation changes."
|
| Groundhog day and overnight returns |
| 03/07/21 | | Markets |
"my (admittedly basic) view is that the release of overnight news (such as take-outs, mergers, and earnings reports) is the primary driver of the 'overnight return puzzle' and that the fact that there is negative autocorrelation to intraday returns (which effectively 'gives back' a third of the overnight return) is probably driven by a mix of investor overreaction, market structure, and perhaps a little investor heterogeneity."
|
| Shill bidding |
| 03/07/21 | | Markets |
"We find that a price premium of between 16% and 44% can be achieved by shill bidding. Importantly, shill bidding is quite easy to implement and neither the market maker nor bidders showed any indication that they noticed. We conclude that market makers should make a careful re-evaluation of the risks of shill bidding, since only they are in a position to take meaningful action to prevent it from occurring."
|
| Drew Dickson on European behavioral investing |
| 02/28/21 | | Markets |
"Mr Dickson holds an MBA from the University of Chicago Booth School of Business, where he was a research assistant for behavioural economist Richard Thaler" [video]
|
| Financial bubbles of historic proportions |
| 02/28/21 | | Markets |
"James Grant on bubbles and bitcion" [video]
|
| How to buy a business |
| 02/20/21 | | Markets |
"Most small companies are complete disasters that are held together with bailing wire and duct tape by the owner who works 60-80 hour weeks and knows the business inside-out. If it looks too good to be true, it probably is. Find the catch."
|
| Inflation beating asset classes |
| 02/20/21 | | Markets |
"Some asset classes, such as equities, which many believe to be good at hedging inflation, actually provide poor inflation hedging characteristics but strong returns above inflation over the longer term" [large]
|
| A short history of U.S. corrections |
| 02/14/21 | | Markets |
"The longest the stock market has gone without a double-digit correction since 1950 is 7 years from 1990-1997. Then from 2002-2007 there was a four-and-half-year drought with no corrections. This may surprise some people, but the third-longest streak of no market corrections over the past 70 years or so was the four years from late 2011 through late-2015."
|
| The defining trait of bubbles |
| 02/14/21 | | Markets |
Figuring out the greatest bubble in history is like asking someone who their favorite child is. I go back and forth between the South Sea Bubble and 1980s Japan."
|
| Grantham and the next crash |
| 02/07/21 | | Markets |
"Jeremy Grantham, co-founder and chief investment strategist of Boston's GMO, believes U.S. stocks have become an epic bubble and will burst in a collapse rivaling the crashes of 1929 and 2000." [video]
|
| Shorting stocks |
| 02/06/21 | | Markets |
"The margin calls kept coming. So did sleepless nights. There was no internet at the time and I had to wake up every weeknight at 2 a.m. to run to the store to get the newspaper to see whether there was any news on the deal. Not only did I have financial difficulties, but also my wife started to wonder why I kept running out of our apartment in the wee hours."
|
| Unfortunate investing traits |
| 02/06/21 | | Markets |
"To make money they didn't have and didn't need, they risked what they did have and did need. And that's foolish. It is just plain foolish. If you risk something that is important to you for something that is unimportant to you, it just does not make any sense."
|
| There is no wall of money |
| 02/06/21 | | Markets |
"Prices matter. Buy low, sell high. But don't attribute anything to the 'wall of money.' It is a bogus concept, and should be ignored. The biggest changes in prices happen when the market is closed, and trading is limited."
|
| Volkswagen 10 years later |
| 01/30/21 | | Markets |
"Then, over the weekend, Porsche SE dropped a bomb. They issued a press release stating that they had control (via option and swap positions) of an additional 31.5% of the company through option positions, in addition to the 42.6% they already held. This got them to approximately 75%, which not only effectively meant they had a domination agreement (aka they owned VW), but that given the 20% stake already held by the state of Lower Saxony and more by other long-term shareholders, there basically was no float left for the most heavily shorted company in the world."
|
| The GameStop revolution |
| 01/30/21 | | Markets |
"Individual traders banded together this past week to move markets like never before. But the buildup to this remarkable moment has been happening for decades."
|
| The grocery store puzzle |
| 01/30/21 | | Markets |
"If most e-commerce companies have been pulled 1-3 years into the future in terms of their revenue, then the e-commerce businesses of most category leading brick and mortar retailers have been pulled 5-10 years into the future"
|
| Investing in a bubble |
| 01/24/21 | | Markets |
"This ratio of growth to value valuations has already reached 1999 levels and is trending towards dot-com bubble levels. While this is not a definitive sign that we are in a bubble that is about to burst, it is yet another in a growing number of red flags. And while we believe value will prevail in the full sweep of history, those who want to participate in the bubble.s upside might want to consider implementing trend-following rules that might help cushion the fall if the large-cap technology market turns."
|
| Quality, where art thou |
| 01/24/21 | | Markets |
"Unfortunately, neither quality nor quality income ETFs had significantly lower maximum drawdowns during the global financial crisis of 2009 or the more recent COVID-19 crisis of 2020, which resulted in lower risk-adjusted returns compared to the S&P 500. In contrast, the portfolio comprised of highly profitable stocks achieved meaningful reductions in drawdowns in both crisis periods."
|
| Growth can go out of style |
| 01/24/21 | | Markets |
"Amazon's stock fell from a peak of $113 to a low of $5.51. That means that from the peak, it got cut in half, then it got cut in half again, and then it got cut in half a third time, and then, you guessed it, it got cut in half again. And then it lost another 22% for good measure. So the next time you see somebody say, 'If you invested $10,000 at Amazon's IPO,' you can safely dismiss the second part of their statement."
|
| Another alpha bites the dust |
| 01/24/21 | | Markets |
"One of the claims of active fund managers is that the rise of indexing and passive investing in general would make the markets less informationally efficient. It would also create more opportunities for exploiting index funds that focus on minimizing tracking error.they are forced to trade, and, thus, likely to take a loss when rebalancing occurs. If that were the case, the rise in passive investing would have led to an increase in the Index Effect. Yet, the exact opposite has occurred."
|
| High stock valuations are fine |
| 01/17/21 | | Markets |
"Let me restate that: most of the excess returns from the best performing stock periods have come from valuations going from really low back to average or above."
|
| Morningstar's influence on style returns |
| 01/16/21 | | Markets |
"But with the introduction of the style box, Morningstar at least managed to reduce the amount of flows chasing past performance. And this apparently also influenced style returns. If investors put a lot of funds to work in funds that had strong performance in the past, they create a herding effect that perpetuates the price momentum of past winners."
|
| Waiting for the last dance |
| 01/10/21 | | Markets |
"The long, long bull market since 2009 has finally matured into a fully-fledged epic bubble. Featuring extreme overvaluation, explosive price increases, frenzied issuance, and hysterically speculative investor behavior, I believe this event will be recorded as one of the great bubbles of financial history, right along with the South Sea bubble, 1929, and 2000."
|
| A generational moment |
| 12/20/20 | | Markets |
"While we can't predict the future, based on price and valuation, we are fairly certain young investors are not being presented with a generational buying moment. More likely, we believe investors are being offered a generational selling moment"
|
| The Tesla bubble |
| 12/19/20 | | Markets |
"Tesla is entering the S&P 500 with a stupendously high valuation and will likely be ranked sixth in the index. Traditional cap-weighted indices, such as the S&P 500, are structured to buy high and sell low - and Tesla is a prime example of this maxim."
|
| FATMAN-G |
| 12/19/20 | | Markets |
"And for each of them in aggregate to generate 15% annual returns over the next fifteen years, they would need a combined market cap of over $70 trillion. Not that it is a valid comparison, but in 2035, that will be greater than the combined GDPs of the US and Europe."
|
| Estimating future stock returns |
| 12/12/20 | | Markets |
"Welcome to Wonderland, boys and girls. At the end of the third quarter, the S&P 500 was priced to return 2.92%/yr for the next ten years, with no adjustment for inflation. You might say, 'But David, you've reported levels that low in the past, and you were concerned, but you never said 'Wonderland.' True, but the market has rallied further since the end of the quarter, and the level of the S&P 500 now is priced to return 1.79%/yr for the next ten years, with no adjustment for inflation. That's in the 97th percentile of valuations."
|
| The McRib effect |
| 12/05/20 | | Markets |
"When the McRib is available, the S&P 500 has an average daily return about 7 basis points (0.07%) higher than on days when it is not available. To put that into perspective, when annualized, that difference would be 19% every year."
|
| The Q ratio |
| 12/05/20 | | Markets |
"Q Ratio is not a useful indicator for short-term investment timelines. This metric is more appropriate for formulating expectations for long-term market performance."
|
| Canadian bills lose legal tender status |
| 11/22/20 | | Markets |
"The Bank of Canada issued a reminder on Thursday that hundreds of millions of $1, $2, $25, $500, and $1,000 bank notes will have their legal tender status removed as of Jan. 1, 2021."
|
| Day traders lose money |
| 11/22/20 | | Markets |
"Large increases in Robinhood users are often accompanied by large price spikes and are followed by reliably negative returns."
|
| Great company, wrong price |
| 11/22/20 | | Markets |
"The one thing he would point out is his strong belief that there is a difference between a company and its stock price. He believes that when a stock price underreacts to great things, or overreacts to terrible things, this creates opportunities. He also believes that you can pay too much for a good company. He believes this, because as mentioned above, he covered tech stocks during the tech bubble and its aftermath."
|
| The dead versus the living |
| 11/08/20 | | Markets |
"In this short research note, we will explore the current state of the zombification of stock markets across the globe as this is bound to change dramatically over the next few months and years. More zombies will emerge, and they will haunt the living."
|
| The risk-free asset |
| 11/08/20 | | Markets |
"Blitz found strong evidence that the risk-free rate used in asset pricing models is misspecified, as the empirical evidence provides support for intermediate-term Treasuries as the more appropriate benchmark. In addition to the empirical evidence, economic theory posits that the one-month rate is not a riskless rate for investors with horizons beyond that term. His findings help explain at least part of the equity risk premium puzzle. In addition, the evidence helps explain the performance of low-beta stocks."
|
| Memory gets in the way of a jolly market |
| 10/24/20 | | Markets |
"So if you are old enough to remember the 1987 Crash, memory will serve you well as you judge what kind of risk is appropriate. If you aren't old enough, then you need to pay especially close attention to the academic studies which conclude that another crash is someday inevitable."
|
| In defense of the IPO |
| 10/24/20 | | Markets |
"The handy rule of thumb is: if you need money, an IPO, for all its flaws, makes the most sense and is probably the best option; if you don't, a Direct Listing may be preferable; if you need money, speed, and certainty, a SPAC may be best."
|
| Global valuations |
| 10/18/20 | | Markets |
"The TOPIX looks like a negative bubble, with the vast majority of stocks trading at less than 1x sales, while the NASDAQ looks like a classic bubble, with over 30% of companies trading at >9x sales."
|
| FANMAG envy |
| 10/11/20 | | Markets |
"It is difficult to look at growth multiples today and make a valuation argument based on history. In our view, the data we have shown screams overvaluation. All great bubbles are built on compelling stories, and the FANMAG story is compelling. But all great bubbles are also built on unrealistic expectations, and we believe that those unrealistic expectations are already in the growth stock prices."
|
| Hyperinflation and me |
| 10/11/20 | | Markets |
"October 1993 brought the now-infamous 500 billion dinar note. I remember my father reporting this note with 11 zeros was worth 'roughly one cabbage' at the time of issue. The data seem to back this up. By 31 December 1993, one US dollar was worth 1,775,998,646,615 Yugoslavian dinars. At that rate, the dinar was no longer useful as a medium of exchange."
|
| The stock-market disconnect |
| 10/11/20 | | Markets |
"The best explanation for why stock markets remain so bullish despite a massive recession is that major publicly traded companies have not borne the brunt of the pandemic's economic fallout. But having been spared by the virus, they could soon find themselves squarely in the sights of a populist backlash."
|
| Expected 10-year returns |
| 10/03/20 | | Markets |
"The S&P 500's total return over the next decade will be just 1.9% annualized - including reinvested dividends."
|
| How sales growth and other factors explain returns |
| 09/26/20 | | Markets |
"TEV/sales multiples are high, but still below the nosebleed levels of 1999 and 2000. The primary driver of stock price returns is sales growth ..."
|
| Estimating future stock returns |
| 09/26/20 | | Markets |
"At present, the S&P 500 is priced to return 3.51%/year over the next ten years. Now if you were buying some ten-year investment grade corporate bonds, you might expect something around 2%. Is that 1.5% over corporates worth it?"
|
| Selling stocks for the long-term |
| 09/26/20 | | Markets |
"These demographic trends have both good and bad news for investors. Fortunately, most of the dramatic population declines are expected after 2050. Before that, only Japan is affected significantly."
|
| Information in asset prices |
| 09/26/20 | | Markets |
"We investigate the informational content of prices in financial asset markets. To do so we use a large number of market experiments where the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated in market prices. We find that public information is almost completely reflected in prices, but that surprisingly little private information - less than 50% - is incorporated in prices. Our estimates therefore suggest that while semi-strong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency."
|
| Hitting return targets |
| 09/19/20 | | Markets |
"For many decades the expected rate of return was close to that of prevailing interest rates so not only was it a simpler time to be an allocator, but an easier time. That relationship has broken down in recent decades."
|
| Persistent high volatility |
| 09/19/20 | | Markets |
"A situation has been set up by the functional equivalent of the 'Wizard of Oz' where small changes to interest rates or economic activity will have big impact on stock prices. And so I am telling you, be ready for whippy markets."
|
| There is no size effect |
| 09/18/20 | | Markets |
"Adding in lags to account for illiquidity takes the historically weak small firm effect and renders it non-existent."
|
| Settling the size matter |
| 09/11/20 | | Markets |
"We conclude that size is weak as a stand-alone factor but a powerful catalyst for other factors."
|
| The 60/40 Portfolio |
| 09/11/20 | | Markets |
"The 10 year treasury yielded 2.2% at the outset of 1940. By the start of 1980 it was up to 10.8%. Today it's roughly 0.7%. The 60/40 portfolio will assuredly have lower returns over the next 40 years than it had over the last 40 years. That's simple math based on starting yields for bonds."
|
| Drawdowns in wonderful companies |
| 09/11/20 | | Markets |
"Investors in the greatest companies faced a drawdown of 32.5%, on average, despite being one of the greatest decades of performance ever. That was just the largest drawdown, on average. It says nothing of the second, third, and so on drawdowns during the same decade."
|
| Crowding in large tech |
| 09/11/20 | | Markets |
"I say to you 'lighten up on your large cap tech positions.' Those who own those positions have short time horizons, and may bolt. There is no way these companies grow into their valuations, so don't think you can hold on for years. This is just a mania, and as such, it will meet its end."
|
| Seasonal patterns in the Canadian market |
| 09/11/20 | | Markets |
"There is a January effect in Canada and, more importantly for this time of the year, a 'sell in May and go away' effect. In fact, the average annual rate of return over the last 60 years (1957-2018) would have been 17% had investors gone long in the equally weighted index in November-April and gotten out of risky securities altogether in the May-October semi-annual period and, over that period, invested instead heavily (and exclusively) in government of Canada bonds. It would have been 18% in the 1988-2018 sub-period."
|
| The new normal |
| 09/06/20 | | Markets |
"I think the days of a simple 60/40 allocation or even something fancier like the All Weather Portfolio generating meaningful real returns are probably behind us for at least the next decade."
|
| The game of Tesla |
| 09/06/20 | | Markets |
"This is the Common Knowledge Game in action. It is the power of the crowd watching the crowd. It is the power of - not what you think is true, and not what you think the crowd thinks is true - but of what the crowd thinks the crowd thinks is true."
|
| Only a trickle |
| 09/06/20 | | Markets |
"The S&P 500 model is forecasting returns of 2.23%/year over the next 10 years. Even if you compare that to the 10-year Treasury Note yielding 0.66%, that's not enough of a risk premium. We are in the 97th percentile of valuations."
|
| Distorting the prices of small-cap stocks |
| 08/30/20 | | Markets |
"Our analysis here offers reason to expand our explanation for pricey stocks beyond exuberant expectations for growth: it seems that outsized passive ownership is contributing to a more general price inflation in low-float stocks."
|
| Long-term reversal in equity returns |
| 08/22/20 | | Markets |
"Long-term reversal is an independent asset-pricing phenomenon, not subsumed by other well-established return predictors (such as the value effect). The effect is largely robust to alternative holding and formation periods and to the influence of calendar seasonalities (such as the January effect), and remains strong in different subsamples. The effect is particularly pronounced in periods of elevated market volatility and return dispersion. In fact, during periods of low dispersion, the effect is almost nonexistent."
|
| Stocks didn't outperform bonds for 50 years |
| 08/22/20 | | Markets |
"if you combine the S&P 500 with a 20-year US Treasury (this Treasury roughly matches the long-term interest rate sensitivity of the S&P 500) then you can get a lot of short-term diversification between stocks and bonds while not reducing the long-term expected return of a pure stock portfolio."
|
| Stocks that emerge from bankruptcy |
| 08/22/20 | | Markets |
"Our analysis found that post-reorg equities from 2008 to 2019 consisted of more losers than winners, but successful firms produced notably high returns. One year following emergence, the average return was 19.8%, with the Russell 2000 returning 11.2% during the same period."
|
| Cross-asset signals |
| 08/14/20 | | Markets |
"Simultaneously positive momentum regimes in bond and equity markets predict better outcomes for the economy, with high industrial production growth, high investment, and decreasing unemployment over the next 12 months. In contrast, simultaneously negative momentum regimes predict negative industrial production growth, low investment, and increasing unemployment. Thus, time-series momentum and cross-asset time-series momentum are not just financial market phenomena; they also contain information about fundamental changes in economic activity."
|
| Public to private equity |
| 08/09/20 | | Markets |
"Over the past quarter centurythere has been a marked shift in U.S. equities from public markets to private markets controlled by buyout and venture capital firms. This change has had reverberations for asset managers, investors, executives, and policy makers." [pdf]
|
| Tail risk hedging |
| 07/26/20 | | Markets |
"The common view that Put costs more but is a more effective tail hedge contains a kernel of truth but does not capture the full story. We will give a more nuanced picture, including practicality for investors, and end up preferring Trend over Put."
|
| Down the rabbit hole |
| 07/26/20 | | Markets |
"There are only three things you need to know about private equity: leverage, leverage and leverage"
|
| The bubble 500 |
| 07/26/20 | | Markets |
"Paying >10x revenue for exciting growth stories is historically one of the worst long-term investment methodologies ever. Our research on similarly priced, similarly unprofitable new-issue stocks with similar growth prospects suggests that this is because of their dramatically high failure rate and disproportionate risk of extreme multiple compression. And this is true even excluding the dot-com bubble. Bankruptcy-level losses occur at such high rates that the group of stocks has an actuarial price return risk equivalent to investing exclusively in tomorrow's levered defaulters."
|
| Canadian micro |
| 07/18/20 | | Markets |
"Paul Andreola seeks fundamental cash flow and earnings in micro-cap and smallcap companies. Paul has 30 years of smallcap experience as the co-founder of two public companies and CEO and director of another in the technology space." [video]
|
| Fight the Fed model |
| 07/12/20 | | Markets |
"This has the appearance but not the reality of common sense. The empirical evidence tells us the Fed model has no power to forecast long-term real stock returns. On the contrary: Traditional methods, like examining the market's unadjusted P/E alone, have been very effective."
|
| A world with no yield |
| 07/12/20 | | Markets |
"Around 90% of developed countries have government bond yields of 1% or less. Almost 40% of these countries have negative yields. Rates are low for a reason. We're in the midst of a depression which is a deflationary force and central banks are doing their damnedest to keep rates down to be able to fund all of the government spending and keep borrowing rates low."
|
| A top-heavy stock market |
| 06/26/20 | | Markets |
"To this point, charting the performance of stocks following the year they joined the list of the ten largest firms shows decidedly less stratospheric results. On average, these stocks outperformed the market by an annualised 0.7% in the subsequent three-year period. Over five- and ten-year periods, these stocks underperformed the market on average."
|
| Broken asset classes |
| 06/26/20 | | Markets |
"In the five years after an asset class was declared broken, each roared back in a strong, and for many, swift rebound. All except one snapped back within one year, generating returns that ranged from 14% for US stocks to 68% for commodities. The sole dawdler, REITs, rebounded in 18 months, ultimately delivering a cumulative 86% return at the five-year mark - the weakest performance of the group."
|
| Costs kill the overnight anomaly |
| 06/20/20 | | Markets |
"dissecting the data behind this supposed market timing strategy reveals that not only are any excess returns diminished by transaction costs, but the performance relative to buy-and-hold gross of costs has waned over the years."
|
| Behind private equity |
| 06/06/20 | | Markets |
"After fees, investors in private equity funds earn exactly what they would have in public stocks, according to new research. But the high fees have not only created a new billionaire class, they're squeezing private equity-backed companies for unrealistic growth."
|
| Diversification drag |
| 05/31/20 | | Markets |
"Diversification has been a drag on investor portfolios for a number of years now. In a world where one asset class (U.S. large-cap growth stocks in this instance) is far and away the best performer, diversifying into other asset classes or strategies will make you feel silly."
|
| Equity styles and the Spanish flu |
| 05/31/20 | | Markets |
"We study the performance of equity styles during the period around the Spanish Flu pandemic of 1918-1919 and other deep historical market corrections to gain a deeper understanding on the performance of different groups of stocks during crises. We extend the widely used CRSP database with hand-collected data on U.S stocks and examine the major pre-1926 market corrections. We find that low-volatility and momentum tend to reduce losses during sharp market selloffs. By contrast, smaller stocks with high yields (value) offer less protection, but perform well during the recovery phase. Over major market selloffs and subsequent recoveries combined equity styles added value."
|
| Pizza arbitrage |
| 05/22/20 | | Markets |
"If capitalism is driven by a search for profit, the food delivery business confuses the hell out of me. Every platform loses money. Restaurants feel like they're getting screwed. Delivery drivers are poster children for gig economy problems. Customers get annoyed about delivery fees. Isn't business supposed to solve problems?"
|
| Why the market isn't down more |
| 05/15/20 | | Markets |
"Instead, it appears this has been more of a 'risk off rally' with investors rapidly selling the stocks of smaller companies, those with weaker balance sheets and those with economically sensitive business models, and piling into stocks of larger companies, with strong balance sheets and economically defensive business models."
|
| Market roulette |
| 05/09/20 | | Markets |
"After all, where else can you find a game that will make you $0.05 a day (in expectation) for every $100 wagered? Where else can you earn $1 a month, or $12 a year, for every $100 at stake?"
|
| The yield curve indicator |
| 05/09/20 | | Markets |
"Cam explained that this indicator - when Treasury interest rates on shorter-term bonds rise above those being paid on longer-dated bonds - has been successful at predicting recessions 7 out of 7 times with zero false signals along the way. This recession means it's now 8 for 8!" [video]
|
| An anatomy of calendar effects |
| 05/03/20 | | Markets |
"This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect and holiday effect. We find that Halloween and turn-of-the month (TOM) are the strongest effects fully diminishing the other three effects to zero. The equity premium over the sample 1963-2008 is 7.2% if there is a Halloween or TOM effect, and -2.8% in all other cases. These findings are robust with respect to transactions costs, across different samples, market segments, and international stock markets. Our empirical research narrows down the number of calendar effects from five to two, leading to a more powerful and puzzling summary of seasonal effects."
|
| Rally isn't a real recovery |
| 04/24/20 | | Markets |
"In a recovery, value and dividend yield are winners followed closely by small cap securities. High volatility stocks are almost as good as value. In addition, the performance of momentum is lackluster or even negative. Growth and low volatility are losers, according to StyleAnalytics."
|
| Day of Reckoning for Private Equity |
| 04/17/20 | | Markets |
"No set of companies across industries is more at risk than those owned by private equity firms. Leveraged buyouts - now euphemistically called private equity - have 'leverage' in their name for a reason. That financial tool works both ways, magnifying returns in good times and punishing results for equity holders when the tide turns."
|
| When dollar cost averaging matters most |
| 04/04/20 | | Markets |
"Even the contributions that were way too early or way too late in relation to the bottom look amazing in terms of their growth. Those contributions have had longer to run than the more recent purchases but that.s the whole point."
|
| Buying during a crisis |
| 03/28/20 | | Markets |
"Nevertheless, there is a silver lining for investors who are buyers of equities right now. Every dollar they invest in the current market environment will grow to far more than one invested in months prior, assuming that the market eventually recovers."
|
| Prepare for more weird |
| 03/28/20 | | Markets |
"The market going down rapidly is less unusual than it going up rapidly. Typically the speed of down moves is twice as fast as up moves. For the current up moves to be so fast is astounding."
|
| After the fall |
| 03/22/20 | | Markets |
"Once stocks fall 20%, long-term returns start to improve with every painful leg lower. This is why it's so important to stay in the game. Nobody ever said you have to have all of your money in stocks, but you can't be all cash either because lower returns today plant the seeds for higher returns tomorrow."
|
| Good decisions in uncertain times |
| 03/22/20 | | Markets |
"Over the full 24-month period, returns remained very strong, with small value earning positive returns in 100% of 24-month periods and having the highest absolute performance of these four categories. Small growth performed the next best, then large value, with large growth being the worst performer."
|
| Risky returns |
| 03/22/20 | | Markets |
"Many investors are experiencing the real downside of stockmarkets for the first time. Suddenly they're no longer placid, happy holiday resorts where riches gently roll to shore simply by waiting. A volcano has erupted and everyone is running around with their hair on fire stealing each other's coconuts and hoarding pineapples."
|
| U.S. valuation |
| 03/22/20 | | Markets |
"median valuations in the US stock market: large, mid, then small cap"
|
| The right time to buy |
| 03/22/20 | | Markets |
"Our country has experienced World Wars, inflation, deflation, stagflation, financial panics, and everything in between. We have come out of all of these events stronger than ever, and we will do so today. It's going to hurt like hell, but we'll pull through this."
|
| An ill wind |
| 03/22/20 | | Markets |
"In other words, if investors see there's a path to health, they'll gladly welcome financial incentives that provide a path to restoring wealth."
|
| Money back after a bear market |
| 03/15/20 | | Markets |
"So investors could be waiting a while before being made whole from the prior peak. But there is a silver lining here if you look at these numbers a different way. The last column in this table shows the gains necessary to be made whole from these different loss levels"
|
| Who cares what Mr. Market thinks |
| 03/06/20 | | Markets |
"So, with the market down more than 12%, it is like the market is discounting no earnings for the next four years! Nuts!"
|
| Distorting the market |
| 02/21/20 | | Markets |
"On this week's episode, we speak to Mike Green of hedge fund Logica Capital, who argues that the trend is causing major market distortions that will eventually unwind with ugly consequences." [video]
|
| Equity returns don't compensate for risks |
| 02/21/20 | | Markets |
"If this doesn't give you pause, then you either haven't understood finance theory or these results. They are a direct contradiction of the most basic premise of finance and indicate that we get something fundamentally wrong about finance"
|
| Levered long |
| 02/21/20 | | Markets |
"Stocks and bonds both have positive expected returns, so I understand why a young person with a high risk tolerance would find this appealing. But after looking at the numbers, it probably doesn't make sense to do it with your entire portfolio, if at all. It requires constant monitoring, and an iron stomach. Leverage can turbo charge your returns, but it can also wipe them out if you're not careful."
|
| Great to gone |
| 02/15/20 | | Markets |
"Success often contains the seeds of its own destruction, and not just when it comes to family fortunes."
|
| Epidemics and market returns |
| 02/15/20 | | Markets |
"A global pandemic that killed 3% of the Earth's population only sent markets down 10% over a period of 4 months. This is a stunning result. The worst virus since the bubonic plague and markets go through a run-of-the-mill decline? I would not have guessed that beforehand."
|
| The temptation of cash |
| 02/07/20 | | Markets |
"How long do you usually have to wait before you would reach the absolute lowest price for any given trading day? The median amount of time before hitting an absolute low is 184 trading days (~9 months), but the average is 508 trading days (~2 years)."
|
| Five investing heresies |
| 02/07/20 | | Markets |
"Dan Rasmussen proceeds to knock down five investing heresies" [video]
|
| 50 years of industry data |
| 01/24/20 | | Markets |
"of the forty-eight industry portfolios considered on a value-weighted or market capitalization basis, only six boasted a higher Sharpe than the broad market: Smoke, Food, Beer, Guns, Drugs, and Utilities."
|
| Dan McMurtrie talks to Tobias Carlisle |
| 01/24/20 | | Markets |
"Daniel McMurtrie, better known as FinTwit's @Supermugatu, runs a long/short hedge fund, a Bangladeshi venture fund and wrote the modern 95 Theses for millennial daters: The Dating Market" [video]
|
| Rebalancing frequency |
| 01/10/20 | | Markets |
"My prior with most market-based analyses is that the patterns we observe are just noise and randomness. Given the conclusions found from those who have studied rebalancing previously, I am inclined to believe that this is true in this case as well."
|
| The art of not selling |
| 01/10/20 | | Markets |
"Of our most costly mistakes over the years, almost all have been sell decisions. The mistake, in virtually every instance, has been selling too soon."
|
| The long suffering |
| 01/03/20 | | Markets |
"We know that stocks are risk assets, and that U.S. government bonds, specifically one-month T-Bills, are often referred to as risk-free assets. But the absence of risk can be very costly if your goal is to outpace inflation, which is why we take risk in the first place. Looking at this chart, one should conclude that risk-free is not only reward-free, but its the epitome of risk."
|
| A pension storm |
| 12/16/19 | | Markets |
| Profits always matter |
| 12/16/19 | | Markets |
| Online dating and the economy |
| 12/16/19 | | Markets |
| How retailers hide the costs of delivery |
| 12/11/19 | | Markets |
| Forget the shorts |
| 12/11/19 | | Markets |
| 8 centuries of global real interest rates |
| 12/03/19 | | Markets |
| Source of market returns |
| 12/03/19 | | Markets |
| The investment factor |
| 11/22/19 | | Markets |
| Value is cheap |
| 11/16/19 | | Markets |
| The Sirens' call |
| 11/16/19 | | Markets |
| The case against REITS |
| 11/16/19 | | Markets |
| Growth bankruptcies |
| 11/08/19 | | Markets |
| Rise and fall of calendar anomalies |
| 11/08/19 | | Markets |
| Another great depression |
| 11/03/19 | | Markets |
| Michael Mauboussin interview |
| 10/18/19 | | Markets |
| It's a code red |
| 10/11/19 | | Markets |
| Lawrence Hamtil talks about sectors |
| 10/11/19 | | Markets |
| Bubblicious |
| 10/04/19 | | Markets |
| How high can markets fly |
| 09/24/19 | | Markets |
| Low vol is not the new value |
| 09/17/19 | | Markets |
| Private equity destroys investors' wealth |
| 09/17/19 | | Markets |
| The cost of waiting |
| 09/17/19 | | Markets |
| Factor investing on the country level |
| 08/31/19 | | Markets |
| Recession probability |
| 08/19/19 | | Markets |
| Low vol rises |
| 08/12/19 | | Markets |
| 200 years of safe withdrawal rates |
| 07/31/19 | | Markets |
| Opposite of conventional wisdom |
| 07/26/19 | | Markets |
| Bill Gurley interview |
| 07/07/19 | | Markets |
| The earnings mirage |
| 07/07/19 | | Markets |
| Tattersall on Canadian buybacks |
| 06/26/19 | | Markets |
| O'Shaughnessy talks to Livermore |
| 06/26/19 | | Markets |
| Beat online bookmakers |
| 06/21/19 | | Markets |
| Volatility targeting |
| 06/06/19 | | Markets |
| 10 times sales |
| 05/15/19 | | Markets |
| The will to survive |
| 04/21/19 | | Markets |
| Recessions vs. bear markets |
| 04/21/19 | | Markets |
| Stock picks from space |
| 04/16/19 | | Markets |
| The size premium should persist |
| 03/25/19 | | Markets |
| On being wrong |
| 03/04/19 | | Markets |
| Why markets go up |
| 02/25/19 | | Markets |
| How to invest a lump sum |
| 02/25/19 | | Markets |
| The worst case |
| 02/20/19 | | Markets |
| DCA vs buy the dip |
| 02/13/19 | | Markets |
| An economic story |
| 02/05/19 | | Markets |
| Is risk a function of sector or size? |
| 01/28/19 | | Markets |
| Retail arbitrage |
| 01/22/19 | | Markets |
| Is risk a function of sector or size? |
| 01/22/19 | | Markets |
| Long-term thinking |
| 01/16/19 | | Markets |
| Payday anomaly revisited |
| 01/16/19 | | Markets |
| The forgotten bear markets |
| 01/08/19 | | Markets |
| Buying when stocks are down |
| 12/26/18 | | Markets |
| Next year |
| 12/17/18 | | Markets |
| One market constant |
| 12/17/18 | | Markets |
| Wrong, random, or worse |
| 12/10/18 | | Markets |
| When cash outperforms |
| 12/03/18 | | Markets |
| The rise of zombie stocks |
| 11/26/18 | | Markets |
| The opportunity in trucking |
| 11/19/18 | | Markets |
| When stocks fell |
| 11/01/18 | | Markets |
| The best market predictor is useless |
| 10/09/18 | | Markets |
| The death of the 200 day |
| 09/29/18 | | Markets |
| A trend equity primer |
| 09/17/18 | | Markets |
| Quants at the track |
| 09/06/18 | | Markets |
| In a crisis correlations go to 0.87 |
| 09/06/18 | | Markets |
| The inflation advantage of equal-weight |
| 09/06/18 | | Markets |
| Levered 60/40 vs equities |
| 08/28/18 | | Markets |
| Fixing chicken |
| 08/13/18 | | Markets |
| The equilibrium delusion |
| 08/13/18 | | Markets |
| MIB: Rob Arnott |
| 07/30/18 | | Markets |
| Aaron Brown on risk |
| 07/16/18 | | Markets |
| Tails, you win |
| 06/25/18 | | Markets |
| Mistakes were made |
| 06/25/18 | | Markets |
| What you know for sure that just ain't so |
| 06/25/18 | | Markets |
| A season for sectors |
| 06/12/18 | | Markets |
| Attention and low volatility |
| 05/28/18 | | Markets |
| Meb talks to James Montier |
| 05/23/18 | | Markets |
| On yield curves |
| 05/07/18 | | Markets |
| In praise of short sellers |
| 05/07/18 | | Markets |
| Where have the public companies gone? |
| 04/10/18 | | Markets |
| Smart marketing |
| 04/10/18 | | Markets |
| A back test checklist |
| 04/02/18 | | Markets |
| What's cheap? |
| 03/27/18 | | Markets |
| The lottery hackers |
| 03/27/18 | | Markets |
| Andrew Tobias interview |
| 03/12/18 | | Markets |
| About your almond farm |
| 03/12/18 | | Markets |
| Private equity returns in public markets |
| 03/05/18 | | Markets |
| Private equity: overvalued and overrated |
| 02/20/18 | | Markets |
| Smart beta is sick |
| 02/20/18 | | Markets |
| Risk parity derangement syndrome |
| 02/12/18 | | Markets |
| The bankruptcy of modern finance theory |
| 01/29/18 | | Markets |
| A letter from an old friend |
| 01/22/18 | | Markets |
| U.S. equity returns: a best-case |
| 01/15/18 | | Markets |
| One-year performance is a terrible metric |
| 01/15/18 | | Markets |
| Bitcoin 101 |
| 01/15/18 | | Markets |
| CAPE Fear |
| 01/08/18 | | Markets |
| Top opinion of 2017 |
| 01/01/18 | | Markets |
| Purgatory for pessimists |
| 12/18/17 | | Markets |
| Career risk and Stalin's pension fund |
| 12/18/17 | | Markets |
| 1974 and 1999: history turned upside down |
| 12/11/17 | | Markets |
| Time diversification redux |
| 11/11/17 | | Markets |
| Risks building in the markets |
| 10/23/17 | | Markets |
| The dangerous allure of designer risk factors |
| 10/23/17 | | Markets |
| The cat ETF |
| 10/07/17 | | Markets |
| Forward returns |
| 10/01/17 | | Markets |
| Bubble territory |
| 10/01/17 | | Markets |
| A great trade |
| 09/23/17 | | Markets |
| Adaptive markets talk |
| 09/23/17 | | Markets |
| The data mine |
| 09/17/17 | | Markets |
| The front test |
| 09/11/17 | | Markets |
| ILTB with Meb Faber |
| 09/11/17 | | Markets |
| Team Ritholtz |
| 09/02/17 | | Markets |
| Business vs investing |
| 08/16/17 | | Markets |
| Perfect storm |
| 07/30/17 | | Markets |
| The math behind futility |
| 07/30/17 | | Markets |
| Jerry Neumann interview |
| 07/16/17 | | Markets |
| Ed Thorp interview |
| 07/16/17 | | Markets |
| The Myth of 1926 |
| 06/26/17 | | Markets |
| Great returns, gut-wrenching drawdowns |
| 06/18/17 | | Markets |
| Quant vs traditional investors |
| 06/18/17 | | Markets |
| Still not crazy |
| 06/18/17 | | Markets |
| Hannibal spirits |
| 06/11/17 | | Markets |
| Dave Chilton interview |
| 06/04/17 | | Markets |
| Revenue per employee |
| 05/28/17 | | Markets |
| Michael Mauboussin interview |
| 05/21/17 | | Markets |
| The big short and beyond |
| 04/30/17 | | Markets |
| Winner takes all |
| 04/16/17 | | Markets |
| Diversification, adaptation, and valuation |
| 04/09/17 | | Markets |
| Let your winners run |
| 03/12/17 | | Markets |
| The most broadly overvalued moment |
| 03/12/17 | | Markets |
| Asset markets as banks |
| 03/05/17 | | Markets |
| Buffett on valuation |
| 03/05/17 | | Markets |
| Credit Suisse Yearbook 2017 |
| 02/26/17 | | Markets |
| Virality is a myth |
| 02/12/17 | | Markets |
| Do stocks outperform Treasury bills? |
| 02/05/17 | | Markets |
| Lessons from a short seller |
| 01/02/17 | | Markets |
| Be wary of surrendering liquidity |
| 12/26/16 | | Markets |
| Better bubble theory |
| 12/17/16 | | Markets |
| Low volatility lottery |
| 12/11/16 | | Markets |
| Small bets, huge payoffs |
| 12/04/16 | | Markets |
| Predicting 60/40 returns |
| 12/04/16 | | Markets |
| Low priced stocks no bargain |
| 11/13/16 | | Markets |
| The next financial crisis |
| 10/16/16 | | Markets |
| Backtesting with unrealistic data |
| 10/16/16 | | Markets |
| Buyback bulls and bears |
| 10/09/16 | | Markets |
| Financial crisis |
| 10/09/16 | | Markets |
| You don't have to play |
| 10/02/16 | | Markets |
| The bubble in Japan |
| 09/25/16 | | Markets |
| Market charts |
| 09/25/16 | | Markets |
| Overfitting |
| 09/17/16 | | Markets |
| Uses of cash |
| 09/11/16 | | Markets |
| Underperformance: not a bug, a feature |
| 09/11/16 | | Markets |
| 11th sector a boondoggle |
| 09/04/16 | | Markets |
| Times are ripe |
| 08/28/16 | | Markets |
| Breakdown of a diversified strategy |
| 08/21/16 | | Markets |
| Amazon arbitrage |
| 07/31/16 | | Markets |
| Beware 13Fs |
| 07/24/16 | | Markets |
| The pitfalls of negative rates |
| 07/10/16 | | Markets |
| Keep calm and carry on |
| 06/26/16 | | Markets |
| Diversification disappoints |
| 06/11/16 | | Markets |
| Mispricing isn't going anywhere |
| 06/11/16 | | Markets |
| Shareholders are disappearing |
| 06/11/16 | | Markets |
| Indexing and small-caps |
| 06/04/16 | | Markets |
| High multiples for sales |
| 05/22/16 | | Markets |
| The dead model |
| 05/22/16 | | Markets |
| 52 Pick-Up |
| 05/15/16 | | Markets |
| Defense wins championships |
| 05/14/16 | | Markets |
| The forgotten bear market |
| 05/08/16 | | Markets |
| FCF/EV backtest |
| 04/24/16 | | Markets |
| You can't beat all the chimps |
| 04/16/16 | | Markets |
| Multi-factor badness |
| 03/28/16 | | Markets |
| When trading detracts from alpha |
| 03/28/16 | | Markets |
| How unique is your portfolio? |
| 03/26/16 | | Markets |
| Stocks you shouldn't own |
| 03/13/16 | | Markets |
| Smart beta gone wrong |
| 03/12/16 | | Markets |
| The case for stocks |
| 02/14/16 | | Markets |
| Credit Suisse Global Yearbook 2016 |
| 02/14/16 | | Markets |
| Change in shares outstanding |
| 02/07/16 | | Markets |
| Situation Normal, All-FANGed Up |
| 01/16/16 | | Markets |
| Another financial crisis is looming |
| 01/02/16 | | Markets |
| Activists through the decades |
| 12/26/15 | | Markets |
| Balance your portfolio With care |
| 12/05/15 | | Markets |
| Tough decade ahead for stocks, says John Bogle |
| 10/24/15 | | Markets |
| Automated strategies fueling tremors |
| 09/05/15 | | Markets |
| Mom and Pop win one |
| 08/30/15 | | Markets |
| Sell-off not a bad thing |
| 08/23/15 | | Markets |
| Why not 100% equities? |
| 08/23/15 | | Markets |
| Stock buybacks draw scrutiny |
| 08/16/15 | | Markets |
| Inflation and market returns |
| 08/16/15 | | Markets |
| A survey of equity valuation models |
| 07/25/15 | | Markets |
| How the dollar store war was won |
| 05/23/15 | | Markets |
| S&P 500 unhinged from reality |
| 05/18/15 | | Markets |
| Adopting factor investing |
| 05/04/15 | | Markets |
| The rich are getting richer |
| 05/04/15 | | Markets |
| Tiny margins for tiny companies |
| 05/04/15 | | Markets |
| Seeing the future from the past |
| 05/02/15 | | Markets |
| The stock-bond disconnect |
| 03/20/15 | | Markets |
| Get your income here |
| 03/07/15 | | Markets |
| 10-year expectations for asset class returns |
| 01/31/15 | | Markets |
| Drivers of a profit margin explosion |
| 01/31/15 | | Markets |
| World CAPEs |
| 01/31/15 | | Markets |
| Unloved stocks |
| 01/25/15 | | Markets |
| Median P/Es at post-war record |
| 01/25/15 | | Markets |
| Shareholder value is undervalued |
| 01/12/15 | | Markets |
| Value and glamour returns |
| 11/29/14 | | Markets |
| The value convergence |
| 11/01/14 | | Markets |
| Avoid high beta stocks |
| 10/19/14 | | Markets |
| Do valuation shorts work? |
| 10/03/14 | | Markets |
| Back testing investment strategies |
| 09/28/14 | | Markets |
| The durable low volatility effect |
| 09/13/14 | | Markets |
| Long-term returns boosted by illiquidity |
| 07/25/14 | | Markets |
| Technical market indicators |
| 07/18/14 | | Markets |
| Booming until it hurts? |
| 07/18/14 | | Markets |
| U.S. stocks will be very disappointing |
| 07/12/14 | | Markets |
| Never buy expensive stocks. Period. |
| 07/05/14 | | Markets |
| Good businesses at good prices |
| 07/05/14 | | Markets |
| A critique of John Hussman's Ccart |
| 06/14/14 | | Markets |
| Overdiversification |
| 06/14/14 | | Markets |
| Does Academic Research Kill Returns? |
| 06/07/14 | | Markets |
| Academic research and return predictability |
| 06/07/14 | | Markets |
| The 5 year market metamorphosis |
| 05/04/14 | | Markets |
| Popular stocks stink |
| 04/27/14 | | Markets |
| The stock market lottery |
| 04/19/14 | | Markets |
| Getting around the CAPE |
| 02/16/14 | | Markets |
| Is a smooth ride priced like a Cadillac? |
| 02/08/14 | | Markets |
| How indexing distorts investment reality |
| 02/01/14 | | Markets |
| Lose as little money as possible |
| 01/26/14 | | Markets |
| My top 10 peeves |
| 12/08/13 | | Markets |
| Don't fall for the 'Santa Claus rally' |
| 12/01/13 | | Markets |
| Never bubbles today |
| 09/22/13 | | Markets |
| More on long-term returns |
| 09/22/13 | | Markets |
| Quality could still be underpriced by markets |
| 08/04/13 | | Markets |
| Bullish on cash |
| 07/21/13 | | Markets |
| The long cash squeeze |
| 07/13/13 | | Markets |
| Saving investors from themselves |
| 06/30/13 | | Markets |
| The next financial crisis |
| 06/23/13 | | Markets |
| What's your outlook on the markets |
| 06/23/13 | | Markets |
| Boring stocks can bring exciting returns |
| 06/09/13 | | Markets |
| On stock splits |
| 05/26/13 | | Markets |
| How predictive is the Fed model? |
| 05/19/13 | | Markets |
| Stock buybacks beat the market |
| 05/05/13 | | Markets |
| Buffett and Hussman on the market |
| 03/30/13 | | Markets |
| Most large acquisitions are errors |
| 03/24/13 | | Markets |
| Earthquakes and the markets |
| 03/24/13 | | Markets |
| Mindful of bubbles in a boom for deals |
| 02/24/13 | | Markets |
| Beware of the bias |
| 02/10/13 | | Markets |
| The uncertainty of market returns |
| 01/09/13 | | Markets |
| The winners curse |
| 01/05/13 | | Markets |
| The illiquidity premium |
| 12/29/12 | | Markets |
| The Insourcing Boom |
| 12/22/12 | | Markets |
| Save more, work longer |
| 12/14/12 | | Markets |
| Fitting factors into the formula |
| 11/10/12 | | Markets |
| Low risk stocks outperform |
| 11/10/12 | | Markets |
| An old friend: the stock market's Shiller P/E |
| 11/10/12 | | Markets |
| Merton vs. Low Vol |
| 10/27/12 | | Markets |
| The real deal |
| 10/19/12 | | Markets |
| The Halloween Indicator |
| 10/13/12 | | Markets |
| Multiclass shares suffer |
| 10/06/12 | | Markets |
| A Grahamian diagnosis |
| 09/29/12 | | Markets |
| Shiller-PE in emerging markets |
| 07/27/12 | | Markets |
| Online ads decline |
| 07/10/12 | | Markets |
| Disrupting the pipeline business |
| 07/01/12 | | Markets |
| Michael J. Burry commencement address |
| 06/23/12 | | Markets |
| Q ratios and stock market crashes |
| 06/04/12 | | Markets |
| Equity Q ratio |
| 06/04/12 | | Markets |
| The austrians and the swan |
| 06/04/12 | | Markets |
| Predictability of the simple trading rules |
| 05/28/12 | | Markets |
| Equity cult still dying |
| 05/28/12 | | Markets |
| Norway's day traders take on the algos |
| 05/17/12 | | Markets |
| When safe assets return |
| 04/07/12 | | Markets |
| Is 'derisking' even riskier? |
| 02/25/12 | | Markets |
| Credit Suisse 2012 Yearbook |
| 02/08/12 | | Markets |
| Lower prices via new tech |
| 01/18/12 | | Markets |
| Cycle bodes ill for the markets |
| 01/07/12 | | Markets |
| Natural gas bear market |
| 01/01/12 | | Markets |
| Curbing short sales |
| 12/16/11 | | Markets |
| Mandelbrot beats economics on markets |
| 12/06/11 | | Markets |
| Building the 3-D shelter |
| 10/28/11 | | Markets |
| King of the mountain |
| 10/08/11 | | Markets |
| Bringing down the house |
| 09/27/11 | | Markets |
| The ultimate asset bubble |
| 09/20/11 | | Markets |
| Banning market orders goes mainstream |
| 09/14/11 | | Markets |
| Headwinds for U.S. equity markets |
| 08/22/11 | | Markets |
| The $25,000 cow |
| 08/18/11 | | Markets |
| Idiots at work: high prices only edition |
| 08/11/11 | | Markets |
| A better buyback strategy |
| 08/03/11 | | Markets |
| Mr. Innovation and his buddy, Mr. Great Idea |
| 07/09/11 | | Markets |
| Burned by Chinese shares |
| 06/20/11 | | Markets |
| Who killed the internet auction? |
| 06/13/11 | | Markets |
| Rebalance to control risk not boost returns |
| 05/23/11 | | Markets |
| In defence of the Shiller p/e |
| 05/20/11 | | Markets |
| End of Month Anomaly |
| 04/12/11 | | Markets |
| The biggest urban legend in finance |
| 04/02/11 | | Markets |
| Global Investment Returns 2011 |
| 03/02/11 | | Markets |
| A small hedge fund manager's lament |
| 02/24/11 | | Markets |
| Why Ten Million Dollar IPOs Matter |
| 02/20/11 | | Markets |
| Rethinking Stocks for the Long Haul |
| 02/11/11 | | Markets |
| Land of the free lunch |
| 02/08/11 | | Markets |
| Penny Stock Risk Premium Has Wrong Sign |
| 01/07/11 | | Markets |
| It's When You Start And Finish |
| 01/02/11 | | Markets |
| BoC December 2010 |
| 12/16/10 | | Markets |
| Stocks Acting Like Commodities |
| 11/21/10 | | Markets |
| Data birth |
| 11/21/10 | | Markets |
| Losing the Lender of Last Resort |
| 11/09/10 | | Markets |
| Why are High Risk Stocks so Crappy? |
| 11/02/10 | | Markets |
| Are Monthly Seasonals Real? |
| 11/02/10 | | Markets |
| No Margin of Safety |
| 10/17/10 | | Markets |
| What is the Carry Trade |
| 09/30/10 | | Markets |
| Classic relative value arbitrage |
| 09/16/10 | | Markets |
| The NYSE from 1815 to 1925 |
| 09/16/10 | | Markets |
| Risk and return in general |
| 09/12/10 | | Markets |
| The puzzling success of trend-following |
| 09/08/10 | | Markets |
| Patience and Finance |
| 09/08/10 | | Markets |
| The apathy trade |
| 09/04/10 | | Markets |
| Epidemic models of bubbles |
| 09/04/10 | | Markets |
| Thinking outside the stocks |
| 09/04/10 | | Markets |
| Do countries graduate from crises? |
| 09/03/10 | | Markets |
| Graham PE and CPI |
| 08/29/10 | | Markets |
| The free-marketeers strike back |
| 08/16/10 | | Markets |
| Advertising on the handicap principle |
| 08/15/10 | | Markets |
| Meet the $69 hot dog |
| 08/12/10 | | Markets |
| Illiquidity premium |
| 08/04/10 | | Markets |
| Trader's cocoa binge |
| 07/26/10 | | Markets |
| Krugman versus Ferguson |
| 07/21/10 | | Markets |
| Don't take the bait |
| 07/21/10 | | Markets |
| Untangling skill and luck |
| 07/16/10 | | Markets |
| Relative status in practice |
| 07/14/10 | | Markets |
| Preventing 2006 |
| 07/11/10 | | Markets |
| Applying the equity risk premium |
| 07/07/10 | | Markets |
| Times must charge for news |
| 07/05/10 | | Markets |
| Don't let your sons grow up to be scientists |
| 06/14/10 | | Markets |
| When markets go wrong |
| 06/11/10 | | Markets |
| Go for the jugular |
| 06/04/10 | | Markets |
| Complexity in financial systems |
| 05/16/10 | | Markets |
| Equity premium an artifact? |
| 05/11/10 | | Markets |
| Pref's musings |
| 05/11/10 | | Markets |
| Don't lose faith in markets |
| 05/09/10 | | Markets |
| The momentum echo |
| 05/09/10 | | Markets |
| Levin vs. Wall Street |
| 04/28/10 | | Markets |
| Its worst ideas |
| 04/27/10 | | Markets |
| Shocked sleuths discover shorts |
| 04/15/10 | | Markets |
| Collapse of complex business models |
| 04/03/10 | | Markets |
| Reflection on a crisis |
| 03/25/10 | | Markets |
| The Canadian banking fallacy |
| 03/25/10 | | Markets |
| Volatility, the last anomaly |
| 03/20/10 | | Markets |
| Spending on clothing falls below 3% |
| 03/20/10 | | Markets |
| Think again about commodities |
| 02/09/10 | | Markets |
| What drives long-term returns? |
| 02/09/10 | | Markets |
| America's broken equity culture |
| 02/09/10 | | Markets |
| What is liquidity? |
| 02/08/10 | | Markets |
| Quants' risk-free ideas sink market |
| 02/05/10 | | Markets |
| Reported earnings versus "owner earnings" |
| 02/01/10 | | Markets |
| Tell me I'm wrong |
| 01/24/10 | | Markets |
| Hoisington Q4 letter |
| 01/18/10 | | Markets |
| The 'other' imbalance and the financial crisis |
| 01/12/10 | | Markets |
| The lost decade |
| 01/02/10 | | Markets |
| Prepare for a Keynesian hangover |
| 12/29/09 | | Markets |
| Investment forecasts: known unknowns |
| 12/27/09 | | Markets |
| Hot stocks for a new decade? |
| 12/26/09 | | Markets |
| Why social beats search |
| 12/14/09 | | Markets |
| Gold can make you poor |
| 11/19/09 | | Markets |
| Paying a price for the thrill of the hunt |
| 11/14/09 | | Markets |
| The lost decade |
| 11/14/09 | | Markets |
| What is expert advice worth? |
| 11/13/09 | | Markets |
| Barbarians at the discount retailer |
| 11/12/09 | | Markets |
| The greatest trade ever |
| 11/11/09 | | Markets |
| Galleon and the trouble with insider trading |
| 11/02/09 | | Markets |
| US bank charge-off rates exceed depression |
| 10/26/09 | | Markets |
| Subprime mortgages: Myths and reality |
| 10/25/09 | | Markets |
| American austerity is about to begin |
| 10/25/09 | | Markets |
| The view from inside a depression |
| 10/18/09 | | Markets |
| Exit, pursued by a bear |
| 10/15/09 | | Markets |
| Don't let a market crash hit you |
| 10/11/09 | | Markets |
| Gold is still a lousy investment |
| 10/08/09 | | Markets |
| There's no such thing as too big to fail |
| 10/08/09 | | Markets |
| Rational irrationality |
| 09/28/09 | | Markets |
| You can't handle the truth about stocks |
| 09/16/09 | | Markets |
| Flaw in markets: humans |
| 09/13/09 | | Markets |
| The societal risk premium |
| 09/06/09 | | Markets |
| Total liabilities |
| 09/04/09 | | Markets |
| Krugman wars with Ferguson over inflation |
| 08/24/09 | | Markets |
| S.E.C. floats a short proposal |
| 08/18/09 | | Markets |
| Free money! Honest |
| 08/13/09 | | Markets |
| Theory of games and economic misbehavior |
| 08/11/09 | | Markets |
| GMO Q2 |
| 07/30/09 | | Markets |
| Computer trading is good competition |
| 07/30/09 | | Markets |
| Rich Harvard, Poor Harvard |
| 07/22/09 | | Markets |
| Spending on food reaches historical low |
| 07/17/09 | | Markets |
| Is the equity risk premium 0? |
| 07/14/09 | | Markets |
| Views on the economic crisis |
| 07/11/09 | | Markets |
| Does stock-market data really go back 200 years? |
| 07/11/09 | | Markets |
| The man who crashed the world |
| 07/09/09 | | Markets |
| All risk is relative |
| 07/07/09 | | Markets |
| $70 oil, but where's the demand? |
| 06/30/09 | | Markets |
| Priced to sell |
| 06/30/09 | | Markets |
| The long view |
| 06/27/09 | | Markets |
| BoE financial stability report |
| 06/27/09 | | Markets |
| Obituaries offer short-sale tip sheet |
| 06/15/09 | | Markets |
| Risk-management pioneer |
| 06/14/09 | | Markets |
| The Liquidity Premium |
| 06/11/09 | | Markets |
| Poking holes in a theory |
| 06/07/09 | | Markets |
| The unreliability of beta |
| 05/27/09 | | Markets |
| U.S. gas fields go from bust to boom |
| 05/04/09 | | Markets |
| Monsters, Inc. |
| 05/04/09 | | Markets |
| FFH AGM Slides |
| 05/01/09 | | Markets |
| Why Harvard is bad for Wall Street |
| 04/29/09 | | Markets |
| 2008 Harvard indicator: Sell |
| 04/29/09 | | Markets |
| Bonds: Why Bother? |
| 04/28/09 | | Markets |
| 25 Years to Bounce Back? Try 4.5 |
| 04/27/09 | | Markets |
| The Markets on Flu |
| 04/27/09 | | Markets |
| Don't blame the elite |
| 04/24/09 | | Markets |
| The panic of 1825 |
| 04/17/09 | | Markets |
| Why I fired my broker |
| 04/16/09 | | Markets |
| Goldman Sachs TARP repayment pressures rivals |
| 04/10/09 | | Markets |
| How cheap is the market? |
| 04/09/09 | | Markets |
| Is it back to the Fifties? |
| 03/28/09 | | Markets |
| Portfolio and its bubble solution |
| 03/26/09 | | Markets |
| Reverse splits |
| 03/22/09 | | Markets |
| The next mortgage mess |
| 03/20/09 | | Markets |
| Naked short sales |
| 03/19/09 | | Markets |
| Fed to buy $300 billion of longer-term treasuries |
| 03/18/09 | | Markets |
| Financial journalists fail upward |
| 03/18/09 | | Markets |
| Have we already seen peak oil? |
| 03/18/09 | | Markets |
| Reinvesting when terrified |
| 03/11/09 | | Markets |
| Dispelling myths about the 1930s |
| 03/08/09 | | Markets |
| What are the odds of a depression? |
| 03/04/09 | | Markets |
| Investment and the crisis |
| 03/03/09 | | Markets |
| Presidential Starts: 1900 - 2009 |
| 03/03/09 | | Markets |
| The S&P gets its earnings wrong |
| 02/25/09 | | Markets |
| The formula that killed Wall Street |
| 02/24/09 | | Markets |
| Can talk of a depression lead to one? |
| 02/22/09 | | Markets |
| 'Nationalize' the banks |
| 02/21/09 | | Markets |
| Double trouble |
| 02/21/09 | | Markets |
| Why banks failed the stress test |
| 02/19/09 | | Markets |
| Inside the meltdown |
| 02/17/09 | | Markets |
| Stocks now distinctly cheap |
| 02/16/09 | | Markets |
| Brother, can you spare a stock? |
| 02/15/09 | | Markets |
| S&P heads to first quarter ever of negative earnings |
| 02/13/09 | | Markets |
| C.S. global yearbook 2009 |
| 02/13/09 | | Markets |
| Train to get in financial shape |
| 02/11/09 | | Markets |
| A 10-year stretch that's worse than it looks |
| 02/07/09 | | Markets |
| Banker bashing gives cover to bigger culprits |
| 02/06/09 | | Markets |
| The death of equity |
| 02/05/09 | | Markets |
| Why market forecasts keep missing the mark |
| 01/30/09 | | Markets |
| Fear is back on Wall Street |
| 01/14/09 | | Markets |
| Woefully misleading piece on VaR |
| 01/07/09 | | Markets |
| U.S. Treasuries head toward wekly loss |
| 12/26/08 | | Markets |
| December surprise |
| 12/26/08 | | Markets |
| Online shopping and the Harry Potter effect |
| 12/23/08 | | Markets |
| Should you invest in the long tail? |
| 12/23/08 | | Markets |
| US market may be past a bottom |
| 12/21/08 | | Markets |
| Is it all over for stocks? |
| 12/19/08 | | Markets |
| Options expiration week |
| 12/19/08 | | Markets |
| Federal Reserve is damned either way |
| 12/19/08 | | Markets |
| Fed reduces borrowing costs to zero range |
| 12/16/08 | | Markets |
| The unwisdom of crowds |
| 12/16/08 | | Markets |
| Finding the gaps |
| 12/15/08 | | Markets |
| Market bottom by year-end |
| 12/11/08 | | Markets |
| Tobin's Q indicates 'horrific' market bottom |
| 12/09/08 | | Markets |
| Contango pays most in decade |
| 12/08/08 | | Markets |
| After crappy decade, stocks always do great? |
| 12/08/08 | | Markets |
| When the golden eggs run out |
| 12/07/08 | | Markets |
| The limits of Apollo's power |
| 12/07/08 | | Markets |
| US stock market returns |
| 12/04/08 | | Markets |
| Wheat from chaff |
| 12/01/08 | | Markets |
| 10-year treasury yield lowest since 1955 |
| 12/01/08 | | Markets |
| Stock market finally at fair value |
| 12/01/08 | | Markets |
| The myths of market underperformance |
| 11/26/08 | | Markets |
| The wealth effect in reverse |
| 11/25/08 | | Markets |
| Treasury traders paid to borrow |
| 11/24/08 | | Markets |
| Does extreme stress signal a snapback? |
| 11/24/08 | | Markets |
| And you thought 1931 was bad |
| 11/24/08 | | Markets |
| The most volatile market ever |
| 11/24/08 | | Markets |
| Diminishing ratios, booming yields |
| 11/21/08 | | Markets |
| Individual investor stock allocations |
| 11/21/08 | | Markets |
| The case for buying oil stocks |
| 11/21/08 | | Markets |
| Did hated speculators lower oil prices? |
| 11/20/08 | | Markets |
| The perils of efficiency |
| 11/17/08 | | Markets |
| Joe investor, the markets are all yours |
| 11/16/08 | | Markets |
| Wall street lays another egg |
| 11/14/08 | | Markets |
| The end |
| 11/13/08 | | Markets |
| A conversation with Bill Ackman |
| 11/12/08 | | Markets |
| As trouble brews, banks turn the screws |
| 11/12/08 | | Markets |
| Everything you knew about bonds and equities |
| 11/12/08 | | Markets |
| The corn isn't green |
| 11/12/08 | | Markets |
| The crisis and what to do about it |
| 11/10/08 | | Markets |
| Shipping floored |
| 11/10/08 | | Markets |
| Disappointing diversification |
| 11/08/08 | | Markets |
| Long-term opportunities amidst the fear |
| 11/05/08 | | Markets |
| All bets are off |
| 11/02/08 | | Markets |
| Bad vibrations |
| 11/02/08 | | Markets |
| World is 'drowning in oil' (again) |
| 10/30/08 | | Markets |
| Is buy-and-hold dead and gone? |
| 10/30/08 | | Markets |
| Who's buying? |
| 10/28/08 | | Markets |
| Greasing the slide |
| 10/27/08 | | Markets |
| Why do markets create bubbles? |
| 10/26/08 | | Markets |
| Myths about the financial crisis of 2008 |
| 10/23/08 | | Markets |
| Keep your money in the market |
| 10/18/08 | | Markets |
| AIG: Europe's lethal loophole |
| 10/17/08 | | Markets |
| Fear factor |
| 10/13/08 | | Markets |
| It's time to invest |
| 10/13/08 | | Markets |
| How this bear market compares |
| 10/11/08 | | Markets |
| Defaults and a near-death experience |
| 10/10/08 | | Markets |
| US open: happy anniversary |
| 10/09/08 | | Markets |
| 3% days becoming the norm |
| 10/07/08 | | Markets |
| Pursuit of an edge |
| 10/06/08 | | Markets |
| Alarm led to action |
| 10/02/08 | | Markets |
| This economy does not compute |
| 10/01/08 | | Markets |
| The 50-100 year storm has arrived |
| 09/29/08 | | Markets |
| Economists urge congress not to rush |
| 09/25/08 | | Markets |
| Credit traders sowing seeds of destruction |
| 09/24/08 | | Markets |
| Lessons from a 'lost decade' |
| 09/22/08 | | Markets |
| Oil traders caught in squeeze |
| 09/22/08 | | Markets |
| Mathematicians predicted crash years ago |
| 09/19/08 | | Markets |
| Paulson, Bernanke push new plan |
| 09/19/08 | | Markets |
| Money markets get a lifeline |
| 09/19/08 | | Markets |
| Short sellers under fire |
| 09/19/08 | | Markets |
| AIG booted out of the Dow |
| 09/18/08 | | Markets |
| Global equity market declines |
| 09/17/08 | | Markets |
| Skimming the froth |
| 09/15/08 | | Markets |
| Thinking long term about the equity premium |
| 09/10/08 | | Markets |
| Fannie, Freddie credit-default swaps |
| 09/08/08 | | Markets |
| International exposure has never hurt so bad |
| 09/07/08 | | Markets |
| Long-Term Capital: It's a short-term memory |
| 09/07/08 | | Markets |
| U.S. takeover of Fannie, Freddie |
| 09/07/08 | | Markets |
| A nightmare on Wall Street |
| 08/29/08 | | Markets |
| September: The horror story |
| 08/29/08 | | Markets |
| The giant pool of money |
| 08/23/08 | | Markets |
| Court upholds ABCP plan |
| 08/18/08 | | Markets |
| The wisdom of crowds? |
| 08/13/08 | | Markets |
| Sometimes even I will go with the flow |
| 07/31/08 | | Markets |
| Sell-side analysts more accurate than buy-side |
| 07/29/08 | | Markets |
| SEC plans to broaden curbs on short sales |
| 07/26/08 | | Markets |
| Shortsighted naked-short solution |
| 07/26/08 | | Markets |
| Fill up on pre-poll bargains |
| 07/24/08 | | Markets |
| The smartest advice I ever got |
| 07/24/08 | | Markets |
| Wall Street's laughing all the way to the bank |
| 07/24/08 | | Markets |
| Are P-E's past their prime? |
| 07/22/08 | | Markets |
| SEC retrenches on new short-selling rules |
| 07/18/08 | | Markets |
| S&P500 dividend yield highest since June 1995 |
| 07/16/08 | | Markets |
| Seeing bad loans |
| 07/16/08 | | Markets |
| Curbing short-selling abuse |
| 07/15/08 | | Markets |
| SEC to limit short sales |
| 07/15/08 | | Markets |
| Paulson seeks authority to shore up Fannie, Freddie |
| 07/14/08 | | Markets |
| Mortgage giants face pressure |
| 07/11/08 | | Markets |
| The $5 trillion mess |
| 07/11/08 | | Markets |
| Fannie Mae, Freddie losses make them 'insolvent' |
| 07/10/08 | | Markets |
| Bear market freak out |
| 07/06/08 | | Markets |
| Roses among the wallflowers |
| 06/30/08 | | Markets |
| We ain't got to show you no stinking credibility |
| 06/16/08 | | Markets |
| Odd numbers |
| 06/06/08 | | Markets |
| How the finance gurus get risk all wrong |
| 05/24/08 | | Markets |
| Bernanke's bubble laboratory |
| 05/21/08 | | Markets |
| Beer may not be recession-proof |
| 05/14/08 | | Markets |
| Not so fast |
| 05/12/08 | | Markets |
| Has equity always earned a premium? |
| 05/12/08 | | Markets |
| Foreclosure woes require action |
| 05/06/08 | | Markets |
| One guy who has seen it all |
| 04/28/08 | | Markets |
| Immoral hazard |
| 04/27/08 | | Markets |
| Hoisington letter |
| 04/22/08 | | Markets |
| A blunt former Fed chairman takes on Bernanke |
| 04/12/08 | | Markets |
| Paul Volcker speaks in New York |
| 04/12/08 | | Markets |
| Partying like it's 1929 |
| 03/24/08 | | Markets |
| Too dumb to fail |
| 03/24/08 | | Markets |
| Panic of 1907 or not, trading stops on good friday |
| 03/21/08 | | Markets |
| Wall Street fears a big US bank is in trouble |
| 03/12/08 | | Markets |
| Try, try again |
| 03/11/08 | | Markets |
| Hedge Funds reel from margin calls on treasuries |
| 03/10/08 | | Markets |
| How a bubble stayed under the radar |
| 03/01/08 | | Markets |
| Global investment returns yearbook 2008 |
| 02/25/08 | | Markets |
| Fat tails and nonlinearity |
| 02/04/08 | | Markets |
| The worst market crisis in 60 years |
| 01/25/08 | | Markets |
| Ambac cut to AA |
| 01/19/08 | | Markets |
| The subprime in the schoolhouse |
| 12/20/07 | | Markets |
| After the money's gone |
| 12/15/07 | | Markets |
| Freddie, Fannie seek a few billion |
| 11/20/07 | | Markets |
| David Einhorn's Graham & Dodd breakfast speech |
| 10/30/07 | | Markets |
| The catastrophist view |
| 10/29/07 | | Markets |
| A super-duper bad-loan bailout scam |
| 10/22/07 | | Markets |
| Credit crunch taking a toll, Bank of Canada says |
| 10/18/07 | | Markets |
| Views on the Canadian dollar |
| 10/18/07 | | Markets |
| 1929 Redux: Heading for a crash? |
| 10/08/07 | | Markets |
| Unsafe havens |
| 09/27/07 | | Markets |
| Too clever by 50 basis points |
| 09/21/07 | | Markets |
| How bad debt infected the world |
| 09/16/07 | | Markets |
| Bear bonanza |
| 08/31/07 | | Markets |
| In nature's casino |
| 08/26/07 | | Markets |
| Fed bends rules to help two big banks |
| 08/25/07 | | Markets |
| Crisis counsel |
| 08/18/07 | | Markets |
| 'Uptick' rule change an opportunity |
| 08/15/07 | | Markets |
| Another pounding |
| 07/15/07 | | Markets |
| Bear Stearns' collateral damage |
| 07/13/07 | | Markets |
| Blowing up |
| 06/27/07 | | Markets |
| Nassim Taleb Lecture: The Black Swan |
| 06/24/07 | | Markets |
| Why bubbles are great for the economy |
| 05/23/07 | | Markets |
| Big profits = danger ahead |
| 04/05/07 | | Markets |
| Ponzi nation |
| 03/27/07 | | Markets |
| 'Suspicious' trades precede mergers |
| 03/22/07 | | Markets |
| Explaining the Wisdom of Crowds |
| 03/22/07 | | Markets |
| What keeps bankers awake at night? |
| 02/02/07 | | Markets |
| Irrational optimism |
| 12/30/06 | | Markets |
| Down on the street |
| 11/23/06 | | Markets |
| Short sellers want to crash the Tupperware party |
| 11/14/06 | | Markets |
| Buy? sell? hold? delete! |
| 11/07/06 | | Markets |
| Gluttons at the gate |
| 10/20/06 | | Markets |
| Oil: Will the Malthusian View Carry the Day? |
| 09/26/06 | | Markets |
| Naked fines |
| 09/13/06 | | Markets |
| City forecasts are for suckers |
| 09/10/06 | | Markets |
| Yield curve as a predictor of recessions |
| 09/02/06 | | Markets |
| Gold rush or fool's gold? Leith Wheeler's view |
| 08/31/06 | | Markets |
| Buying into crisis |
| 08/29/06 | | Markets |
| Naked horror |
| 08/25/06 | | Markets |
| Pump and dump |
| 08/24/06 | | Markets |
| Value trumps growth |
| 08/18/06 | | Markets |
| Naked short sellers hurt companies |
| 08/08/06 | | Markets |
| Companies still cling to big hits |
| 08/07/06 | | Markets |
| The story of Soros |
| 07/24/06 | | Markets |
| Big merger wins point to investor losses |
| 07/02/06 | | Markets |
| Short-term performance is a meaningless metric |
| 06/23/06 | | Markets |
| The merchants of red ink |
| 06/07/06 | | Markets |
| Simple sounds make for sound investments |
| 05/31/06 | | Markets |
| The disappearing mid-market |
| 05/19/06 | | Markets |
| Don't hedge your bets after all |
| 05/10/06 | | Markets |
| Rising gasoline = trouble for retailers |
| 04/29/06 | | Markets |
| 1Q 2006 Bill Miller commentary |
| 04/25/06 | | Markets |
| We're just entering the silly time |
| 04/24/06 | | Markets |
| Old school stocks teach new lessons |
| 04/09/06 | | Markets |
| There's a sucker born every IPO |
| 04/08/06 | | Markets |
| The little book's little flaw |
| 03/29/06 | | Markets |
| Comparative analysis of ranking methodologies |
| 03/29/06 | | Markets |
| Is six years the long term? |
| 03/29/06 | | Markets |
| Naked shorts seeking cover |
| 03/29/06 | | Markets |
| Is the market mad? |
| 03/27/06 | | Markets |
| Corporate voting charade |
| 03/27/06 | | Markets |
| A focus on the exceptions that prove the rule |
| 03/25/06 | | Markets |
| The marketplace of perceptions |
| 03/19/06 | | Markets |
| The asset of choice for the long run |
| 03/14/06 | | Markets |
| What firms do vs. what they say |
| 03/08/06 | | Markets |
| Brain scans show link between lust for sex & money |
| 02/01/06 | | Markets |
| Numbers don't tell full story of a stock |
| 01/28/06 | | Markets |
| Earnings warnings start to disappear |
| 01/27/06 | | Markets |
| High drama on the TSE |
| 01/18/06 | | Markets |
| Go for momentum or recovery? |
| 01/04/06 | | Markets |
| The yield curve |
| 01/01/06 | | Markets |
| Mean reversion, forecasting and market timing |
| 12/25/05 | | Markets |
| We're still too exuberant |
| 12/18/05 | | Markets |
| Investing logically |
| 12/04/05 | | Markets |
| A world of trouble |
| 11/30/05 | | Markets |
| Our elected insider traders |
| 11/28/05 | | Markets |
| Stock turkeys of 2005 |
| 11/22/05 | | Markets |
| U.S. portfolio disclosures offer imperfect view |
| 11/14/05 | | Markets |
| Guys, step aside - women are better investors |
| 11/14/05 | | Markets |
| When lobster was fertiliser |
| 10/28/05 | | Markets |
| The flu of 1918: Dow data |
| 10/26/05 | | Markets |
| Profiting from the unexpected |
| 10/24/05 | | Markets |
| Your six biggest money fears |
| 09/18/05 | | Markets |
| Is this a lifetime selling opportunity? |
| 09/13/05 | | Markets |
| Who's really to blame for $4-a-gallon gas? |
| 09/07/05 | | Markets |
| The perfect storm |
| 09/07/05 | | Markets |
| Price gouging saves lives |
| 09/02/05 | | Markets |
| The inevitable crisis |
| 08/17/05 | | Markets |
| What they won't tell you about capitalism |
| 08/16/05 | | Markets |
| Big jobs that pay badly |
| 08/16/05 | | Markets |
| Naked shorts' long shelf life |
| 08/15/05 | | Markets |
| Perils at the pump |
| 08/10/05 | | Markets |
| Beer war |
| 08/06/05 | | Markets |
| Back to Basics Q&R |
| 07/19/05 | | Markets |
| Dig a moat for your investments |
| 07/15/05 | | Markets |
| In at the top |
| 07/13/05 | | Markets |
| Threatening eBay's dominance |
| 06/23/05 | | Markets |
| Tackling the bears-with no bull |
| 06/03/05 | | Markets |
| Scaling the depths of our 'lizard' investment brains |
| 05/17/05 | | Markets |
| What cost "noise"? |
| 05/15/05 | | Markets |
| Asset class correlations |
| 05/11/05 | | Markets |
| Bill Miller's Q1 |
| 05/01/05 | | Markets |
| A valuable alternative to empire-building |
| 04/24/05 | | Markets |
| Venture capital: aftershock |
| 04/01/05 | | Markets |
| Buy the numbers |
| 03/26/05 | | Markets |
| Finding value in spin-offs |
| 03/23/05 | | Markets |
| Piercing the stereotypes -- hard work but worth it |
| 02/26/05 | | Markets |
| Why many can't stay on rich list |
| 02/26/05 | | Markets |
| Legg Mason Value Trust Q4 |
| 02/15/05 | | Markets |
| The Economist's commodity-price index |
| 02/11/05 | | Markets |
| The acquirer's albatross |
| 02/09/05 | | Markets |
| The Shiller interview |
| 01/25/05 | | Markets |
| Don't dismiss short side on commodities |
| 01/20/05 | | Markets |
| Wall on the Street |
| 01/04/05 | | Markets |
| Learn the lesson of Poseidon |
| 12/26/04 | | Markets |
| Born suckers |
| 12/14/04 | | Markets |
| The new kings of capitalism |
| 12/01/04 | | Markets |
| All that glisters |
| 12/01/04 | | Markets |
| Origins of the crash still present? |
| 11/18/04 | | Markets |
| Searching for an explanation |
| 11/17/04 | | Markets |
| Sometimes they do ring a bell |
| 11/13/04 | | Markets |
| Growth and value data |
| 11/05/04 | | Markets |
| A watched pot makes me boil |
| 10/28/04 | | Markets |
| Still blowing bubbles |
| 10/25/04 | | Markets |
| Peter Bernstein interview |
| 10/15/04 | | Markets |
| Money trends |
| 10/15/04 | | Markets |
| The disastrous history of money |
| 10/14/04 | | Markets |
| The taming of the shrewd |
| 10/09/04 | | Markets |
| Insuring for the future? |
| 09/16/04 | | Markets |
| An alternative inflation index |
| 09/09/04 | | Markets |
| Of course investors can beat the market |
| 09/08/04 | | Markets |
| Value will out, but not by a lot |
| 09/03/04 | | Markets |
| Pop goes the bubble? |
| 08/26/04 | | Markets |
| Realistic rewards |
| 08/20/04 | | Markets |
| An eerie calm |
| 07/23/04 | | Markets |
| Inflated expectations |
| 07/03/04 | | Markets |
| Waterloo, Waterloo |
| 06/27/04 | | Markets |
| Please give me a housing bubble |
| 06/19/04 | | Markets |
| Curve balls |
| 06/12/04 | | Markets |
| T.O. condos' foundation gets shaky |
| 06/02/04 | | Markets |
| Detour on easy street |
| 05/31/04 | | Markets |
| Empty mansions |
| 05/25/04 | | Markets |
| The echoes of history |
| 05/11/04 | | Markets |
| There goes the neighborhood |
| 04/30/04 | | Markets |
| Interest-only mortgages gain popularity in U.S. |
| 04/29/04 | | Markets |
| Warnings to be ignored |
| 04/20/04 | | Markets |
| Be braced for a bust as the bubble bursts |
| 04/10/04 | | Markets |
| A rite of spring |
| 04/03/04 | | Markets |
| Crude arguments |
| 03/23/04 | | Markets |
| Creative mortgages fuel home sales |
| 03/22/04 | | Markets |
| A question of perspective |
| 03/18/04 | | Markets |
| A risky world |
| 03/09/04 | | Markets |
| Bubble, bubble, trouble, trouble |
| 03/04/04 | | Markets |
| Bearish options strategies |
| 02/21/04 | | Markets |
| Are stock prices reflecting greed (again)? |
| 02/17/04 | | Markets |
| Greenspan blasted |
| 01/29/04 | | Markets |
| Irrational optimism |
| 01/27/04 | | Markets |
| Paying with plastic |
| 01/27/04 | | Markets |
| Nightmare after Christmas |
| 12/26/03 | | Markets |
| Losing by instinct |
| 12/24/03 | | Markets |
| Templeton feeling bearish |
| 10/19/03 | | Markets |
| Wall Street's dirty secret? |
| 10/02/03 | | Markets |
| Look to the big picture to avoid history's pitfalls |
| 09/30/03 | | Markets |
| No reason for Nasdaq exuberance |
| 09/26/03 | | Markets |
| Fame vs fortune: micropayments and free content |
| 09/14/03 | | Markets |
| To have and to hold |
| 08/28/03 | | Markets |
| Net worth steady despite stock fall |
| 08/11/03 | | Markets |
| Pensions 'black hole' doubles |
| 08/09/03 | | Markets |
| Stocks are cheap! |
| 07/24/03 | | Markets |
| Of manias, panics and crashes |
| 07/18/03 | | Markets |
| The great stock market swindle |
| 07/17/03 | | Markets |
| Should pensions invest in equities? |
| 07/15/03 | | Markets |
| Attack of the zombie stocks |
| 07/15/03 | | Markets |
| How hidden risks fostered a crash |
| 07/11/03 | | Markets |
| How actuaries missed stock risks |
| 07/10/03 | | Markets |
| How to avoid another risk trap |
| 07/10/03 | | Markets |
| Longtime bear not changing his negative attitude |
| 06/24/03 | | Markets |
| Insider selling hits 2-year high |
| 06/04/03 | | Markets |
| Getting stretched |
| 06/03/03 | | Markets |
| Seriously, why buy stocks? |
| 04/20/03 | | Markets |
| SEDI to improve access to insider trades |
| 04/12/03 | | Markets |
| Reverse stock splits |
| 03/25/03 | | Markets |
| In search of those elusive returns |
| 03/24/03 | | Markets |
| The perfect storm |
| 02/18/03 | | Markets |
| The Foresight saga, continued |
| 01/17/03 | | Markets |
| Are top investors' brains wired for wealth? |
| 01/13/03 | | Markets |
| Only at the right price |
| 01/07/03 | | Markets |
| Bill & Bill's excellent bull signal |
| 12/18/02 | | Markets |
| Look out! Insiders are bailing |
| 12/10/02 | | Markets |
| Through the past, darkly |
| 10/22/02 | | Markets |
| When bull returns, most won't believe it |
| 10/08/02 | | Markets |
| Bracing for October |
| 10/01/02 | | Markets |
| When it comes to investing, we're dummies |
| 09/21/02 | | Markets |
| Unfinished business |
| 09/10/02 | | Markets |
| A reply to Bill Gross |
| 09/10/02 | | Markets |
| Think stocks are great? Think again |
| 09/08/02 | | Markets |
| Dow 5,000 |
| 09/06/02 | | Markets |
| Public Participation |
| 09/02/02 | | Markets |
| Tweedy on the markets |
| 07/25/02 | | Markets |
| Markets in crisis |
| 07/19/02 | | Markets |
| Anatomy of a bubble |
| 07/13/02 | | Markets |
| The TSE has a new site |
| 05/04/02 | | Markets |
| New cause for caution on stocks |
| 05/04/02 | | Markets |
