I need a blog redesign – leave a comment with the best designed blogs or news sites.
Ahhh, Web 2.0. Click here and vote on a name for my company and get paid if yours is the best.
NameThis (by Kluster).
Advisor Perspectives interview with El-Erian. I am still waiting for someone to ask him why his allocation in his book only adds up to 98%.
Correlations can, and do, change.
Attack of the Clones
This is really a great overview of alpha, beta, and alternative beta. Also reviews hedge fund clones and listed hedge funds, errr I mean “Permanent Capital Vehicles”.
Below is a reader question:
Meb, I’d like to hear your thoughts on this statement by Paul Tudor Jones:
“Commodities have been the worst-performing asset class behind stocks, bonds and real estate for the past 200 years, but Wall Street doesn’t highlight that long history when selling commodity index instruments today. Instead, it shows a chart of the bull market of the past 12 years to rationalize why some pensioner should be long cattle futures in the derivatives markets as part of a basket. I am sure they were using similar logic about tulips three centuries ago.”
PTJ probably knows a lot more about commodity returns than I do, and some of that knowledge helped build our alma mater a new basketball stadium.
I think there is a very simple answer – there wasn’t much inflation in the US from the founding of the country until the last 50 years or so. Blame it on what you want, but wars and going off the gold standard are two good theories. Interestingly, Hussman believes that an increase in the money supply is not a good indicator of increasing inflation, but unproductive government spending is.
In a somewhat related note, here is a PDF “Core Inflation as a Predictor of Total Inflation“.
Blogging is hard – which is why I am sad to see Mangan go. . .
I had a hard time getting through Bernstein’s new book, “A Splendid Exchange”, although some parts were brilliant. I found this table particular interesting. The reason Bernstein gives for African descendants increasing their numbers so much America and Canada, who made up for a very small part of the slave imports, was that North America for the most part didn’t grow sugar, which was a particularly deadly crop to grow and refine. (The slave trade was also outlawed in the US in 1808.)
Proportions of New-World Slave Imports 1500-1880
US & Canada 4.5%
Mexico and C.America 2.4%
Caribbean Islands 43.0%
Other S. America 11.8%
Proportion of New-World African Descendants in 1950
US & Canada 31.1%
Mexico and C.America 0.7%
Caribbean Islands 20.0%
Other S. America 11.6%
“Does the Stock Market Fully Value Intangibles?“
- Fortune magazine’s “Best Companies to Work For” earned an annual four-factor alpha of 4% from 1984-2005.
- Employee satisfaction is associated with higher shareholder returns, rather than reflecting unnecessary expenditure.
- Even when intangibles are made visible by a publicly available survey, they are not incorporated into stock prices, supporting for managerial myopia theories
- Socially Responsible Investing screens need not reduce, and may even enhance investment returns