People Run Out of the Store

Remember when everyone hated bonds six months ago?

Long term bonds have rallied about 10% since that post on bond drawdowns:

When Things Go On Sale, People Run Out of the Store

An updated chart of the long bond ETF TLT below….

Useless Forecasts

Another great quote from Future Babble:

“The Commanding General is well aware the forecasts are no good.  However, he needs them for planning purposes.”

- Kenneth Arrow, Nobel Laurate Economist, recalling the response he and colleagues received during the Second World War when they demonstrated that the military’s long-term weather forecasts were useless.



This is a great passage from the book Future Babble:

Be articulate, enthusiastic, and authoritative.  Be likable.  See things through a single analytical lens and craft an explanatory story that is simple, clear, conclusive, and compelling.  Do not doubt yourself.  Do not acknowledge mistakes.  And never, ever say, “I don’t know.”

People unsure about the future want to hear from confident experts who tell a good story, and Paul Ehrlich was among the very best.  The fact that his predictions were mostly wrong didn’t change that in the slightest.

Days of Summer

From the looks of these photos everyone seems to be having a much better summer than I am…



As my company grows we are always looking to add new A+ candidates.  If you are a hungry, brilliant person looking to join a young organization trying to shake up Wall Street, fire over a note and a resume (but please be very familiar with who we are and what we do!).

While we do have some specific needs, we are more open to finding killer candidates looking to aggressively grow and improve upon the work we do.   Are you a currency strategist with years of trading experience with forwards, futures, swaps and foreign bond experience?  Or a FactSet/Modelstation expert looking to explore new ideas? Love operations and spend all nite thinking about compliance?  Or an even a content creator wanting to help out with research, etc we would like to hear from you.  We will take some time to review (read: rest of the summer) so please don’t expect a response in the short term…

Brain Pickings

I’ve been doing my best to try and crank out of a few new papers this summer, slow going as usual.  It doesn’t help when one comes across a deliciously wonderful blog like Brain Pickings that has reams of time-sucking articles….there is a nice weekly newsletter as well.  Fun links to 5 All Time Favorite TED Talks and Companies Changing the Future of the Publishing Industry.

Real Money Funds Face a High Hurdle This Year

Funds that have a fiscal year ending June 30th are going to face a high return hurdle:

60/40:  18.33%

ENDW:  24.27%

(Equal weighted 5 asset classes:  US STOCKS, FOREIGN STOCKS, BONDS, REITs, COMMODITIES)

Dividend Resources

What is your favorite book/paper/website/newsletter on dividends?

Trying to put some research together and wanted to cover all the bases before we tossed it up here.

Regime Change

One of the most interesting areas of research to me is the analysis of how various macro environments affect asset class returns.  We have been doing a lot of internal modeling (here is an oldish post on the yield curve and real interest rates) with promising results.

Here is a nice PDF from Thomson Reuters on the subject:  Monitoring and Adapting to Quant Factor Rotation.  Some of their 13F work is misguided (ie almost all of the quant shops and banks focus on the entire hedge fund industry which makes no sense whatsoever) but the macro slides are very interesting.  (They also present some info on SmartHoldings which attempts to predict, or front run, what factors and thus stocks managers will actually buy.  While this sounds great on paper I imagine it will be very difficult in practice.  But like anything, I will reserve judgement until I know more. )  The good material really begins on slide 20:

(click to download):

One of my favorite writers Charles Kirkpatrick has a book coming out on the subject and I am super excited to get my hands on it:  Time the Markets: Using Technical Analysis to Interpret Economic Data.

Percent Accruals

Nice article on a slightly different way of measuring accruals.

Forbes article:  Cash Doesn’t Lie.

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