Tag Archives: Investment management

Asset management, Hedging, Market psychology, Market research, Risk management, Trading

Sack your quant!

Last few years saw something of a gold rush into quantitative investment strategies. Their appeal is obvious as a way to put discipline into trading and take the emotion and stress out. Quantitative strategies might even help improve performance. Here’s how Black Rock President Rob Kapito articulated the industry hopes:

“As people get the data and learn how to use the data, I think there is going to be alpha generated and, therefore, will give active managers more opportunity than they‘ve had in the past to actually create returns.” [1]

In pursuit of the great expectations, Black Rock assembled more than 90 scientists, 28 of them with PhDs and even went as far as poaching one of Google’s leading scientists, Bill McCartney to develop the BlackRock’s machine learning applications. In practice Black Rock’s and other firms’ results have proven to be a mixed bag at best and it seems that most quantitative strategies have tended to underperform or even generate losses. The question is, why? Continue reading →

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Asset management, Behavioral finance, Market psychology, Market research, Market trends, Trading, Trend following

Trend following might save your tail

In the age of central bank quantitative easing, trend following has become an unpopular investment strategy, even earning tiself a bad name as trend following funds performed miserably compared to bonds, equities, and passive index funds. Below is a chart put together by AutumnGold showing a growing gap between Managed Futures funds the S&P 500 and Barclay’s Aggregate Bond index. Managed futures funds are a good proxy for trend following performance as most of them apply systematic trend following strategies in one way or another.

20190604_AutumnGoldChart

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Asset management, Behavioral finance, Hedging, Market psychology, Market research, Market trends, Risk management, Stock market, Trading, Trend following

Lessons Of Japan’s 1980s Bull Market

Afer popping, Japan’s 1980s bull market gave way to an 82% drop over the following 20 years.

Three decades later, Japanes equities are still more than 40% below peak valuations.

One of the most effective methods of navigating the boom/bust cycles has been the systematic trend following.

Sooner or later a crash is coming, and it may be terrific

Roger Babson, 5 Sep. 1929

If everybody indexed, the only word you could use is chaos, catastrophe. The markets would fail

Jack Bogle, founder of The Vanguard Group

As of December 2018, passive index funds controlled 17.2% of the stock of all U.S. publicly traded companies, up from only 3.5% in 2000. The 5-fold increase was in part the consequence of the ongoing stock market growth, which now has the distinction of being the longest running bull market ever recorded. Buoyed in large part by central banks’ unprecedented quantitative easing (QE) programs, the rising stocks have lulled many investors into complacency.

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Asset management, Commodity price, Economics, Hedging, Trend following, Uncategorized

“Mastering Uncertainty” receives its first review

I’ve recently published my book, “Mastering Uncertainty in Commodities Trading” which has now obtained its first reader review on Amazon, and it’s a five stars review! For a first-time author, this is Christmas! Heartfelt thanks to Roman for taking time to read the book, “get it,” and post this flattering review. I’m posting the full text, titled “Exceptionally well written book,” below: Continue reading →

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Asset management, Central banking, Economics, Market research, Policy, Politics, Stock market, Uncategorized

Investing in the age of unprecedented monetary experiments

Since the 2008 financial crisis, world’s largest central banks have unleashed a program of monetary stimulus that dwarfs anything we’ve experienced in history. With no historical precedents, how should investors navigate the risks and events that will likely exert extreme stress upon political, economic and social fabric of nations across the world. Altana Wealth’s founder Lee Robinon offers some unorthodox insights in a 45 minute interview with Real Vision TV with Grant Williams. You may not hear similar thinking from academics or CNBC-vetted pundits. Lee has the remarkable capacity to keep a mind-bogglingly detailed mental map of what’s going on in the world of business, finance and politics within a clear historical perspective and isn’t shy about laying it out as he sees it. The video is below: Continue reading →

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Asset management, Market research, Market trends, Stock market, Trend following, Value investing

Value investing vs. trend following: which is better?

In spite of the undeniably impressive track record of many trend following funds, most investors are more at home with the idea of value investing. Value investing is intuitively appealing: we all like the idea of buying something when it’s inexpensive and selling it when overvalued. To boot, value investing counts Warren Buffett and Benjamin Graham as its proponents, arguably two among the most successful investment managers ever. However, a more careful analysis of Graham’s as well as Buffett’s writings and investments turns up a big surprise… Delving into this subject, below is an excerpt from my recently published book, “Mastering Uncertainty in Commodities Trading” Continue reading →

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