Tags » Investment Research

The Insidious, Creeping Horror Of Artificially Low Interest Rates

“Volatility is about fear… but extreme tail risk is about horror […] It is not the first act of the horror movie when people start turning into zombies… it is the end of the second act when the hero realizes he is the only person left not a zombie.”

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Investing

Technically...

Given how many smart people end up working in investment management, I am always surprised how siloed we can be. You tend to be a fundamental guy, … 788 more words

Investing

Why We Are Allocating Capital On Autopilot

In recent posts (here and here) I explored my view that today’s markets are systematically mispricing risk. My analysis isn’t exactly rocket science. So why does this mispricing persist? 572 more words

Finance

More On S&P 500 PE Ratios

As follow up to my last post regarding cost of equity and valuation multiples for the S&P 500, here is a chart showing the implied steady state PE versus the actual PE for the index since 1961. 376 more words

Investment Research

It's The Risk You Don't See That Kills You

I want to share a chart I believe is of paramount importance to asset allocation and valuation in today’s environment. It graphs the implied cost of equity for the S&P 500 alongside the steady state earnings multiple that number implies.  656 more words

Investment Research

1Q18 Factor Performance

A while ago I created some charts to track factor performance in the US equity market. The data is from Ken French’s Data Library. As you might expect, it is the Fama French Five Factor data, as well as data for the North American Momentum Factor. 666 more words

Investment Research

My Email Reply To A Suspicious Hedge Fund

I thought I found a fraudulent hedge fund earlier today. I will refrain from judgement as there are lots of details arguing for reckless ineptitude versus fraud. 662 more words

Finance