Posts filed under “Quantitative”

Tony Robbin’s Recent Weather Portfolio

Jim O’Shaugnessy took a closer look at what I am now dubbing the Tony Robbin’s Recent Weather portfolio. It is akin to taking an umbrella today because it rained yesterday.

Jim is a quant extraordinaire, and his analysis confirms what I wrote earlier this morning: This is a biased sample, form fitted to have done well over the past 3 decades. It is unlikely to do well over the next 3 decades.

He also posted the following table

 

click for larger table
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Category: Apprenticed Investor, Asset Allocation, Quantitative, Really, really bad calls

Correction or New Bear Market ?

Here we are, 10-plus months into the year, and we have nothing to show for it. At least, that is the case if we measure our progress by the gains (or losses) of the Dow Jones Industrial Average. The index is now unchanged for the year after last week’s losses. The previously one direction market…Read More

Category: Cycles, Investing, Quantitative, Trading

Predict This!

Over the years, I have discussed how little I care for predictions (see “The Folly of Forecasts“). We have chatted about how poor Wall Street is at making forecasts, wondered why they keep at it and revealed the secret to making better predictions. But the bottom line is that you humans are terrible at forecasting…Read More

Category: Investing, Quantitative, Really, really bad calls

MiB: James O’Shaugnessy

This week’s Masters in Business Radio show at 10:00 am and 6:00 pm on Bloomberg Radio 1130AM and Siriux XM 119 (it also repeats all weekend). Our guest this week is James O’Shaugnessy of O’Shaugnessy Asset Management, author of What Works On Wall Street. You can listen to live here or stream it below or…Read More

Category: Investing, Media, Podcast, Quantitative

Single Variable Market Analysis is for Losers

If you work in finance, you will invariably come across an example of single-variable analysis. Almost daily, we see terrible examples of this sort of analytic error, rife with logical weakness, yet offered with the highest degree of certainty. The way this works is as follows: Some ominous data point will be shown, along with…Read More

Category: Analysts, Data Analysis, Investing, Philosophy, Psychology, Quantitative, Really, really bad calls

When is ‘this time’ really different?

    My Sunday Washington Post Business Section column is out. This morning, we look at a famous aphorism from Sir John Templeton. The print version has the hedder When is ‘this time’ really different? while the online version used the fuller Investors must recognize what ‘this time it’s different’ really means. The column tries…Read More

Category: Apprenticed Investor, Psychology, Quantitative

Bull or Bubble?

Source: 361 Capital   This chart comes to us via Blaine Rollins of 361 Capital. I find it provides great context for the current markets, especially given the amount of bubble chatter we hear these days. How common are double-digit equity gains? How often do we see markets up 20 percent or more in a…Read More

Category: Investing, Markets, Quantitative

Benoît Mandelbrot, Father of Fractals

IBM and http://IBMblr.Tumblr.com celebrate the life of Benoit B. Mandelbrot, IBM Fellow Emeritus and Fractal Pioneer. In this final interview shot by filmmaker Erol Morris, Mandelbrot shares his love for mathematics and how it led him to his wondrous discovery of fractals. His work lives on today in many innovations in science, design, telecommunications, medicine, renewable energy, film (special effects), gaming (computer graphics) and more.

Category: Mathematics, Quantitative, Video

AQR Capital’s Cliff Asness

Leverage. Derivatives. Shorting. The three “dirty words” of finance, according to this week’s guest, became a regular part of our vocabulary after the 2008 financial crisis, but how can investors get back to “clean” investing principles? Our Financial Thought Leader this week is Cliff Asness, Managing and Founding Principal of AQR Capital Management, a global investment management firm which runs hedge funds, mutual funds, and a diversified collection of investment strategies. In this rare interview, he’ll discuss the three legs of his “investment stool” and the tools we can use to diversify our portfolios.

Category: Quantitative, Video

90% of Everything is Crap

Source: Mental Floss     As someone who has spent his fair share of time debunking nonsense, I love the elegant way Theodore Sturgeon trashed this anti-SciFi trope in the March 1958 issue of Venture: “I repeat Sturgeon’s Revelation, which was wrung out of me after twenty years of wearying defense of science fiction against…Read More

Category: Philosophy, Quantitative, Rules