Posts filed under “Quantitative”

140 years of Equity Yield vs US Bond Yield

Over the last few weeks, we have discussed the questionable data and mediocre results of Jeremy Siegel’s Stocks for the Long Run (See this, this and this).

When we step back and take a look at The Really Long Run, we see a much clearer picture. The deep historical perspective as it pertains to the Dividend Yields on Equities vs Constant Yield on the 10 yr Bond may be revealing.

Equities have returned more from 1871 to 1956. An amazing 85 year outperformance run! After crossing over in ~1956, the 10 Year US Bond had a spectacular 56 year run of outperformance vs Equity Dividend Yield including all of the most recent bull runs.

Are Equities on the verge of another run of outperformance? (Note this is a very imprecise timing tool, measured in years and even decades, not nano seconds)


Equity Dividend Yield VS 10 Yr US Bond Constant Maturity Yield.
click for giant chart

Source: Global Financial Data


Thanks, Ralph !
Ralph Dillon

Category: Dividends, Fixed Income/Interest Rates, Investing, Quantitative, Valuation

Algorithmic Trading, Promise and Perils

Click to enlarge:   Bloomberg Echoes looks at the history of computer driven snafus: When machines replace seasoned traders and market makers, mistakes can occur at dizzying speed. It happened with the notorious “flash crash” on May 6, 2010, and again on Aug. 1 this year, when software at Knight Capital Group Inc. (KCG) malfunctioned,…Read More

Category: Markets, Quantitative, Trading

Buy Neutrinos

  Must read article in Spetember edition of Wired Magazine on How Wall Street Got Addicted to HFT. In light of the JKnight Trading snafu, Wired decided to post it on line earlier than suual. Here is an excerpt: “Faster and faster turn the wheels of finance, increasing the risk that they will spin out…Read More

Category: Quantitative, Really, really bad calls, Trading

Nanex: Speed Kills

Whenever I have no idea about some event, rather than hypothesize some half-assed theory, I prefer instead to go to the pros who know their area of expertise better Thus, for the the Knight Trading glitch, I direct your attention to Nanex: Knightmare on Wall Street On August 1, 2012, starting at market open (9:30 EDT), our…Read More

Category: Markets, Quantitative, Trading

Uncertainty Quantified (Not)

No sooner does this morning’s “Uncertainty” piece go up when someone emails me this “quantified” version of uncertainty. The claim is made that “Nick Bloom and Scott Baker of Stanford University and Steve Davis of the University of Chicago” have figured out how to measure uncertainty:     Sadly, no. This is merely an index…Read More

Category: Digital Media, Investing, Psychology, Quantitative

How Facebook Fucked Up Its Own IPO

What a piece of work is a man, how noble in reason, how infinite in faculties, in form and moving how express and admirable, in action how like an angel, in apprehension how like a god! the beauty of the world, the paragon of animals—and yet, to me, what is this quintessence of dust? Man…Read More

Category: IPOs, Markets, Quantitative, Trading

Re-Entry Signals Following 10 Month Moving Average Exit

Back in the beginning of the year, I mentioned that Mebane Faber and I were exploring updating his Spring 2007 Journal of Wealth Management paper titled “A Quantitative Approach to Tactical Asset Allocation.” (He is the Chief Investment Officer of Cambria Investment Management). As we discussed back earlier, Meb reviewed a simple timing model — the…Read More

Category: Investing, Quantitative

Factors Institutional Investors Are Favoring

Every year since 1989, Merrill Lynch surveys a few 100 institutional investors using a broad variety of quantitative, valuation, process and modeling questions. Their responses get summarized in a 39 chart, 27 page report. You can get a sense of the depth and breadth of the report in just a few charts — but overall,…Read More

Category: Hedge Funds, Investing, Markets, Quantitative, Trading

Are Stocks Ahead of the Economy?

> Today, I want to bring a simple analysis to your attention. It is based upon the chart of GDP versus the total stock market valuation: Another measure bodes worse, however. That’s a comparison of the total value of U.S. shares with the yearly output of the U.S. economy (see chart). The stock market is…Read More

Category: Cycles, Data Analysis, Markets, Quantitative

Jim Simons on Math

Math for America Founder Jim Simons’ interview on Need to Know on PBS, April 15, 2011.


Physicist C.N. Yang and mathematician/philanthropist James Simons interviewed by Bill Zimmerman

Hat tip Frank Voison

Category: Hedge Funds, Mathematics, Quantitative, Video