Recent Commentaries tagged (macroeconomics)
Against Risk Parity, Redux
Here are two articles to read on risk parity: Pro: Pick Your Poison Con: The Hidden Risks of Risk Parity Portfolios I'm on the "con" side of this argument, because I am a risk manager, and have traded a large portfolio of complex bonds. For additional support consider my article Risks, Not Risk. ...
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Tags: asset-allocation | banks | bonds | macroeconomics | portfolio-management | quantitative-methods | real-estate-and-mortgages | stocks | structured-products-and-derivatives | value-investing
Sorted Recent Tweets
Trying a new format here, I think readers will like it better. Most things are better after additional effort. Think of this as a news links by subject post.EconomicsIf you look in the back, it seems that there were 58 respondents. From page 13: Methodology & Panel Selection Invi... http://t.co...
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Tags: accounting | asset-allocation | banks | blog-news | bonds | fed-policy | macroeconomics | pensions | portfolio-management | stocks | structured-products-and-derivatives | value-investing
Against Risk Parity
Many investment ideas are promising so long as few do them. Yes, there is an opportunity, but it is limited. "Shh, don't tell everyone about it."Thus, the concept of "risk parity." Lever every asset class up until it has the same volatility as common stocks. Under theoretical conditions, one c...
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Tags: academic-finance | asset-allocation | banks | bonds | macroeconomics | portfolio-management | public-policy | quantitative-methods | speculation | stocks | structured-products-and-derivatives
Redacted Version of the January 2012 FOMC...
December 2011January 2012CommentsInformation received since the Federal Open Market Committee met in November suggests that the economy has been expanding moderately, notwithstanding some apparent slowing in global growth.Information received since the Federal Open Market Committee met in Decembe...
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Tags: bonds | fed-policy | macroeconomics | public-policy | real-estate-and-mortgages | stocks
On Financial Intermediation
I appreciate Steve Randy Waldman, who writes the excellent blog Interfluidity. Even before I started blogging, while I was at RealMoney, we interacted over CPDOs, along with Alea, and several others that were onto the scam. That was a fun time, because aside from the Canadian rating agency Domi...
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Tags: banks | ethics | insurance | macroeconomics | public-policy
The Rules, Part XXX (30)
In the recent run-up, there was talk of the infallibility of equities. This led to a higher level of variable compensation in the economy through option and share issuance and low pressure to raise fixed wages. This was yet another form of hidden leverage, which hid the unprofitability of enter...
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Tags: macroeconomics | speculation | stocks | the-rules | value-investing
The Rules, Part XXIX
Risk premiums should never be capitalized, they should only be taken into income as earned.This may end up being another odd post of mine. I'm going to start writing about bank regulation, but I will end up talking about monetary policy.There are many people who hate the rating agencies. They ha...
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Tags: banks | bonds | macroeconomics | public-policy | quantitative-methods | real-estate-and-mortgages | the-rules
On Predicting the Future, Redux
From a reader, ptuomov:If you run a regression of the magenta line on variables that have similar trends, you will get a spuriously high R2. I think you should try to explain the weekly changes in the magenta series instead. (I may have misunderstood you regression, in which case please show the ...
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Tags: macroeconomics | quantitative-methods
