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Serial Correlations in Investment Returns PDF Print E-mail
Written by Bryan Goh   
Tuesday, 08 September 2009 03:50

Autocorrelations:

The investment world loves correlations. Option hedgers love correlations. Everyone loves correlations. Across assets. But how about across time, within the same asset? 

Last Updated on Friday, 11 September 2009 16:21
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Quant Risk Management and Other Fallacies PDF Print E-mail
Written by Bryan Goh   
Monday, 31 August 2009 08:29

Quant Risk Management

Statistical or mathematical techniques have been used in investment management and finance to better understand risk but there are limitations, sometimes severe limitations.

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Japan Exits Recession: But where to? PDF Print E-mail
Written by Bryan Goh   
Thursday, 20 August 2009 02:43

Japan's quarter on quarter GDP growth recorded a 0.90% increase versus consensus estimates of 1.0% and a prior quarter's alarming 3.8% decline. There are several ways to read this.

Last Updated on Thursday, 20 August 2009 02:45
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Chinese wind PDF Print E-mail
Written by Marks@Tiburon   
Friday, 07 August 2009 00:00

The speed at which China is addressing its voracious appetite for energy and dire environmental issues is not being given enough attention.

Last Updated on Thursday, 13 August 2009 01:41
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Economic Recovery, of Sorts PDF Print E-mail
Written by Bryan Goh   
Monday, 03 August 2009 05:41

See my earlier article A Return to Boom and Bust, where I argue that product and asset markets will be driven by liquidity and leverage and monetary policy in the short to medium term due to the extraordinary circumstances we find ourselves in in the aftermath of the bursting of the great credit bubble. Monetary policy will be accomodative and reflationary to the extent that price and output must rise. That is the condition that central banks will target. The result? If I am right, then the following is likely to happen:

Last Updated on Monday, 03 August 2009 05:43
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A Return To Boom and Bust PDF Print E-mail
Written by Bryan Goh   
Monday, 27 July 2009 04:52

Does the printing of money by central banks inevitably lead to inflation?

 

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Japanese Beer Wars PDF Print E-mail
Written by Bryan Goh   
Thursday, 16 July 2009 13:16

In a market known for measured and deliberate and more often than not friendly M&A, the merger between Kirin and Suntory is an interesting transaction. The Kirin Suntory deal is by no means hostile but it is a merger of rivals. The merger if consummated will create the fifth largest food and beverage company in the world. There are several remarkable features of the deal.

Last Updated on Thursday, 16 July 2009 13:19
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When will this market manipulation stop? PDF Print E-mail
Written by Roundtripper   
Tuesday, 14 July 2009 04:52

The stockmarket is no longer determined by fundamentals nor technicals nor free market forces but by the desperation of governments, central banks and policymakers hell bent to give the impression that they have averted an economic crisis which in the end will be inevitable.

Last Updated on Tuesday, 21 July 2009 05:06
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Hedge Fund Dispersion of Returns by Strategy PDF Print E-mail
Written by Bryan Goh   
Wednesday, 08 July 2009 02:37

Here is a chart of the dispersion of hedge fund returns across strategies as classified by Hedge Fund Research. It is the simple standard deviation of the monthly returns across the 18 strategy indices compiled by HFR.

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Stop manipulating the (US) stock market! PDF Print E-mail
Written by Roundtripper   
Friday, 03 July 2009 08:30

The Dow is 35% above its March lows and has had the best quarter's performance since 1998. Why is that? Because the recession is over and we are seeing the green shoots of economic recovery? 

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Some Macro Strategies June 2009 PDF Print E-mail
Written by Bryan Goh   
Tuesday, 30 June 2009 04:18

Part of the recovery and healing process of the world economy will involve an evolution of the trade positions of countries. As profligate nations save and emerging market consumers expand, Western trade deficits and emerging market trade surpluses are likely to contract towards balance. The transactional demand for currency will likely support the USD and EUR while CNY, JPY, KRW, INR weaken. 

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The End of This Equity Market Rally PDF Print E-mail
Written by Bryan Goh   
Thursday, 25 June 2009 10:32

I am not an equity market bear; if anything I am firmly of the view that the world economy is on the path of recovery and repair. Equity markets have, however, run well ahead of themselves and of fundamentals. Technically, equities are heavily overbought. Fundamentally, they are not cheap either. In an earlier article dated 15 June 2009, I suggested that This Equity Market Rally had run out of steam and that a significant correction was probable. 

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The Unobservable Economic Recovery PDF Print E-mail
Written by Bryan Goh   
Wednesday, 24 June 2009 05:08

The rally in global equity markets masks the fact that economic fundamentals remain weak. The bulls say that the recovery is underway, that green shoots of economic recovery are sprouting, that economies have passed their trough; some even go as far as to suggest a V shaped recovery (Goldman Sachs is one of them). 

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Your last chance to sell..Dow 5,000 by year end? PDF Print E-mail
Written by Roundtripper   
Thursday, 18 June 2009 02:43

As mentioned in my last post, there are signs that the mini bull market in the bear storm is about to come to an end. 

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This Equity Market Rally PDF Print E-mail
Written by Bryan Goh   
Monday, 15 June 2009 09:42

Markets rarely ever move in straight lines. Regardless of fundamentals, it was irrational to believe in February 2009 that equity markets would sink to zero. In early March, equity markets rebounded and are on an almost constant upward incline. Beware.

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Renewables PDF Print E-mail
Written by Marks@Tiburon   
Thursday, 03 September 2009 03:17

Renewable energy will be an investment theme for the foreseeable future, and we are very attuned to some recent developments that have the potential to revolutionise energy production. 

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Is The Equity Bear Market Rally Really Over? PDF Print E-mail
Written by Bryan Goh   
Monday, 24 August 2009 04:25

Equity Market Review

Once again equity markets are looking vulnerable.

Last Updated on Monday, 24 August 2009 04:30
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Stock Market Dispersions: European Example PDF Print E-mail
Written by Bryan Goh   
Monday, 17 August 2009 15:29

Here is an analysis of the dispersion of returns in the various sectors of the European equity markets as defined by the Stoxx sub sector indices.

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Irrational exuberance PDF Print E-mail
Written by Marks@Tiburon   
Friday, 07 August 2009 00:00

Most Western Central Bankers, and virtually all private sector economists have now declared the recession over. Probably around three months late, but better than their forecasting record going into said recession.

Last Updated on Thursday, 13 August 2009 01:40
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Cars and platinum PDF Print E-mail
Written by Marks@Tiburon   
Wednesday, 29 July 2009 07:12

The Auto industry has finally had some good news with some stunning figures for Chinese car sales – up over 40% YoY. 

Last Updated on Wednesday, 29 July 2009 07:15
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At this rate, the Democrats will own the US stockmarket just in time for the next election PDF Print E-mail
Written by Roundtripper   
Wednesday, 22 July 2009 06:37

At the sound of becoming a broken record....MARKETS ARE NOW OFFICIALLY DETERMINED BY DEMOCRATIC POLICY. The stock market crash in 2008 won them the election, so they think if they prop it up for the next four years, it will win them a second term.

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China bought into a Madoff fund! Must watch video. PDF Print E-mail
Written by Roundtripper   
Tuesday, 14 July 2009 04:55

No words from me this week. Just watch the video.

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Hedge Funds: The State of the Craft: June 2009 PDF Print E-mail
Written by Bryan Goh   
Friday, 10 July 2009 03:28

The fundamental picture:

The second quarter of 2009 witnessed a continuation of the rally in all risky assets from equities to credit to commodities and energy to illiquid Asian physical real estate. 

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Reply to Roundtripper's article about Market Manipulation PDF Print E-mail
Written by Bryan Goh   
Friday, 03 July 2009 11:00

Dear Roundtripper,

A very interesting post. (Stop manipulating the (US) stock market!) Go back to March 2009, the beginning of the current relief rally, and you may recall that just a week prior to triple witching, a slew of good news regarding further bail outs coincided with what could well have been a significant negative gamma on the Street.

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Decoupling: The Myth and The Mystery PDF Print E-mail
Written by Bryan Goh   
Thursday, 02 July 2009 06:51

In emerging markets, something bad happens every 3 to 4 years, and something very bad happens every 7 to 8 years. Bad things tend to happen when periods of high growth store up imbalances which accumulate till breaking point or hide fundamental structural flaws. More often than not, they are borne from lack of diversification or hedging of risk; or the distortion of the price mechanism and deviations from free markets.

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Don't believe the China lies. PDF Print E-mail
Written by Roundtripper   
Monday, 29 June 2009 04:42

Much has been said about China saving the world from economic armageddon. Well I have news for the China bulls, the macro-economic data that you are pinning your investment hopes on are no where near as good as you think. In fact they are probably quite far off the mark.

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China's security on commodity supply PDF Print E-mail
Written by Marks@Tiburon   
Wednesday, 24 June 2009 05:17

The politicians in Canberra are probably as popular in Beijing at the moment as Gordon Ramsay is in Australian news studios. Having rebuffed the bid for Ozminerals’ Prominent Hill, they will also be held culpable in Chinese eyes for Rio’s (partially) commercially driven snub to Chinalco, which was then made much worse by the announcement of the Rio/BHP iron ore joint venture, neatly creating a duopoly from the prior three player market. 

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Efficient market theory - RIP PDF Print E-mail
Written by Marks@Tiburon   
Monday, 22 June 2009 16:32

After five decades, the Institute for Financial Analysis has polled its members, who now no longer believe in efficient markets – or, more specifically, that share prices do not reflect all available information.

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Temasek Holdings Investment Performance and Transparency PDF Print E-mail
Written by Bryan Goh   
Tuesday, 16 June 2009 02:41

On 8 June, I wrote in the Straits Times, a newspaper in Singapore that Temasek Holdings should not shy away from risk despite recent losses. Here is the article: 

Last Updated on Tuesday, 16 June 2009 02:45
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India PDF Print E-mail
Written by Marks@Tiburon   
Saturday, 13 June 2009 10:59

Five years ago India had an election. There was a surprise victory for the Congress-led coalition over the BJP and the market fell 20% in a day. This marked the low and the market subsequently quadrupled over the next three and a half years. As it turned out the effect of having to accommodate some of the left-leaning coalition partners on economic policy was somewhere between immaterial and zero.

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