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GLG News by this Author
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Tactical Asset Allocators should stay Overweight Commodities in Summer, 2010
June 25, 2010
These Commodity ETFs Should Continue To Beat The S&P 500 (GLD, USO, GDX) | etfdailynews.com
Using a quantitative forecasting model from BeatIndex, tactical asset allocators should continue to be overweight in Commodities Indexes, such as IGE, which is a proxy for the Goldman Sachs Commodities Index (GSCI), and be underweight the equity index S&P 500.
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Quantitative Investment Risks in ETFs that are Hedge Funds in a Box
June 23, 2010
ETFs Gone Wild | www.bloomberg.com
I analyze the expected wild quantitative characteristics (expected return and risk) of an investment in these new-fangled ETFs that are being offered as Hedge Funds In a Box.Demystifying it for the simple investor, I comment on how suitable this investment may be for an an individual investor looking for a cash-alternative and who does not understand the details of what is happening inside this box. To dig into this hedge fund in a box, I'll use the real life example of Diversified Alternatives from iShares, with the ticker symbol ALT, given in the referenced article.
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Leverage thrills, but kills the sell-side institutions.
September 17, 2008
CLSA's Wood Sees Another $1 Trillion in Credit Losses | www.bloomberg.com
Underlying causes of the financial meltdown are discussed, with hints at the possible solution for the Fed/government.
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As you CDO, so shall you reap!
June 11, 2008
Losses Push Lehman To Weigh Raising New Capital | online.wsj.com
Large sell-side investment banks, such as Lehman, that indulged in loads of CDO sowing, will continue to reap a massive shrinkage in their stock market capitalization.
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Reported performance of quantitative hedge funds needs to be viewed in its entire context
April 10, 2008
Simons, Mandel Post Their Biggest Drops in Fund Slump | www.bloomberg.com
Various quantitative hedge funds still retain their place and charm in a well-diversified portfolios. As usual, the investor in hedge funds needs to be discriminating avoiding the losers and paying attention to the ex-ante correlation properties of their portfolio.
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Message to the US government: Do not intervene as financial excesses unwind
March 5, 2008
Bernanke Call for Mortgage Forgiveness Puts Pressure on Paulson | www.bloomberg.com
If the agents of the US government, Bernanke from the Fed and Paulson from the Treasury, intervene in the functioning of the capital markets as financial excesses unwind, they might create more problems, such as unwittingly making mortage credit more expensive as investors shun them if interest rates on those already-written contracts are forcibly reduced or their negative equity positions are turned into positive ones. Unwinding of the credit bubble should not be treated any differently than the tech-telecom bubble unwind of 2001-2004. Let Shumpeter's 'creative destruction' take its toll and clear out the air.
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Message to the US government: Do not intervene as financial excesses unwind
March 5, 2008
Bernanke Call for Mortgage Forgiveness Puts Pressure on Paulson | www.bloomberg.com
By modifying terms of financial contracts, such as turning negative equity mortgage contracts into positive ones by forgiving mortgage principal owed, or changing interest rate terms on them, the US government (Fed and Treasury) will unwittingly make mortgage credit even more expensive as mortage investors shun them. That will make the 'cut the Fed funds rate' tool the Fed has used over the last six months absolutely useless for thawing the credit freeze. Piercing this credit bubble should be no different than how other bubbles, such as the tech-telecom bubbles were pierced.
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The untold story of non-rated CDO bonds in bank closets
February 20, 2008
Credit Suisse Strips $1B From 1q Profits | biz.yahoo.com
Like clockwork, you should expect to see these CDO induced writedowns to occur going forward for investment banks. One of the key reasons is the untold story in all these news: the rapid devaluation of non-rated CDO bonds (NR tranches) held at all these financial institutions that indulged in CDO making when the times were good, which are now proving to be their bane.
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February 11, 2008
Bear Stearns Makes $1 Billion Bet on Subprime Market Decline | www.bloomberg.com
I agree with the bet being made in the short direction on the credit crunch, although it seems that there is not much downside left with the usual target (the ABX HE index) that even Deutsche Bank used to make its profits recently. The credit crunch is not uniform. Some short vehicles may be more optimal to take short sided bets among the range of global fixed-income products such as structured products, CDS, equities tied to corporates in the mortgage industry group and CLOs that we work with.
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VaR is an effective summary risk measure, but be aware of its limitations and other risks
January 29, 2008
Death of VaR Evoked as Risk-Taking Vim Meets Taleb's Black Swan | www.bloomberg.com
VaR is just a summary number for quantifying 'normal' market risk, it will lead you astray if you expect it to protect you from other risks, such as liquidity and credit risks. Do not hang your hat on just the one porfolio VaR number without knowing all other risks
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January 22, 2008
Fed Cuts Rate 0.75 Percentage Point in Emergency Move | www.bloomberg.com
Fed rate cuts of the short term are not the right solution for what ails our modern financial system today. The Fed’s goal should be to solve the persistent problem in the Interbank market through the use of two solutions, one short-term and the other long-term that I describe.
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January 11, 2008
LBO debt logjam threatens further write-downs for banks | www.reuters.com
In 2008, writedowns expected due to CLOs or LBOs should be smaller in magnitude than the $50B writedowns we have observed due to mortgage bond devaluations.
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CDO pricing and its expected behavior in times of economic stress.
October 3, 2007
Greenspan Sees `Rethinking' on CDOs After Losses | www.bloomberg.com
CDO pricing has weaknesses, yet buy-side investors can make educated guesses about fair market value changes by learning about some CDO modeling details I outline here.
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I have two suggestions for credit rating agencies to weather the current storm of investigations
September 28, 2007
Credit Raters Face Heat; Moody's Is Sued by a Fund | online.wsj.com
I have two suggestions for credit rating agencies to follow for improving the ratings process for tranched bonds so as to better weather the current storm of investigations
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August 27, 2007
How the 'Quant' Playbook Failed | online.wsj.com
The quantitative playbook for stock selection and portfolio construction has not failed and will stay as durable as ever. This systematized framework for modern portfolio management was simply put through its paces recently. I comment on the reason for the recent draw-downs by quant funds, why in the future such quant equity methodology will continue to work with fresh opportunities for outperformance (alpha), and the risk and effects such funds will continue to bring to the markets.
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August 21, 2007
The Wimp's Guide to Buying Low and Selling High | www.bloomberg.com
I examine the complete detailed technical basis by which portfolio managers should use the current market convulsions opportunistically to review their strategic asset allocation and rebalance if necessary for future rewards. For further specific help in the use of a proven asset allocation model, the author may be consulted.
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Mr Paulson's views on mortgage credit and economic strength are right on target.
August 16, 2007
Paulson Expects Markets to Slow, Not Stall, Growth | online.wsj.com
I agree with Mr Paulson because given the strength of the world-wide economy, the long-awaited, and much-needed repricing of credit that is happening in the mortgage world should be absorbed gracefully. We should not intervene in the ongoing rapid consolidation of the mortgage servicing sector, and let the markets do their work.
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August 9, 2007
TheStreet.com TV Recap: Sorting Through the Subprime Slaughter | www.thestreet.com
We quantify mortgage portfolio value changes due to interest rate changes over the last quarter. Dissect the balance sheets of institutions engaged in this business and their last-reported financial statements using these simple tools, and you can easily arrive at some profitable trade ideas in the equity markets.
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August 2, 2007
WAS LATEST MARKET MELTDOWN 'THE BIG ONE'? | www.nypost.com
The markets are in for turbulent times, but this is not the 'big' downfall. OTC derivatives risks are identifiable, but not trackable because they not trade in a transparent or liquid market. This causes it to be perceived as having higher risks. Credit markets should unwind in an orderly manner, and not affect the equity markets.
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August 2, 2007
Markets may see another fall | www.moneycontrol.com
The markets are in for turbulent times, characterized by high volatility, but not due for another major fall soon. The credit markets can become unlinked from the equity markets, and while it may be wise to stay away from credit bets, equity markets present a buying opportunity, just as they did in Fall of 1998
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