Global Macro Trading Journal

Quote from Specterx:

What's really interesting is that the GDP deflator only rose by 0.9% in 4Q11, annualized SA. The three preceding quarters it was between 2.5-2.6%. This is responsible for the GDP figure coming in at 3% rather than 1.4% or so.

I have to say the macro picture seems really confused here. Recession in Europe, but somehow the USA is charging ahead? Strong growth, good jobs numbers coming in etc. but bond yields are on the floor and now a big drop in the GDP deflator. And for that matter there's now a divergence between the deflator and the CPI.

Something has to give but which way?
More...

Given the amount of inflation indicators at highs I'd expect the deflator to be revised up and GDP down. I'm not sure if you posted on the past but what are your views and market positioning currently?
 
Ray Dalio on his philosophy
http://www.charlierose.com/view/interview/11957

Says most important part of his culture is to stay open minded and 'stress test' ideas by getting opposite views. This is a big reason why I like Bill Gross and Pimco because I can tell they have this system too(Gross had no problem admitting his mistake last year in a rather public way). Also why I like Whitney Tilson and Alan Greenspan(Yes, that Alan Greenspan)

Lately I read a book that I though was remarkable in getting myself to become even less attached to ideas/views/opinions and be more flexible. Its A New Earth by Eckhart Tolle. It really helps one understand why identification with things can hurt you how our egos start to buildup on us in subtle ways we are not even aware which then lead us to be defensive and try to protect that ego no matter what. I highly recommend that book
 
Quote from Daal:

I'm shocked that people are shocked the Fed isn't opening the spigots. I thought maybe the game was over once the Fed started publish Fed funds forecasts but apparently there is plenty of room for people to have unrealistic expectations

Haven't they seen the latest inflation numbers?All the alternative measures other than the CPI are either at cycle highs or close to them. The only place where there is no inflation is on Paul Krugman's blog

I do think eventually the Fed will come back but I will have to be right about the recession/slowdown
More...

Well, markets make opinions and when the euro, PMs, Treasurys, and stocks dove as the Beard spoke, the press concocted this story that folks were hoping for a QE3 announcement, when there was no indication the Fed was planning such. Turns out a massive sell order hit the Treasury pits (either fat finger or asset reallocation), and sent bonds reeling at such a pace, it triggered algos which then sold PMs, which trigger currency algos, which triggered stock algos. I would note that oil was also hit, but reversed very quickly.

What you had was a bunch of one-way markets - euro, PMs, Treasurys, stocks - that were primed for a bit of a reversal, and they got it., so the press made up a story and ran with it.
 
Anyone ever read the book: What Works On Wall Street?

By James Shaughnessy.

He examined the Standard & Poor’s Compustat Active and Research Database (covering as of December 31, 1994 approximately 7,700
stocks) over 44 years- from Dec 31, 1950 to Dec 31, 1994.

Faber goes into it deeper in his latest newsletter and what stood out for me was how supposedly (obviously) microcaps offered the most returns, mid caps were the worst choice and large caps did not outperform the index!

To me this strengthens me in my view of chosing the index above large caps as the return has a high chance of being similar with less exposure to the downside if some risk by buying stocks is wanted.
 
Quote from Debaser82:
Anyone ever read the book: What Works On Wall Street?

By James Shaughnessy.

He examined the Standard & Poor’s Compustat Active and Research Database (covering as of December 31, 1994 approximately 7,700
stocks) over 44 years- from Dec 31, 1950 to Dec 31, 1994.

Faber goes into it deeper in his latest newsletter and what stood out for me was how supposedly (obviously) microcaps offered the most returns, mid caps were the worst choice and large caps did not outperform the index!

To me this strengthens me in my view of chosing the index above large caps as the return has a high chance of being similar with less exposure to the downside if some risk by buying stocks is wanted.
More...
One of the problems with these types of studies is that they often fail to take account of survivorship bias. Not sure whether this is the case here, but I don't see any mention of the author correcting for it. In general, I expect survivorship bias to have a large effect on the actual performance of these "mkt cap strategies".
 
Quote from Martinghoul:

One of the problems with these types of studies is that they often fail to take account of survivorship bias. Not sure whether this is the case here, but I don't see any mention of the author correcting for it. In general, I expect survivorship bias to have a large effect on the actual performance of these "mkt cap strategies".
More...

Just a snapshot of the letter...

The real winners are the micro stocks:
$10,000 invested in this group in 1951 and annually rebalanced (stocks whose market capitalization exceeds $25,000 are automatically sold and the proceeds reinvested in stocks with a market capitalization below $25,000) would have grown to $29 million by the end of 1994.

The second best performing group is the all stock category (boosted obviously by stocks with a market cap below $500 million) for which a $10,000 investment would have grown to $1.8 million followed by stocks with a market capitalization of between $25 million and $100 million.

But most interesting is the fact that the so called ‘mid cap’ stocks with market capitalization of between $500 million and $1 billion are the worst performing issues. They not only underperform the very small issues (stocks with a market cap of below $100 million) but also the all stocks category (as of Dec 31, 1994 approximately 2,800 stocks with a market cap in excess of $150 million) and large stocks. Please note that the Large Stocks and the S&P 500 have an almost identical performance.

Fwiw...

I think the anual rebalancing deals with the survivorship bias no...

Anyway, if you don't have a lot of money you buy microstocks and hope they go up 5000%, if you are rich you buy Coca Cola and hope the divident remains...

It's not rocket science right...
 
Quote from Debaser82:

Just a snapshot of the letter...

The real winners are the micro stocks:
$10,000 invested in this group in 1951 and annually rebalanced (stocks whose market capitalization exceeds $25,000 are automatically sold and the proceeds reinvested in stocks with a market capitalization below $25,000) would have grown to $29 million by the end of 1994.

The second best performing group is the all stock category (boosted obviously by stocks with a market cap below $500 million) for which a $10,000 investment would have grown to $1.8 million followed by stocks with a market capitalization of between $25 million and $100 million.

But most interesting is the fact that the so called ‘mid cap’ stocks with market capitalization of between $500 million and $1 billion are the worst performing issues. They not only underperform the very small issues (stocks with a market cap of below $100 million) but also the all stocks category (as of Dec 31, 1994 approximately 2,800 stocks with a market cap in excess of $150 million) and large stocks. Please note that the Large Stocks and the S&P 500 have an almost identical performance.

Fwiw...

I think the anual rebalancing deals with the survivorship bias no...

Anyway, if you don't have a lot of money you buy microstocks and hope they go up 5000%, if you are rich you buy Coca Cola and hope the divident remains...

It's not rocket science right...
More...

"Hope?" They've increased the dividend for like 50 consecutive years. FWIW, WMT this morning announced its 28th consecutive annual dividend increase.
 
You must log in or register to reply here.
Back
Top