Nice paper, although I’m pretty sure resorts on the West Coast will not need it this weekend!
Archive for January, 2010
Deceptive Advertising and Snowfall
Sunday, January 31st, 2010Paul Tudor Jones on Reminiscences of a Stock Operator
Thursday, January 28th, 2010The interview in the back of the book is priceless.
Must read.
Holy crap there are about 40 gems in this interview. A few of my favorite quotes from PTJ:
There are two rules from this book by which I now live during these later stages of my constitution. First is the tenet “The trend is your friend,” which is repeated often – but not often enough. You sill simply never make any money unless you begin and end every trading thought with that in mind. Second is the old adage actually popularized in the 1880s, as I learned in your annotations: “Sell down to the sleeping point”.
Probably the best lessons to be learned from this book come from his (Lefevre’s) repeated failures and how he dealt with them. In the book I think he lost his entire fortune four or five times. I did the same thing but was fortunate enough to do it all in my early twenties on very small stakes of capital….I think it’s no great coincidence that our greatest champions, our greatest artists, our greatest leaders, our greatest everything all seem to have experienced some kind of gut wrenching loss.
Momentum and Relative Strength
Thursday, January 28th, 2010A nice white paper from the good folks at Dorsey Wright:
The Global Debt Bomb and Kyle Bass’s Hayman Advisors
Wednesday, January 27th, 2010Fun bike reading yesterday – The Global Debt Bomb
Bass’s Hayman Advisors is mentioned a bunch in the post. You can find his shareholder letters here on Hedge Fund Letters.
CNBC Interview via MarketFolly:
In the Mail
Wednesday, January 27th, 2010That’s it. After this order I’m officially putting my Amazon account on hold until I crank out some of these 7 white papers I’ve been trying to write for the past 6 months. Ugh.
I was excited to see K Burton’s new version of Hedge Hunters just arrived. I wish Schwager would go back and update all three of his books with “where are they now?”.
A few other books on the way:
The Little Book of Behavioral Investing: How not to be your own worst enemy – Montier (Are they ever going to run out of little books?)
Priceless: The Myth of Fair Value – Poundstone (author of Fortune’s Formula, great book)
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
Free Historical Data Sources
Tuesday, January 26th, 2010Every day I receive a slew of emails asking about historical data. While I use Global Financial Data ($), below are some resources for free and paid historical data.
Please leave a comment if you know of any other good websites.
Multi-Index Data
The book is about $160, although you can probably get one used for less. Not sure how much the data sub is on Morningstar. Stocks, Bonds, Bills, and Inflation – Ibbotson (now part of Morningstar). Includes monthly data for US Stocks Large (1926), US Stocks Small (1926), Long Term Corporate Bonds (1926), Long Term Government Bonds (1926), High Yield Corporate Bonds (1926), Intermediate Term Government Bonds (1926), Inflation (1926), T-Bills (1926). Since 1969 adds Gold and Value/Growth classifications. Surprised no one has turned this into an Excel sheet.
Shiller has US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates back to the 1870′s on his website.
Ralph Vince’s Barron’s Download
US Stock Index Data
Fama-French (Monthly 1926, Daily 1963)
Foreign Stock Index Data
Interest Rate Data
St Louis FRED CPI, Interest Rates, Trade Data
Real Estate Data
REIT data (1972)
Housing Shiller (1890)
Commodity Data
Paid ($$) Data Sources
Morningstar Encorr ($10,000)
Morningstar Dimson, Marsh, Staunton Module ($3,000)
CRSP ($25,000)
Six Impossible Things Before Breakfast
Tuesday, January 26th, 2010James Montier speech last Summer (HT: NG)
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I’ve written a ton on how the hedge fund indexes are useless. Remember, you don’t want the beta of hedge funds (like all the ETF indexes – you want the alpha!!). Some more examples here:
Econompic, DailyFinance, Clusterstock, FIN
Investable index: 13%
Non-Investable Index: 19% (and has underperformed every year the past 7 years!)
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A great article here from my buddy Nick on arithmatic geometric returns, or, returns you can eat.
Bill Dunn
Thursday, January 21st, 2010His performance here.
Economist article on managed futures funds. Literally lumps together trendfollowing futures funds, quant equities funds, and high frequency funds into the same boat. They are about as similar as a bulldog, a chiuaua, and a greyhound.
Just Arrived
Wednesday, January 20th, 2010Every trader’s favorite book with new commentary and annotations by John Markman as well as a foreword by Paul Tudor Jones. It’s been years since I read this book – perfect to flip through in this nasty Los Angeles weather.
Edwin Lefevre’s Reminiscences of a Stock Operator Annotated Edition
90% Of The Time
Wednesday, January 20th, 2010This is a really great poem from my relative Zach Thomas in North Carolina…who is recovering from a broken wrist from the dog attack mentioned in the poem.
Pretty easy to substitute “diversification”, “stocks go up”, or many of the countless other market truths that apply (most of the time).
Ninety Percent of the Time
A growling Rottweiler attacked me, suddenly, one day.
After it broke my arm, I heard a woman say,
“We have a dog just like that. He seems so gentle, kind.
He’s wonderful with children, ninety percent of the time.”
Goliath shook the ground he trod, could conquer foes by fear.
David’s Mom said, “Son, be bold. Take this slingshot here.
Protect us from the giant troll! I know you’ll do just fine.
Those thingies work all right, I’m told, ninety percent of the time.”
Jane entertained second thoughts about her Tarzan man
The day she started sinking in a liquid pool of sand.
“Grab my hand,” yodeled Tarzan, swinging on a vine.
“These jungle ropes are good to go, ninety percent of the time.”
Remember the old lady, who lived in a shoe?
Her husband was the one in charge. He knew what to do.
His words of reassurance calmed when she was bad to whine:
“I say rhythm serves us well, ninety percent of the time.”
The C.I.A., the S.E.C, and banks’ investment schemes,
Health insurance, Hoover dams and heavy submarines –
They’re trusted institutions, proven worthy over time
And unquestionably reliable, ninety percent of the time.
Zach Thomas 12/2009
