Monthly Archives: July 2010

The Rules, Part XVII

In a panic, only two attributes of a financial instrument get priced — liquidity and quality/survivability. In a panic, all risky assets become highly positively correlated with each other. Given that correlations tend to rise in a panic, a reasonable measure of sentiment is to measure the average absolute value of 10-day correlations. Markets cannot […]

Book Review: Fault Lines

Raghuram Rajan made a name for himself at the Jackson Hole conference in 2005, which was a kind of send-off for the victorious Alan Greenspan.  Alas, but the paper he brought was not appreciated at the time, as it pointed to imbalances in the financial system. He was ahead of the curve.  Thus his book […]

The Market Goes to the Dogs, Which Chase Their Tail Risk

I’ve read a number of articles on hedging tail risk of late.  Most of them were pretty good; I just want to add in my thoughts. For those who haven’t read the articles, tail risk is when even safe investments get hit hard.  Those market outcomes are rare but severe, so some people look for […]

Linus : Security Blanket :: David : Bloomberg Terminal

Dear Readers, New asset management shops start small.  One of the luxuries I have had for the past 18 years is access to a Bloomberg Terminal.  I will not be able to afford one ($20-25K/year), at least not initially, as I start up what is likely to be called Aleph Investments. I will miss having […]