This should be a short post.  There are many reasons proffered for the increase in global equity market correlations — I would like to offer one more: competitive devaluation of currencies, a.k.a., the race to the bottom.  Almost all nations are looking to cheapen their currencies in order to encourage exports.  There is a a global “conspiracy” where consumers are discriminated against by producers and their governments.

The US is involved in this but is more willing to absorb foreign goods than most, making the US is the main reserve currency.  Send us you neomercantilistic goods and services, we will give you promises of future payment.

But when everyone wants to do the same thing, cheapen currencies to promote export-led growth at home, that same thing is impossible, because not all currencies can be cheap at the same time.

But as the process goes on, with so many of the world’s large countries engaged in similar policies at their Treasuries and Central Banks, it is no surprise that with one dominant global policy, there is one global market behavior, oscillating rapidly from panic to euphoria as stimulus measure go from less to more certain.

How do we estimate what returns are reasonable to expect?  Most investment counselors fall back on easy rules of thumb, but is there a way of doing better?

In this book, the author takes academic research on investment returns, and tries to make it practical.  What are the main findings of the book?

• Momentum works.
• Value works.
• Illiquid assets can work very well if you have a balance sheet that can hold them.
• Carry strategies work most of the time, but when they fail, they fail big.  Same for strategies that sell volatility.

The book does a very good job in establishing that the excess returns of stocks over bonds are a lot lower than most believe.  It also supports the idea that moderate risk taking is the superior strategy.  Those that take high risks lose too often.  Those who take no risk don’t make anything significant.  Moderate risk-taking is the sweet spot.

One of the strengths of the book is that it considers almost all assets, and analyzes how many factors affect those asset classes.  The book is comprehensive; it covers everything, even if it is only an inch deep in spots.

I liked this book a lot, but it’s not for everyone.  You won’t find a lot of difficult math here, but you will find a lot of numbers.

Quibbles

I don’t agree with the idea of levering up low risk assets.  Yes, if you are  the only one doing it, fine, be a non-regulated pseudo-bank.  The trouble comes when many do it.  Eventually a liquidity crisis hits, and those levering up low risk assets get hosed.

The same is true of university endowments.  Too many thought it was easy money to invest in illiquid assets, and when the liquidity panic came in 2008-2009, they were forced to borrow, and/or sell illiquid assets at an inopportune time.

The book does cover everything, but it doesn’t cover everything deeply.  I think it is a valuable book to most who do asset allocation, but the author knows his limits, and does not claim to be expert in a number of areas.

Who would benefit from this book: Fundamental investors who want to understand the factors behind return generation can benefit from this book.  If you want to, you can buy it here: Expected Returns: An Investor’s Guide to Harvesting Market Rewards (The Wiley Finance Series).

Full disclosure: The publisher sent me a copy of the book for free.

If you enter Amazon through my site, and you buy anything, I get a small commission.  This is my main source of blog revenue.  I prefer this to a “tip jar” because I want you to get something you want, rather than merely giving me a tip.  Book reviews take time, particularly with the reading, which most book reviewers don’t do in full, and I typically do. (When I don’t, I mention that I scanned the book.  Also, I never use the data that the PR flacks send out.)

Most people buying at Amazon do not enter via a referring website.  Thus Amazon builds an extra 1-3% into the prices to all buyers to compensate for the commissions given to the minority that come through referring sites.  Whether you buy at Amazon directly or enter via my site, your prices don’t change.

Our problems today stem from too much debt, both personal and governmental.  When enough of the populace is overindebted, they become conservative in spending.  When corporations see that, they become conservative as well, and cut back on production.  The same is true with governments.  As governments get more indebted, people begin to think they won’t spend as much in the future, which is a reasonable assumption.

But what do the pundits suggest?  Borrow more.  If you only would borrow more, and allocate the money to our favored projects, things would improve.  But that is more of the “hair of the dog that bit you” reasoning.  More debt does not solve the problem of too much debt.

In general, the more of the economy that we hand off to the government, economic growth will be less.  The government rarely grows anything, except itself.

I realize in the short-run that reductions in the growth of debt, much less reductions in debt will be viewed negatively by many.  The question becomes whether you want a solution, or you want to continue the disease, and hope for a miracle.

This problem is not limited to the US.  It extends to the Eurozone and China, and indirectly to the rest of the developed and semi-developed world.  In the Eurozone, the ECB and EFSF buy the debts of the weakest nations in order to back the Euro.  Imagine the Fed buying Puerto Rican and Californian bonds.  Ugly, and I hope the Fed does not become more imaginative.  It is too speculative already.

The Eurozone is transforming what was a fringe problem into a core problem and CDS spreads of Germany and France are greater than those of the UK, which has its own currency.  If the Eurozone were a nation, it would be in roughly the same shape as the US, which means not good.

As for China, the government forces loans that are not economic on the banks.  There are many projects that seem to have no economic purpose, but might have political purpose.  Why build ghost cities?  Why build a highway to Xingjang, and plan a model city there?  For the latter it is to control the Uighurs; for the former, I am not sure, aside from distorting GDP statistics.

China also has its issues with owning US debt.  They have to own US debt to keep their currency cheap for exporting.  This is just another way that China discriminates against their consumers in favor of exporters who are political cronies.

Coming back to the US, the Fed encouraged more debt todayby saying that financing rates would remain low for two years.  That may push up asset prices, and allow the highest quality borrowers to borrow more, but is useless in stimulating the economy, because credit spreads do not respond to the Fed when the economy as a whole is overlevered.

The world is led by debt junkies who think that debt doesn’t matter.  They are leading us to a greater crisis where the only thing that does matter is debt, and for political reasons, some governments will not be willing to pay in full.

After the recent piece Waters Uncharted, I received this comment:

Why do you have a large portion of your fixed income portfolio allocated to foreign bonds?

Are you afraid of a large devaluation in the U.S. dollar?

It seems like American corporate balance sheets are very healthy (especially relative to sovereigns and personal balance sheets).

I have a rule.  I look at the spreads offered for various classes of domestic bond risk.  I buy bonds in the areas where I believe the incremental risks are more than adequately rewarded in the spreads.  If few or no areas offer adequate compensation for risk, I invest in foreign debts, because it is a statement that the US Dollar itself is overvalued.

Think of it this way: if I were a Swiss investor looking in at the US, and concluded that the opportunities weren’t great, would I buy anyway?  No, I would look elsewhere in the world for opportunities.

At present, my bond portfolios are invested:

• 40% in Foreign Bonds
• 30% in long US Treasuries
• 20% in preferred stocks, and
• 10% in US Dollar-denominated emerging markets bonds

There are several forces at play here.  The actions of the US Government and the Fed tend to weaken the US Dollar — it’s the additional debt, and low fed funds rates, as well as the residual effects of QE.  So I invest in foreign bonds; it’s not ideal, but it is the best of a bunch of opportunities.

The US is still a safe haven currency.  With the difficulties in the Eurozone, some are giving up yield to gain safety, or at least predictability for now. That’s why the position in Long  Treasuries, and my, hasn’t it run of late.

The preferred stocks reflect a part of the credit market that hasn’t gotten whacked too bad, offering a decent yield for the junior debt on healthy companies risk.

I used to hold more emerging markets debt, but I have been trading out of it as the momentum has been weakening.  Economic troubles are rising in the emerging markets, and the eventual result might be ugly.

Back to the original question, yes, corporate balance sheets are in good shape, aside from the banks. But spreads reflect that or better, and so I don’t want to play there now.

Will any decrease in the valuation of the dollar be large? No, I expect it to be moderate, but yes, a decline.

-==–==–=-=-==-=–=-==-=–=-==-=–==-=-=–=-=-==-

I have a saying, “Fast moves mean-revert, slow moves persist.”  It makes me a little edgy with the long Treasuries, because the move has been so fast.  I may sell some in the near term if prices rocket higher.  If they edge higher, I might not sell.  Flat or slight selloff, do nothing.  Big selloff, sell into it.

Bonds are a funny mix of momentum and mean reversion.  Good bond managers get a sense of when momentum is overdone, and act against it, but follow when the momentum is gentle.

It’s difficult balance.  I remember buying long Treasury bonds in 2006 when the timing was just right.  Hard negative momentum had just broken.  I remember the trader coming back to me weeks later and saying, “How do you do it?” and I said, “I don’t,”  then saying that nothing is certain when you enter into such a trade.  Market sentiment was horrible, so we legged into the trade, nibbling as prices fell, entering the full position as prices began to rise, once the cascade of forced selling abated.  A few months later, we legged out of the position for a good-sized profit in bond terms.

It’s my opinion that bonds trend more than equities, and that it is easier to calculate the downside risk of most positions.  There are cycles:

• Credit
• Currency
• Hedging of interest-rate-sensitivity (otherwise known as duration)
• Liquidity

These are not totally independent of each other, but neither are they totally dependent, which makes the game complex.  At present, credit conditions are declining, the US Dollar is not attractive, except compared to the Euro.  There seems to be a grab for the long end of the yield curve, agents buying bit of the far future, perhaps to fund or immunize long liabilities.  Finally, liquidity seems to be slipping — too many markets with abnormalities in the short end of the yield curve.  That will eventually affect the prices of bonds where the value proposition is less than clear, unless the Central bankers decide to do another round of ill advised “stimulus.”

Enough for now, we’re still in uncharted waters, but maybe we have a few guides to aid us in managing fixed income in an era where monetary policy does not work, and governments borrow madly.

We can’t rely on US Treasuries?  If so, what can you do to preserve purchasing power?  I will ignore a variety of exotic strategies/derivatives and focus on things that can be executed by individuals and small institutions.

The first idea that comes to mind is gold, silver and commodities.  Commodities don’t lie, they just sit there.  But the prices don’t just sit there.  They go up and down with demand and supply.  I’m not an expert there, so I would say keep positions small, enough for diversification relative to volatility.

Idea two is foreign debt of unquestionable solvency.  Well, that takes much of the world off the table, leading to investment in the developed fringe currencies — Canada, Australia, New Zealand, Norway, Sweden, and the Swiss Franc.  Toss in the Yen, though it isn’t fringe.  Not a very large group, and their currencies have run like mad.  Could they fall?  Imagine a US default, where aggregate demand drops across the world because the Treasuries in the banks of other nations are only worth 70% of face value.  Deflation would drive commodities and fringe currencies lower.

Idea three is an echo of two — buy the debts of emerging markets with more orthodox economics than the US, Eurozone, and China.  Nice, but their currencies are high as well.  Same problem as two.

Idea four is buy high quality equities that pay dividends.  There’s a plus and a minus here.  Minus: Equities are highly sensitive to confidence / trends in aggregate demand.  Plus: equities, if conservatively financed have positive optionality, subject to the same problem you have: what is a good store of purchasing power?

Even buying needed resources ahead might not work because demand conditions might be lower going forward.

Idea five is buying high quality non-Treasury domestic debt.  Along with ideas 2, 3 and 4, this seems to be Pimco’s strategy.  But our payments system is interconnected.  Any non-payment, or serious threat of non-payment will disrupt the ability and willingness of others to pay.

Idea six is stay in US Treasury debt — where else can you go?  You’ll get paid back eventually, with interest, most likely…  Hey, TIPS could work in an inflationary scenario.

Idea seven is hold physical US cash.  That should retain value of a sort until the debt ceiling situation is settled.

My main point is that there is nowhere to hide with certainty.  There are places to diversify into, and maybe you should consider some of them as part of a broader asset management strategy.  But avoid changes motivated by panic.  They almost never work.

In a debt-driven world, with fiat currencies, everything is confusing because there is no obvious store of value offering some small (but not near-zero) yield.  A small positive inflation adjusted return is healthy for savers, and good for the economy.  Let the Fed adjust its policy, and then the hiding place would be simple — CDs.

Today, Charles Rotblut, CFA who is the AAII Journal Editor wrote:

Federal Reserve Chairman Ben Bernanke continues to be the enemy of savers. Yesterday, the Boston Red Sox fan reiterated his belief that interest rates should be kept at rock-bottom levels for an extended period of time. He views this as necessary in order to keep the economy growing.

When you run an investment group that is largely composed of retirees and near-retirees, it is reasonable to call Bernanke the enemy of savers, because he is the enemy of savers.  When one can’t earn anything over one year without risk, something is wrong.  Better that the economy grow more slowly, than that savers not get their due for not consuming.

Saving deserves a return.  Let the Fed raise the Fed funds rate by 1%, and they will see that there is no harm to the banks, and little harm to the economy.  Once you have 1% slope between twos and tens you have more than enough oomph to make the economy move.  What, does the AARP have to bring a age discrimination lawsuit against the Federal Reserve to make this happen?  The Fed is discriminating against the elderly.

But now consider another issue — money market funds.  I consider them to be superior to banks because their asset-liability mismatch is so small, and they have generated small losses relative to banks and other depositary institutions.

Prime money market funds in the US have been investing 50% of their assets in the Commercial Paper [CP] of Core Eurozone Banks.  Well guess what?  If the Greeks and other fringe members of the Eurozone default, and the core governments don’t bail the situation out, those holding  CP of core Eurozone banks may take a loss.  And this is at a time where French and German Banks are facing liquidity issues.  Take time to review your money market funds.

The problems of the US and China are significant, but the problems of the Eurozone are pressing.   The endgame there will arrive more rapidly because the underlying structure is unstable.  One currency can’t serve multiple cultures.  Also, there should have been an Eurozone exit plan designed in from the beginning.  It was hubris to think it would never need that level of adjustment.

It seems like the ECB is becoming a repository of euro-fringe debt, and perhaps the IMF as well.  After all, it doesn’t cost the ECB anything to absorb those debts, but it indirectly spreads the risk to the euro-core nations if there is ever a default or unfavorable restructuring.  A central bank can’t go broke, but it can impose problems on those that use the currency if defending the central bank exacerbates other problems in the economy.  (E.g., printing money to cover over bad debts absorbed by the bank, while inflation rolls on.)

On a slightly different level, I’m not sure that the banking regulators in the US or Europe really got the main lesson from the crisis.  Risk management is liquidity management.  I still think that banks rely too much on short liabilities to finance illiquid, longer assets.  One advantage of mark-to-market accounting is that it can reveal those mismatches to investors, or perhaps, to regulators.   Extra capital can help, but it is usually not enough when there is a run on short-term liquidity, particularly because capital is the excess of assets over liabilities.  If there are not enough liquid assets to meet the redemption of liquid liabilities, the result is insolvency.

“But that’s a liquidity problem, not a solvency problem — just give it time and the market will normalize, the assets are worth more than the liabilities anyway.”  But at such a time, no one wants to buy the longer, less liquid, lower quality assets.  If the bank could raise liquidity, it would.  It can’t, so it is not only illiquid, but insolvent.  It’s always cheaper to issue liquid liabilities, because those are attractive to savers and investors, but they a poison in a crisis.

My fear here is that there may be another call on liquidity that forces the Fed or the ECB to backstop banks.  Not sure what would cause it; it’s always hard to pick which straw will break the camel’s back.

Thus I say be cautious at present; have some safe assets available in case we have a panic that emanates out of Europe, and has second-order effects on the US.

In Chess, it is good etiquette to topple your king when the position is hopeless.  Why prolong the agony?

Now, I am only a casual player of chess.  I play maybe  one to three games per year since I turned 25.  I’ll tell you two quick stories.  I played chess on Yahoo! six years ago, and was unrated.  After engaging a game with a “Class C” player, he found himself in a bad position after 20 moves, and said,”You may be unrated, but you are clearly not a beginner.”  I won shortly after that, with him resigning before checkmate.

Then when I was 22, my suitemate at the grad dorm invited me to his father’s 50th birthday party. (Being 50 now, it makes me think.)  A fellow asked me if I would like to play chess.  I said yes, and in a long, closed, ugly game, he crushed me.  I toppled my king, so as not to prolong the agony.  He grinned at me and said, “Good game.  I’m a rated chess Expert.  Want to play again?”

The grin got me, so I said yes though I knew I could not beat an Expert.  I was a Class C player at best.  I was White this time.  I played an aggressive open game and somehow forced a checkmate on move seventeen with his king in the center of the board.  The look on his face was precious to say the least.  Then the surprise came.  An old guy watching behind me said, “You have talent with combinations in open games.  Do not play closed games.  I am a Chess Master.”  He then proceeded to play the Expert, and trounced him solidly.  I did not dare play him, though there was no opportunity.

My personal history in Chess is only here to describe when one should give up.  My view is that the EU should give up on the Euro, and plan now for its demise, going back to individual currencies for each nation.  The experiment has failed.  Topple the King.

If all Eurozone nations collectively give up on the Euro, and it ceases to exist, after a period where national currencies float against the Euro to determine breakup value, that would be a good thing.  We all have known that it is impossible for monetary union to exist without political union, unless a small nation be a slave to a larger one (US-Panama).

Is Greece having a liquidity problem or a solvency problem?  I think it is the latter.  Extensions and additional loans to a country that has structural solvency problems will not solve the problem, but merely extend the problems.

If you are in Germany, France, or the Netherlands, rather than bailing out Greece, take the cheaper route — bail out your banks for losses on Greek debt, and be prepared to do it for other weak Eurozone nations.  Prepare for the dissolution of the Eurozone; it is coming.  Topple the King.

Or , be more aggressive, end the Eurozone entirely because it is flawed in entire, and let national currencies re-emerge.  It will be better for all nations involved.  Germans won’t  have to subsidize others, and Greeks will be able do devalue and survive, as in the past.

To the Eurozone, I say, “Topple the King.”  You should have done it long ago for the good of all.  Free trade is a good thing, but a common monetary policy is not.  Give up before you are checkmated by the global bond markets.  It may come slowly or quickly, but it will come.

PS — to this day, I don’t play closed Chess games.  My winning percentage has gone up.

When currencies do not serve as a long-term store of value, economic actors search for ways to preserve future purchasing power, which often mean purchasing commodities. But most commodities are not cheaply storable over long periods, so actors get forced into the few that do: gold, silver, etc. There is a problem here, stemming from dumb money. When dumb money shows up for purchase of generic “commodities” distortions follow: backwardation, large storage demand, and warped market incentives.

Eventually overproduction catches up, but the volatility when it breaks can be huge and self-reinforcing, with c0unterparties raising margin to protect themselves.  Extreme volatility causes exchanges to raise margin requirements substantially, which reveals which side of the trade is inadequately financed, which typically is the side that was winning, which leads to a reversal in price action.  The dumb money is revealed.

Now after a washout, the dumb money often assumes that powerful entrenched interests colluded against them to deny them their long-deserved free ride to prosperity through speculation.  The exchanges are in cahoots with the other side.  Well, no, the exchanges have two interests, which are solvency and transaction volume, which drives their profits.  Solvency is a more primary goal for an exchange, because the second goal can’t exist without it, and exchanges are not thickly capitalized.

Many different types of financial systems are subject to these risks.  Think of AIG: they were rendered insolvent by rising margin requirements as their creditworthiness was downgraded, largely because the rating agencies concluded they were going to lose a lot of money off of their many bets on subprime residential credit.  Think of all of the mortgage REITs that got killed as repo haircuts rose on all manner of mortgage-backed securities at the time that values for the securities were depressed.  Alternatively, think of Buffett, who entered into derivative trades where he received money and bore the risk, but his agreements limited the margin that he would have to post.

Commodity-linked exchange traded products serve four functions:

1. Allow sponsoring financial institutions to get cheap financing through exchange traded notes.
2. Allow sponsoring financial institutions to inexpensively hedge their commodity risks.
3. Allow commodity producers to have cheap financing of their inventories via backwardation.  (And indirectly allow more clever speculators to earn extra profits from gaming the rolling of futures contracts.)
4. Allow retail speculators who cannot access the futures market to make or lose money.  Scratch  that, that should probably read “lose money in aggregate.”

Wall Street does not exist to do small investors/speculators a favor.  It exists to make money off of the issuance of securities, and their trading in secondary markets.

As Buffett put it, “What the wise man does in the beginning, the fool does in the end.”  Yes, there is monetary debasement going on.  We should expect gold, crude oil, and other commodity prices to rise to reflect that.  But rises can overshoot, particularly in smaller markets like gasoline and silver.

So in answer to the question, “Which came first – the margin call or the commodities mayhem?” my answer is simple: The cause of the bust is found in the boom, not in the bust.  The boom happened because of loose monetary policy, which led many people to adjust their risk posture up, whether in commodity speculation, or in high yield debts.  (Oh wait, there are ETFs for that now too.)  Eventually self-reinforcing booms have self-reinforcing busts.  The elites think they can tame this, but they can’t, because you can’t change human nature, which means you can’t change the boom-bust cycle.

James Grant, at a recent meeting of the Baltimore CFA Society said that we had exchanged a “gold standard” for “Ph. D. economist standard.”  And indeed, the value of our currency is manipulated by that intellectual monoculture at the Fed, who pass Einstein’s test of insanity: doing the same thing over and over again and expecting different results.  I say that because the Fed thinks that it can produce prosperity by reducing interest rates.  All that their policy does is produce an asset bubble, or price inflation in goods and services.

The Fed drove us into this liquidity trap through increasing application of an easy money policy.  It will take different ideas and different people, and a lot of pain to get us out, because the Fed is blinded by their bankrupt theories.

This is the third part of an irregular series on solvency and liquidity.  This time, though, I am not focusing on corporations, or accounting rules, but on countries and municipalities.

With the crisis in the Eurozone, there are times of calm, and then times of panic, with seemingly little warning for transitions.  Let me try to explain why this happens, even though it won’t explain why it happens on a particular day.

A country with a profligate fiscal policy builds up debt beyond its ability to repay if bad times were to come, but times are good, the country is growing rapidly, and most think that there will be more than adequate ability to repay given the growth of GDP.

Or, the financial sector grows of a nation far more rapidly than GDP, abut again, in boom times, the profits of the banks are roaring ahead, and only cowards or bears would question the prosperity of a boom.

But the truth is, during a credit-driven boom (whether governmental, financial, or other), much of the supposed prosperity is a mirage.  The additional leverage pushes up asset prices until the cost of financing the assets exceeds the yield the assets throw off by a small margin.  Economic agents have to rely on capital gains to make money, and that is where bubbles pop, and go into reverse, with a vengeance.

With nations, an overleveraged situation is revealed during a bear market.  Asset prices shrink.  Incomes shrink.  Demand for welfare payments rise.  Governments that relied on expanding asset prices are revealed to be the spendthrifts that they are.

Now, when a government is overleveraged, but interest rates are low, the situation is potentially unstable.  A rise in rates could tip the scales.  Market actors would conclude that they can’t survive at rates high than a certain threshold, so sell the debt now, in case rates would get so high.  That action forces rates higher, leading to a self-reinforcing panic.

Sometimes this happens in advance of a debt refinancing, leading some politicians and bureaucrats to say the forever bogus phrase, “This is not a solvency crisis, this is a liquidity crisis.”  Sorry, if you play near the cliff, don’t complain if you happen to fall off.

Liquidity crises do not happen to governments with low debt levels.  Liquidity crises are solvency crises during the panic phase, before they are revealed to be solvency crises alone.

It is difficult to change government behavior, because the politics of reducing spending, or raising taxes is tough.  Once a crisis hits, there are protests.  People point at shadowy interests that are denying them the illusionary prosperity of the boom; conspiracy theories thrive.

With the Eurozone, there are contagion effects; panics in one nation prompt investors to look at other nations, and leave weak situations.  Crises separate good and bad credits.  That may push bad credits over the edge.  Again, never play near the cliff; always ask, “Could we survive easily in bad times?”

The difficulty for the strong nations of the Eurozone is that their banks lent a lot to the fringe nations that are failing.  Thus the strong are likely to bail out the fringe, though a more prudent course would be to bail out their own banks after a promise limiting lending abroad.  The real political question is what is the price that Germany will charge to bail out the Euro?  What sovereignty will the fringe have to give up?  And what will the German and Fringe electorates tolerate?  Perhaps the intersection set is null.  No agreement.  At that point the Eurozone shrinks or ends.

The proper solution for the Eurozone fringe, and other deadbeats in this crisis, is to negotiate writedowns of debt, and cut them off from borrowing at the rate they were accustomed to receive.  Recognize losses, and wean them off credit.  If not, let them fail, and bail out your own banks, which is cheaper than bailing out the fringe.

Pressures are building.  If the Eurozone survives in its present form, it will be because Germany bailed it out, at some political price that they will specify.  Investors should look at cash financing schedules and balance sheets to evaluate the future solvency of Eurozone nations.

And, lest the US smirk, the same exercise will come here, reserve currency or not.

This is an odd book.  It runs through the year highlighting the US economy data releases week-by-week in 2011.  It describes ways in which the data releases affect the behavior of markets on average.

There are many interesting articles in the book, but there is little in the way of an overarching theme, or anything that might say, “And here is how it could work for you,” even though quants typically only trot out only their formulas that have weakened, while keeping their potent ideas private.

I found it disappointing.  Hey, but maybe someone else will love it.

Quibbles

This book is useless to the average investor, who does not trade futures.  Personally, I have experienced that trading around data releases is usually a zero-sum game.  Part of that is due to the inaccuracy in the data.

Who would benefit from this book:

If you run a quantitative hedge fund, and aren’t aware of the government data news flow each week, or how it can be used for profit, then this is the book for you.

If you want to learn about some obscure quantitative strategies just for fun, this could be a good book for you.

If you want to, you can buy it here: The Quant Investor’s Almanac 2011: A Roadmap to Investing.

Full disclosure: I was mailed a copy of the book without asking for it.

If you enter Amazon through my site, and you buy anything, I get a small commission.  This is my main source of blog revenue.  I prefer this to a “tip jar” because I want you to get something you want, rather than merely giving me a tip.  Book reviews take time, particularly with the reading, which most book reviewers don’t do in full, and I typically do. (When I don’t, I mention that I scanned the book.  Also, I never use the data that the PR flacks send out.)

Most people buying at Amazon do not enter via a referring website.  Thus Amazon builds an extra 1-3% into the prices to all buyers to compensate for the commissions given to the minority that come through referring sites.  Whether you buy at Amazon directly or enter via my site, your prices don’t change.