Category Archives: Quantitative Methods

Goes Down Double-Speed (Update 2)

This is the third time I have written this article during this bull market.  Here are the other two times, with dates: Goes Down Double-Speed 2/17/2011 Goes Down Double-Speed (Updated) 5/22/2013 The first time, we had doubled since the bottom.  Second time, up 2.5x.  Now it is a triple since the bottom.  That doesn’t happen often, and […]

Avoid Illiquidity

There are several reasons to avoid illiquidity in investing, and some reasons to embrace it.   Let me go through both: Embrace Illiquidity You are offered a lot of extra yield for taking on a bond that you can’t easily sell, and where you are convinced that the creditor is impeccable, and there are no […]

Book Review: What’s Behind the Numbers?

This is an ambitious book.  It tries to draw together financial statement analysis, value investing, short-selling, technical analysis, market timing, and portfolio management into one slim book of 254 pages. It spends the most time on financial statement analysis, going over revenue recognition, inventories, and all of the squishier areas of accounting that most industrial companies […]

Industry Ranks May 2014

My main industry model is illustrated in the graphic. Green industries are cold. Red industries are hot. If you like to play momentum, look at the red zone, and ask the question, “Where are trends under-discounted?” Price momentum tends to persist, but look for areas where it might be even better in the near term. […]

Book Review: The 52-Week Low Formula

I usually don’t like reviewing books that say, “Follow this formula, and you will make lotsa money.  Thus it was with some hesitance that I requested this book.  I did it partly off of Tweedy, Browne’s study, which is aptly titled, “What Has Worked in Investing.”  For those reading at Amazon, Google “Tweedy Browne What […]

An Alternative to the Efficient Markets Hypothesis

I read an article today, The Fallibility of the Efficient Market Theory: A New Paradigm.   Good article, made me look through a major article cited: An Institutional Theory of Momentum and Reversal. The former article explains in basic terms what the authors have illustrated.  The latter article, provides all of the complex math.  I get 50%+ of […]

Yet Another Letter from a Reader

I get a lot of interesting letters — here is another one: First, let me say how much I appreciate your blog. I started my career in sellside research covering life insurers (after interning in insurance M&A). Your posts on insurance investing were invaluable in developing my understanding of the industry. My superiors did not […]

The Rules, Part LVIII

Can contingent claims theory for bond defaults be done on a cash flow/liquidity basis?  KMV-type models seem to fail on severely distressed bonds that have time to breathe and repair. We’re getting close to the end of this series, and I am scraping the bottom of the barrel.  As with most aspects of life, the […]