Posts Tagged ‘alpha’

WARREN BUFFETT’S POOR RISK ADJUSTED RETURNS

WARREN BUFFETT’S POOR RISK ADJUSTED RETURNS

Courtesy of The Pragmatic Capitalist 

Here’s something I’d never seen done before – an analysis of Warren Buffett’s risk adjusted returns. Insider Monkey has run an interesting analysis on the Buffett portfolio calculating his alpha since 1977.  The conclusion – as Buffett has aged and grown in size his returns have become substantially worse on a risk adjusted basis:

“Warren Buffett had a phenomenal annual alpha of 19% between 1956 and 1968. Our current analysis shows that his alpha was more than 30% between 1977 and 1981. During the 80′s and 90′s, his annual alpha declined but was still better than 12%. For the ten years leading to mid-2003, his annual alpha stayed around 12% per year. Since then, it started a steep decline; by the end of 2004 it was (still a respectable) 6% per year.  Between 2005 and 2008 Buffett’s alpha averaged only 3% per year. Finally, in the ten years ending in 2009, it went virtually to zero. (For regression results and Buffett’s style drift, visit Insider Monkey)”

Warren Buffett

Is Warren Buffett another casualty of the tough investment environment?  Looks like we can chalk this up under the “many myths of Warren Buffett” file.


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Lack Of Stock Dispersion Hits All Time Record

Lack Of Stock Dispersion Hits All Time Record As Most Stocks Now Trade As One

Courtesy of Tyler Durden

Fundamental analysis is no longer relevant as Alpha has just done one more revolution in its grave: today 1 Year Implied Correlation hit a new all time record, at 79.84 (out of 100 maximum possible), meaning the inverse of the metric, stock dispersion, or the measurement of the variation in individual stock prices, or broadly speaking alpha, is now completely irrelevant. As we have been saying for a year, "investing" is now all about a levered beta bet, using the maximum possible leverage, and sacrifices to Moloch, that the market does not turn before price targets are hit. At this rate we anticipate the next broad or acute selloff will take us to 100 in implied correlation, at which point there will be no benefit whatsoever to trading individual stocks: the entire market will be one big ETF.

As a clarification: the data comes from the CBOE S&P 500 Implied Correlation Index is a widely disseminated, market-based estimate of the average correlation of the stocks that comprise the S&P 500 Index. Using SPX options prices, together with the prices of options on the 50 largest stocks in the SPX. Tied to January 2011 Option Maturities.

h/t Credit Trader


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5 reasons the coronavirus hit Italy so hard

 

5 reasons the coronavirus hit Italy so hard

A nursing home resident in Rome is moved to a hospital. Mauro Scrobogna/LaPresse via AP

Sara Belligoni, University of Central Florida

Italy is one of the nations worst hit by the global coronavirus pandemic. As a scholar in the field of security and emergency management who has studied and worked in Italy, I have determined that there are at least five major reasons why the country is suffering so much.

1. Lots of old people

Italians have the ...



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Biotech/COVID-19

5 reasons the coronavirus hit Italy so hard

 

5 reasons the coronavirus hit Italy so hard

A nursing home resident in Rome is moved to a hospital. Mauro Scrobogna/LaPresse via AP

Sara Belligoni, University of Central Florida

Italy is one of the nations worst hit by the global coronavirus pandemic. As a scholar in the field of security and emergency management who has studied and worked in Italy, I have determined that there are at least five major reasons why the country is suffering so much.

1. Lots of old people

Italians have the ...



more from Biotech/COVID-19

Zero Hedge

Stocks Bid Into Month-End Despite Americans' Unprecedented Scramble For Cash

Courtesy of ZeroHedge View original post here.

Amid an ever-escalating guess at the size of pension fund re-allocations funds (latest we saw was $150 billion) into month-end, both bonds and stocks were bid early on today, but as the day wore on, bonds weakened as stocks gained (driven by record IG issuance-driven rate-locks)...

Source: Bloomberg

But while some are rebalancing into stocks, the scramble for cash among average Americans has almost never been more panicky...



more from Tyler

Kimble Charting Solutions

Tech Testing 9-Year Support, With Fear Levels At 2009 Highs!

Courtesy of Chris Kimble

Is an important Tech Index sending a bullish message to investors? It is making an attempt!

Does that mean a low in this important sector is in play? Humbly it is too soon to say at this time!

This chart looks at the Nasdaq Composite Index over the past 25-years on a monthly basis.

The index has spent the majority of the past 9-years inside of rising channel (1), as it has created a series of higher lows and higher highs. It created bearish reversal patterns in January & February as it was kissing the underside of the top of the channel and...



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Insider Scoop

With Everybody Stuck At Home, Investor Conferences Are Going Virtual

Courtesy of Benzinga

With the world at a COVID-19-induced standstill, many conference organizers have either gone online (Benzinga is one of them) or had to cancel upcoming events altogether. There is no clear timetable on how much longer we will be in this state.

Publicly traded companies are already limited in wh...



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Members' Corner

10 ways to spot online misinformation

 

10 ways to spot online misinformation

When you share information online, do it responsibly. Sitthiphong/Getty Images

Courtesy of H. Colleen Sinclair, Mississippi State University

Propagandists are already working to sow disinformation and social discord in the run-up to the November elections.

Many of their efforts have focused on social media, where people’s limited attention spans push them to ...



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Digital Currencies

While coronavirus rages, bitcoin has made a leap towards the mainstream

 

While coronavirus rages, bitcoin has made a leap towards the mainstream

Get used to it. Anastasiia Bakai

Courtesy of Iwa Salami, University of East London

Anyone holding bitcoin would have watched the market with alarm in recent weeks. The virtual currency, whose price other cryptocurrencies like ethereum and litecoin largely follow, plummeted from more than US$10,000 (£8,206) in mid-February to briefly below US$4,000 on March 13. Despite recovering to the mid-US$6,000s at the time of writin...



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The Technical Traders

These Index Charts Will Calm You Down

Courtesy of Technical Traders

I put together this video that will calm you down, because knowing where are within the stock market cycles, and the economy makes all the difference.

This is the worst time to be starting a business that’s for sure. I have talked about this is past videos and events I attended that bear markets are fantastic opportunities if you can retain your capital until late in the bear market cycle. If you can do this, you will find countless opportunities to invest money. From buying businesses, franchises, real estate, equipment, and stocks at a considerable discount that would make today’s prices look ridiculous (which they are).

Take a quick watch of this video because it shows you ...



more from Tech. Traders

Chart School

Cycle Trading - Funny when it comes due

Courtesy of Read the Ticker

Non believers of cycles become fast believers when the heat of the moment is upon them.

Just has we have birthdays, so does the market, regular cycles of time and price. The market news of the cycle turn may change each time, but the time is regular. Markets are not a random walk.


Success comes from strategy and the execution of a plan.















Changes in the world is the source of all market moves, to catch an...

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ValueWalk

Entrepreneurial activity and business ownership on the rise

By Jacob Wolinsky. Originally published at ValueWalk.

Indicating strong health of entrepreneurship, both entrepreneurial activity and established business ownership in the United States have trended upwards over the past 19 years, according to the 2019/2020 Global Entrepreneurship Monitor Global Report, released March 3rd in Miami at the GEM Annual Meeting.

Q4 2019 hedge fund letters, conferences and more

The Benefit Of Entrepreneurial Activity ...

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Promotions

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Feb. 26, 1pm EST

Click HERE to join the PSW weekly webinar at 1 pm EST.

Phil will discuss positions, COVID-19, market volatility -- the selloff -- and more! 

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Mike will show off the TradeExchange's new platform which you can try for free.  

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Lee's Free Thinking

Why Blaming the Repo Market is Like Blaming the Australian Bush Fires

 

Why Blaming the Repo Market is Like Blaming the Australian Bush Fires

Courtesy of  

The repo market problem isn’t the problem. It’s a sideshow, a diversion, and a joke. It’s a symptom of the problem.

Today, I got a note from Liquidity Trader subscriber David, a professional investor, and it got me to thinking. Here’s what David wrote:

Lee,

The ‘experts’ I hear from keep saying that once 300B more in reserves have ...



more from Lee

Mapping The Market

How IPOs Are Priced

Via Jean Luc 

Funny but probably true:

...

more from M.T.M.





About Phil:

Philip R. Davis is a founder Phil's Stock World, a stock and options trading site that teaches the art of options trading to newcomers and devises advanced strategies for expert traders...

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