It sure would have helped if sites like lowvolatilitystocks.com were up back in 2007. It's Bob Haugen and Nardin Baker's new website and has lots of neat references on low volatility. Then there's a wikipedia page on the Low_volatility_anomaly, where I get to discover first hand how misleading Wikipedia is when you are well versed in something. Nonetheless, the Wiki page is pretty good and hopefully will get better over time.In my Kafkaesque litigation I scrambled to find...

This made me chortle. Ritholz was doing an interview on the Facebook stock debacle, and I liked this: To those shareholders who are now underwater and complaining that they accepted a last-minute increase in the allocation of what was expected to be a hot deal only to find out otherwise, Ritholtz says in jest, "What are you going to say, I thought it was a good deal at 100 times earnings. But this 150 times earnings? That's ridiculous."It's funnier when he says it in the video. I know some...

From the HuffPost: Two of the most important financial regulators in the country have a message for Congress: We need more money.And my 4-year old daughter wants a pony. Given we created a brand new financial regulator, the Consumer Financial Protection Bureau, and they plan to spend $448 million next year, why don't we wait until one of these regulators actually creates some kind of thoughtful, new, regulation. What do they think they can do with more money? What rule-breaking is...

If you look at implied volatility, or actual volatility, it goes up when markets decline, and falls when markets increase.  The reigning best explanation is that since most companies have some amount of debt, bad news increases leverage as the firm values fall, and higher leveraged firms have higher equity volatility, ceteris paribus.  While this 'Merton model' explanation explains a little of what's going one, it probably doesn't explain that much in practice.  I mean, it's not...

Here's a snippet from a Bloggingheads diavlog between Robert Wright an Matt Hudson, who wrote The 7 Laws of Magical Thinking:  This is why Danny Kahneman wrote in his latest book Thinking Fast and Slow, that optimism would be the one bias he would most want his children to have.

Recent work emphasizing the importance of group selection highlights the importance of coalitions, and of the conflict between individual and group incentives (eg, Wilson, Haidt).  I found Putin's recent top appointment a good example of how success is influenced by luck and mixed motives:Mr. Putin’s first high-level appointment as president was Igor R. Kholmanskikh, 42, a tank-factory worker from the Urals who is famous for one thing: offering to travel to Moscow with a gang of...

I wasn't really aware of the Ira Sohn Conference, but some very big names were there. As Richard Posner pointed out, however, intellectual reputation invariably lags achievement, so the biggest names almost by definition are over the hill. A great example of this was Ronald Coase, who remarked upon winning the Nobel Prize in 1991, "it is a strange experience to be praised in my eighties for work I did in my twenties." In any case, last year's recommendations generated an average return...

MSCI is very good at creating indices, and their Global Minimum Volatility Index is intriguing (BB ticker M00IWO$P). If I plot its return again a simple average of my Minimum Variance portfolios drawn from the UKX, NKY, MSER and SPX indices (UK, Japan, Europe, USA). They line up pretty well.  Mean returns and standard deviations are basically identical over the period for which I have MSCI Global Minimum volatility data. My index is created by taking all the constituents of these major...

If you listen to the first 20 seconds of this clip, you'll hear a simple proposition about risk and return from a top-rate finance professor, John Geanakoplos. The problem is, though it isn't really clear, he is talking about a risk akin to a default rate, and a return like a stated yield.  It's not really central to this particular lecture, but its the kind of throw-away assertion that highlights experts take the risk premium for granted, even though it's as common as a jackalope for...

I was working out watching Jamie Dimon squirm like a worm, reminding me of Lawrence Summers pathetic recant of his rather innocuous speculation about gender talent distributions.  If a bank with $140B in market cap and over $2000B in assets loses $2B trading credit insurance, it sounds like no big deal, yet everyone, including Dimon, saw this as a a 'terrible, egregious, inexcusible mistake.' Dimon noted he had $8B in profits in their 'banking book' related to these...