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Robeco's Pim van Vliet has a new Low Vol book

January 9, 2017 Comments (0)

Pim van Vliet runs one of the oldest and most successful Low Volatility funds in the world, which has now flowered into Robeco’s Conservative Equities brand of funds. It is noteworthy that it is not referred to as “low volatility,” because when he began this strategy in 2006, low volatility was not a ‘thing.’ High Returns from Low Risk is targeted at airport readers and casual investors, and is a quick read—36k words—that makes a profound point: objectively, high volatility...

Why Are Libertarians Irrelevant?

October 11, 2016 Comments (0)

Classical liberalism was the foundation of the American Constitution and is based on utilitarian reasoning that is still popular academically. However, the major parties use libertarian principles selectively: Democrats are pro-choice with respect to abortion, drugs, and gay marriage, while Republicans are pro-choice with respect to business, guns, and schooling. The Libertarian Party, meanwhile, caters to the few who feel very strongly about the gold standard, open borders, or...

Finding Alpha pdf

August 21, 2016 Comments (0)

My book The Missing Risk Premium is a steal at only $15, but my first book, Finding Alpha, is a $65, which is a bit much for anyone not expensing their books. Finding Alpha goes over why the current asset pricing model fails, with lots of evidence, explains why economists still like it, and then in chapters 10-13 shows concrete examples of how investors have actually found alpha.The risk begets return theory is 100 degrees wrong: usually generates a wrong sign, often no correlation. When it...

An Economist's Rational Road to Christianity

February 18, 2016 Comments (0)

One bad thing about blogging, or writing a lot, is that it forces one into a foolish consistency. It is hard to really explore new ideas, because tentative steps will be clumsy. In my new position I'm not incented to blog about finance or politics, and that gave me a lot of time to read as opposed to write. Net result: I'm getting baptized this Sunday (Grace Church, 9 AM service), and everyone's invited. That is, I'm becoming a Christian, not just one who occasionally went to church as a kid,...

Requisite Assumptions for the Persistence of the Low Volatility Anomaly

December 11, 2014 Comments (0)

My new paper was motivated by Frazzini and Pedersen's model of the low volatility anomaly. Though I think it's profoundly wrong, I think it was done well in good faith. Wrong mainly because it still implies people think there's a positive Security Market Line, even though at best it's flat, and wrong also because high vol assets like puts lose just as much money as calls (ie, not linear in beta).  As to it being well done in spite of that, note that unlike Buffa, Vayanos and Woolley...

History of Low Volatility Investing

December 7, 2014 Comments (0)

I saw this story in Bloomberg magazine a couple weeks ago, so I decided to speak with Ric Bratton again on the history of the low volatility effect. I wanted to speak more about other people's work, especially Ed Miller and Bob Haugen, but somehow we missed that (it's one take and he leads).  In any case, here it is.  The risk premium is central to Asset Pricing Theory, one of the main things people learn in business school.  If it’s not true, this generates a very different way...

Piketty's Terrifying Dystopia

July 27, 2014 Comments (0)

OK, after a long absence, I'm posting this book review just because I feel like it:Thomas Piketty's bestselling door-stopper Capital in the Twenty First Century notes some facts that he thinks point to a clear problem and solution:The return on capital over the economic growth rate determines the Capital/Income ratio, where a higher return on capital implies higher level of capital relative to income (r/g --> C/I)The rate of return on capital has been pretty consistently around...

Bye

September 24, 2013 Comments (0)

I've got a new job with Pine River, and I really want my new colleagues to know I'm not going to blab about anything that comes up, so blogging is now really over.  Of course, if you bump into me you can always buy me drinks and try to get me spill the beans, but I should warn you, I can drink a lot of beer. Best.

Historical CBO Budget Projection Highlights Bias

September 17, 2013 Comments (0)

Recently the CBO issued its annual budget projection, and it's pretty benign for the next decade, then climbs at a pretty measured pace.Yet, note that in the last recession our debt relative to GDP doubled.  Given that economists still don't have a good model for predicting business cycles let alone avoiding recessions, we can expect more of them. I think the odds that we elect a modern-day Calvin Coolidge next term are much smaller than the odds the deficit will increase dramatically when...