Newsreel: Rebounds, social markets, Saskatchewan and the “Triple Lindy”
|Jul 20th, 2009 | Filed under: AAA Newsreels, Academic Research, Today's Post | By: Alpha Male||
E.M.H. R.I.P. W.T.F?
In an ironic twist, the Economist suggests that financial engineering (and by extension the hedge funds built with its outputs) are built on the shoulders of the efficient market hypothesis. Yet the much ballyhooed demise of the EMH should, in theory, pave the way for skill-based, alpha-centric returns. In fact, the newspaper even makes the case for hedge funds in this weeks edition:
“…In 1980 Sanford Grossman and Joseph Stiglitz, another subsequent winner of a Nobel prize, pointed out a paradox. If prices reflect all information, then there is no gain from going to the trouble of gathering it, so no one will. A little inefficiency is necessary to give informed investors an incentive to drive prices towards efficiency…”
Confirmation that fund of funds investment is a trailing indicator
Hedge Funds Review reports on S&P’s latest fund of funds asset flow data, observing that “…Investors quick to respond to disappointing returns have been much slower to react to improving performance.”
Is new 130/30 ETF active or passive?
While it’s originators, Andrew Lo and Pankaj Patel call it a “passive” strategy, the model upon which the new Proshares 130/30 ETF is built looks a lot different that a typical passive index. Says Lo: “The quantitative model behind our 130/30 Large-Cap index is based on extensive, robust research on the real-world factors contributing to stock performance.”
(btw,did you know Lo’s first science project was to make a battery out of a lemon. Amazing but true.)
When is a rebound not actually a rebound? More…
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- Newsreel: “Subscription gates”, Darwin and free trade in hedge funds
- Newsreel: Why the Madoff saga doesn’t support “clamping down” on HF industry, 80% of HFs gone by spring, bad things happening to good funds and other ‘09 predictions
- Labor Day Newsreel
- Friday Newsreel: You have to read it to believe it
- Weekly Newsreel