Liquidity Timing
Can Hedge Funds Time Market Liquidity? ABSTRACT – Charles Cao and et al. “We explore a new dimension of hedge fund managers’ timing ability—their ability to time market liquidity—and examine whether fund managers can time liquidity by adjusting their portfolios’ market exposure as aggregate market liquidity conditions change. Using a large sample of equity-oriented hedge funds from 1994 to 2009, … Continue reading
Harvard’s Ferguson on China
A good interview of Harvard professor Neil Ferguson on China’s political change and growth prospects. Interestingly, he compares it to South Korea in 1977. Click here for the video
Video Reports – My friend James Xiong’s video interview
Have Correlations Made Your Holdings One Color? Higher correlations paradoxically have caused diversification–and investors’ tools to attain it–to be even more important than they were before. Click here for the link
Buy GXC and FXI
Good time to add in today at the dip. “Market declines came after an executive from BHP Billiton, BBL -3.31% Australia’s mining giant, warned that China’s demand for iron ore will flatten as the world’s second-largest economy cools. Earlier this year, China cut its 2012 gross domestic product growth target to 7.5%, an eight-year low.Additionally, … Continue reading
How far is a gigaparsec?
The scale of the universe portrayed in graphical form. How far is a gigaparsec? A long way. – HTWINS
China’s Equity Market 1
China has both size and growth while other emerging countries only have growth. It has one of the fastest growing economies, most compelling macroeconomic dynamics and high inefficiency in the equity market. China’s equity market is has deep breadth, with over 4,000 companies including A Shares (domestic), B Shares (domestic), H Shares/Red Chips (HK), ADRs … Continue reading
GOAL – Global Strategy Paper: No. 3 – AsiaPac Valuation: What works, and when, 3/12/2012 by Tim Moe
Links between valuation and performance: The historical connections between valuation and performance show that: 1) equity returns are better when starting valuations are low, 2) valuations link best with returns over a 6m-2yr window, 3) extreme valuations have the strongest links with ensuing performance, and 4) valuation/return correlations are stronger at macro cycle peaks and … Continue reading
Is the bull market in bonds over?
What is interesting is – if you see our STARisk allocation on March 1st post, the model clearly did not like bonds. http://finance.yahoo.com/blogs/daily-ticker/pimco-bill-gross-qe3-inflation-muted-growth-way-115229488.html
7.5%
I think 7.5% is a good thing and I am bullish on China: 1) They want to set up a target that they always beat, more than 50bps historically. 2) The local/provincial governments all try to beat the target by a lot. So a lower target from the central government will reduce the pressure on … Continue reading
AQR Insight Award Update
Countercyclical Currency Risk Premia Hanno Lustig, Nick Roussanov, Adrien Verdelhan Market Expectations in the Cross Section of Present Values Bryan Kelly, Seth Pruitt The Other Side of Value: The Gross Profitability Premium Robert Novy-Marx The Recovery Theorem Steve Ross The Short of It: Investor Sentiment and Anomalies Robert F. Stambaugh, Jianfeng Yu, and Yu Yuan
STARisk 