2013
The New Active
We can now connect cause to an effect retrospectively. What happened to India? Are we going to Nifty 4,500 or is Nifty at 8,000 still running? Apart from the ongoing payment crisis that dampens confidence, the rupee scare, the falling Nifty, there are actually job losses and downsizing. So, the ongoing seasonality could be serious. […]
The New Active
The New Active Now that we have a series of passive styles (Worst20, Extreme Reversion and Relative Performance), we decided to get more dynamic with our active models. We started with a few objectives. First; more focus on capital conservation. Second; is to avoid a 2008 like negative outlier recurrence. Third; is to protect gains. […]
RMI beats STOXX 50
The RMI EUROPE 50 is rebalanced twice a year and has delivered 5.7% annualized from Aug 2010 compared to -1.8% for STOXX50. Though ORMI is based on a statistical universality that leads to outperfomance compared to an underlying UNIVERSE (STOXX50 in this case), the current model has delivered an unparalleled feat by beating the STOXX50 every year since […]
RMI Europe Active
The RMI EUROPE ACTIVE 10 has an average holding period of 35 days for each trade. The ORMI delivered 8% annualized from 2007 with half the volatility at 10% compared to the selection UNIVERSE STOXX 600, which returned -3.9% annually, at a volatility of 22.8%. An event like 2008 can challenge all active models. ORMI […]
Killing the Insider
Killing the insider Now with SAC Capital Advisors, a multi-billion dollar hedge fund, under attack and potentially ready to shut shop, one wonders what is getting destroyed or created in this process. Who should be excited? Who should feel distraught? Is it destruction? Rajat Gupta’s wiki page labels him as a corporate criminal before talking about his […]
The Drunkard’s Walk
In 1827, Robert Brown saw a random movement of pollen particles in water. This was called Brownian motion, also the drunkard’s walk. In 1902, Einstein proved this and confirmed the presence of atoms and molecules. This was 100 years after the atomic theory was proposed by John Dalton and was the first attempt to reconcile wave and […]
The Drunkard's Walk
In 1827, Robert Brown saw a random movement of pollen particles in water. This was called Brownian motion, also the drunkard’s walk. In 1902, Einstein proved this and confirmed the presence of atoms and molecules. This was 100 years after the atomic theory was proposed by John Dalton and was the first attempt to reconcile wave and […]
The Rupee Scare
The rupee scare Scare is an emotional need Like we need soap operas, we need things to be scared of. Emotions are why we live, so if we don’t have greed and fear, we might not feel alive. This is true with markets. How we interpret indicators (a currency) could also be linked with how […]
The Spiritual Gold
Divergence There are many reasons for the divergence between what happens to gold in India and worldwide. Gold is always a buy in India compared to the world. No wonder the state considers it a problem, puts restrictions on imports and is concerned on how to address this obsession. If there is something at the top of […]