Netflix attempts a Global Optimisation … plus the latest release from DJ Dr Fish

If you are like me, you tried to steer clear of Operations Research at university for as long as you could. OR, for those of you who either don’t know or delightedly forgot, is the practical application of optimisation methods to real world problems. Dull but really important if that’s your bag… Netflix has emerged […]

What happens if I know that you know what the Fed knows?

“For all the talk of the challenge facing officials as they orchestrate higher rates with so much money sloshing around, Thursday’s market operations weren’t much different in scale than previous days. And the benchmark rate rose 0.2 percentage point, or 20 basis points on Thursday — practically to the middle of the Fed’s intended range.” […]

The ETF’s subtle advantage over a mutual fund

There is nothing original in this post. However, with a number of mutual funds closing their doors over the last few days, I thought it might be worthwhile discussing why an ETF structure should be more resilient than the standard mutual fund. ETF’s and mutual funds are both derivative securities. Their intrinsic value depends on […]

Not panicking is too hard to do

Most people would have missed the violent reaction of the European currency and bond markets to Mario Draghi’s discussion of the ECB’s policy statement last Thursday. I say ‘violent’ since the currency and bond markets registered movements of +1.5 and -3% respectively, during 15 minutes of trading post announcement. Mario Draghi apparently disappointed the investment […]

Macro Prudential regulation: One bird in the bush is worth more than 10 in the hand

Macro-Prudential controls on Loan-to-Value and Debt-Service-to-Income ratios are the hot topic in banking supervision at the moment.  The IMF, for instance, has been pushing these policies as a means for reigning in housing markets. The premise is that banks are incapable of assessing credit risk on a deal-by-deal basis, and therefore it falls to the […]

Investing in Retail Land: trends we like, trends we hate

Retail investors really get the thin end of the investment wedge. In general, they buy last year’s best performing asset class which then turns sour, or they ignore this year’s ‘dog’ investment which subsequently has its ‘day’. In my experience, the only time I have seen the retail investor outmanoeuvre the institutional professionals was when […]

The best way to spoof is not to spoof at all

The Chicago commodity trader Michael Coscia was convicted of ‘spoofing’ 2 days ago. Spoofing is where a trader submits an order with the intention of canceling it before transacting. The idea is to send a false signal of market demand or supply to trick other traders into believing an imbalance is present. Are traders that […]

The A B C of monetary policy

Which statement is correct? A) Increases in employment leads to increase demand for consumption which in turn forces up prices and inflation. B) Increases in employment leads to increased output which in turn forces down prices and inflation. C) There is no relation between employment and inflation Why do I raise this age-old question? Just […]

Negative US interest rates: the right policy for the wrong reasons

Oh dear, what a pickle Fed President Janet Yellen has got herself into! Just a day after she announces her commitment to a 2015 rate hike, the September US Jobs report reveals a Labour market collapse across the board. If the Jobs data are re-conffirmed next month, then a rate hike is likely to be […]

Converting the annual rebalancing skeptics with a statistical Petri dish

Today’s post reports some research results that I am quite excited about. I must apologise that the research is motivated to help our potential investors better understand our investment process, so therefore it is an advertisement of sorts. Advertisements aside, you should find the results quite interesting. Those of you who are familiar with our […]