6/9/16
(1)BACKGROUND
WSJ 6/8/16. Real estate asset class the best performer over the past 15 years.
REIT Surprise: How Real Estate Crushed the Stock Pickers
Real-estate investment trusts are the best-performing asset class in the market in the past 15 years
6/12/16
(2)BACKGROUND
WSJ 6/9/16. A major global investor (Soros) shifts to a bearish stance and buys gold. This article essentially makes the justification for gold.
A Bearish George Soros Is Trading Again
Billionaire investor sees opportunities to profit from various economic and political issues afflicting the world
(3)BACKGROUND
NYT 6/12/16. Among the more famous portfolio managers are the hedge funds. This excellent article from Dealbook outlines the decline and likely shake-out in this group.
Hedge Fund Managers Work to Stanch Loss of Investors
6/19/16
(4)TEXT: SEE URL GIVEN IN BENCHMARK 2
(5)BACKGROUND
WSJ160617. IEX approved. Driven by institutional investors, this is good news for portfolio managers and investors everywhere.
IEX Gains SEC Approval to Launch New Stock Exchange
Firm profiled in ‘Flash Boys’ notches victory that lets it challenge NYSE, Nasdaq with slowed-down trading
(6)BACKGROUND
WSJ160617. $15B shortfall will grow to $53B in the Government Sponsored Entity (“GSE”) the Pension Benefit Guarantee Corporation (“PBGC”) within 10 years. The shortfall is due to underfunded union plans. The Department of Labor solution is to have all other plans fund the union shortfall.
U.S. Pension Insurer Projects $53.4 Billion Deficit for Multiemployer Program by 2025
PBGC tells Congress it needs $15 billion to keep multiemployer pensions insurance solvent
RELATED: “The basic problem is the assets in the PBGC’s multiemployer insurance program are a fraction of its liabilities. In 2015, the insurance program had a whopping $52.28 billion deficit, with just $1.92 billion in assets and $54.21 billion in liabilities.”
(7)BACKGROUND, except basic definition is TEXT
WSJ160418 Schwab strategies and the roboadviser market…perhaps the best market summary since the inception of the market ~2 years ago. You may need to access via Internet Explorer.
Schwab Moves to Deepen Robo Adviser’s Personalization Features
SECOND THIRD
(8)BACKGROUND
WSJ160628 Fee competition in passive funds – excellent disclosure of fee levels and trends…EXCELLENT CHART ON FEES, LAST 10 YEARS.
Fidelity Just Made Buying an Index Fund Vanguard-Cheap
Money manager to slash prices on more than two dozen funds, putting fees below or on par with Vanguard and Charles Schwab
(9)BACKGROUND except reference to behavioral finance is TEXT (definition), and ‘customized trading algorithms’, a non-HFT, legitimate automation technique.
WSJ160629 “Balancing” is timing, in a world where forecasting is nearly impossible. Key behavioral definition, in application.
Who Made Money in the Brexit Chaos? Machines, Not Humans
In the weeks leading up to the Brexit vote, the trading models at many firms adopted a defensive pose.
(10)BACKGROUND
NYT160629 Yet another reason why cryptocurrency bitcoin is not ready for prime time as a ‘currency equivalent’ portfolio asset.
How China Took Center Stage in Bitcoin’s Civil War
7/1/16
(11)BACKGROUND
WSJ160701 Print p.C.4, or online as below. As result of IEX, now all exchanges seeking a way to make trading fair again. Part of the motivation is to decrease further fragmentation of the market, now officially at 13 exchanges.
The ‘13’ does not include IEX and is derived at by summarizing the 19 actual registered exchanges, see .
NYSE Explores Next Move to Compete With Speed Bumps
Thomas Farley again denounces IEX strategy, but IEX says incumbent exchanges pioneered practices
(12) BACKGROUND
Bloomberg160701. Bloomberg referenced ( )a major study by a highly-respected fund benchmarking firm, CEM Benchmarking ( ). The study is found at the link below.
Over $25T US pension assets, about a third are defined benefit funds. For comparison purposes, average annual return on the index was 7% over the period analyzed. Note references to Sharpe Ratio and ‘Volatility’ (STD DEV and another cryptic measure, which is either beta or beta-related). Note the asset correlation matrix and long bonds.
(13)BACKGROUND, but definitions are TEXT
Owing to various questions on Dark Pools, ATS (Alternate Trading Systems):
Generic definition indicating 45 pools as of 2014. Reference to Reuters report indicating significant market fragmentation, 2008 – 16% of trade non-exchange vs. 40% by 2014. . The fact is no one knows the exact extent.
The difference between ECNs and other ATSs:
The SEC recognizes over 80 ATSs, currently:
Official SEC statement on Dark Pools (some factual errors in this statement based onother SEC sources). Recommends further registration and disclosure.
The States also going after illicit trade in the Dark Pools (The Guardian 1/31/16):
(14)TEXT
SEC – “Trade Execution”.
(15)BACKGROUND
WSJ160705 The yield curve indicates 60% probability of recession.
Yield Curve Shows 60% Chance of Recession, Deutsche Bank Says
7/7/16
(16)BACKGROUND
WSJ160706 The Bridgewater ‘Pure Alpha’ fund off to a bad start. This is the largest fund in the world, and the definition of a fundamental macro fund, and more importantly, an example of a ‘zero beta’ portfolio.
Bridgewater’s Flagship Fund Falters as Another Thrives
Pure Alpha lost about 12% through the end of June, while All Weather rose 10%
THIRD THIRD
(17)BACKGROUND
NYT160715. Nobel laureate Robert Shiller on why land is not a good investment. The natural portfolio benefit is ignored, as is the rental alternative.
Why Land and Homes Actually Tend to Be Disappointing Investments
(18)BACKGROUND
WSJ160718. US pension funds getting killed by low rates. Mercer reports S&P companies liabilities rose to $568B, an increase of $164B this year, to date. PBGC troubles also discussed.
Drop in Rates Swells Pension Burdens in U.S.
Companies struggle to close funding gap, avoid big rise in payments to government insurer
(19)BACKGROUND
WSJ160718. CALPERS reports actual 2015 earnings at .6% vs. 7.5% target. This was the worst performance since fiscal 2009.
Calpers Reports Lowest Investment Gain Since Financial Crisis
Pension fund, for second straight year, failed to hit its internal investment target
(20)BACKGROUND
CFO, July edition, dtd 6/22/16. The shift of defined contribution portfolios to passive strategies, and the legal risk involved. Now fully 1/3 of fund investments are passive. Article describes legal risk – very weak argument.
Passive Aggression
Why 401(k) plan sponsors' motivations for switching to passive investment vehicles could run afoul of ERISA.
(21) DEFINITIONS AND CONCEPTS = TEXT
FOLLOWING ARE THREE ARTICLES WHICH DEFINE ‘ACTIVE INDEX’ aka ‘SMART BETA’ STRATEGIES --- These concepts are the foundation of modern fundamental portfolio management. As a general definition, “non-market weighted indexation” (NMWI) refers to these strategies
- WSJ060614 Jeremy Siegel makes the case for, and defends,NMWI. This is a seminal article on the topic.
The 'Noisy Market' Hypothesis
- WSJ060627 John Bogle and Burton Malkiel argue against non-market weighted indexes and ‘smart’ or ‘active index’ strategies, and other ‘style-based’ strategies, and specifically counter Siegel’s arguments.
Turn on a Paradigm?
- WSJ160508 Malkiel on ‘smart beta’. In a more recent article, Malkiel defines ‘smart beta’ strategies and continues to dismiss the idea as a fee-generating, marketing scam.
Burton Malkiel Is Still an Indexing Fan, but a ‘Smart Beta’ Skeptic
(22)