Geoff Considine

http://quantext.com
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303 Comments

    • Fri Nov 14th 15:31 PM | Rating: +2 0
      Commented on:
      Should We Really Bail Out the Big Three Automakers with $73.20 Per Hour Labor?
      Wow--what a dialog. Its a pity people can't keep it more civil. Anyway, the point that everyone seems to be missing is this. The taxpayer is going to bail out GM and Ford because they are going to go bankrupt otherwise. I own a small business. If I don't make a product people want at a price they can pay, I will go out of business. This is the way of the world. If a company cannot make a product that makes them economically viable, they should fail. Period. If GM and Ford could pay their workers $300K a year and still stay in business, more power to them! This is not about "fairness" of wages--its about the way that a business can survive. If GM and Ford can't survive the way they do business, they need to change how they do business or fail. I hate the idea that we are going to tax waitresses, and teachers, and nurses, and construction workers, and everyone else more in order to subsidize GM and Ford. That just seems wrong to me. I have worked my butt off in starting my small business but I would not expect a government handout to stay in business---these auto companies are essentially saying they deserve to be on welfare. If a company is failing, they need to do many things--perhaps one thing is to lower salaries and bonuses to workers and management. This is basic common sense.

      We, as taxpayers, should not debate whether the auto workers are "worth" their salaries. This is the whole problem with the government bailout. Workers justify their salaries by helping a company turn a profit. That should be the basis for salaries. If the companies cannot turn a profit, they need to work it out themselves or fail.
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    • Wed Nov 5th 12:41 PM | Rating: 0 0
      Commented on:
      The Shallowest Generation
      This is a great article and it clearly resonates with a lot of SA readers. What is so shocking is simply that so many people--the largest generation in American history--threw responsibility out the window, partied like rock stars for decades, and are apparently prepared to visit the costs of their decisions on the children and grand children.

      There are many responsible Boomers, but the generation as a whole has been profligate.

      View article »
    • Fri Oct 24th 11:34 AM | Rating: 0 0
      Commented on:
      Testing Forward Looking Asset Allocation
      Flav:

      Allowing the model to short would be a good addition to the analysis--perhaps a follow up. Frankly, this study is a starting point for more. Validation is a long-term process and there are so many ways to stress test. Pete Manhardt, my co-author who did the analysis, has created a platform for doing a wide variety of interesting studies.

      Geoff
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    • Thu Oct 23rd 17:27 PM | Rating: 0 0
      Commented on:
      Testing Forward Looking Asset Allocation
      SmartETF:

      When I ask for evidence, what I am interested in is some kind of documented record. You said

      "If you want proof that Extreme Value Theory works check out my fund Aston Smart Portfolios Allocation Fund 'ASENX'. "


      You suggested ASENX as evidence of your better approach and it has not out-performed a generic benchmark so far--it tracks perfectly in fact with a target date fund with the same FI allocation (STLBX). But ASENX has like 400% annual turnover which means that you would need to dramatically out-perform if this were a taxable account, too.Your mutual fund using your approach certainly counts--and we can keep an eye on that.

      Just saying that your method is superior or mentioning things like GARCH or EVT does not provide any concrete support---its just jargon until you demonstrate something. This is where publications are really useful--you can publish examples from your models on a forum like SA and then see how they have done. You could also have an objective / standard model that other people can test--as I have discussed in my article here.

      View article »
    • Thu Oct 23rd 16:52 PM | Rating: 0 0
      Commented on:
      Testing Forward Looking Asset Allocation
      SmartETF:

      As far as I can see, ASENX does nothing special--the holdings show it has 60% or so in bonds and a bit of cash. Compare it to STLBX which is a target date fund with about 60% in bonds and cash and they track perfectly:

      finance.yahoo.com/q/bc...

      Please tell me/us what is special about this? Is this proof of a superior model?

      View article »
    • Thu Oct 23rd 15:28 PM | Rating: 0 0
      Commented on:
      Testing Forward Looking Asset Allocation
      To SmartETF:

      It has been suggested to me that you are a representative of the firm Smart Portfolios LLC. Please confirm or deny this. Further, if you are, despite your fantastic claims, I note that the mutual fund based on your models is not performing especially well (ASENX) given that it is 60% fixed income. If you are not from this firm, I apologize for the mixup. If you are touting the models from this firm, theb track record of ASENX will speak for itself and perhaps confirm your claims in some way.

      View article »
    • Thu Oct 23rd 14:18 PM | Rating: 0 0
      Commented on:
      Testing Forward Looking Asset Allocation
      SmartETF:

      As always, we have a post from somone with no public analysis making extravagant claims. If you are credible, you need to show some meaningful analysis aside from diatribes attacking other peoples' articles. Please--give us some links to evidence that your approach works. Even Mandelbrot says that his approach is not ready for application. In all your posts, you make tremendous claims, but where is the evidence? You have provided none. Your comments do not address mine--they are just your standard diatribe.

      View article »
    • Wed Oct 8th 12:39 PM | Rating: 0 0
      Commented on:
      Tactical Asset Allocation, Part II
      Oleg:

      QPP uses three years of data to initialize the model as the baseline input--but projections have been extensively tested out of sample over decades. Black Swans may exist that defy the model---no one did well with 9/11 or 1987 crash---fair points. I have written about testing for extreme tails in a range of articles if you are interested.
      View article »
    • Wed Oct 1st 14:59 PM | Rating: 0 0
      Commented on:
      Tactical Asset Allocation, Part I
      Mynion:

      Okay--here's the argument: Volatility (up or down) represents the markets uncertainty as to how to value the future earnings stream of a company--this uncertainty is a measure of risk. An investment with very high skewness (asymmetry between upside and downside) would have important implications but realized volatility is a measure uncertainty and the magnitude of changes in opinion in the overall market. Frankly, I have nothing against modeling skewness but every increase in statistical complexity brings its own challenges. Estimating skewness is harder than estimating variance because skew is a cubed statistic...a few data points can easily sway the stats. I do lean towards the simplest possible models--you are correct--largely because additional parameters lead to their own issues.

      Geoff
      View article »
    • Tue Sep 30th 13:50 PM | Rating: 0 0
      Commented on:
      Tactical Asset Allocation, Part I
      To phdinsuntanning:

      If you can time the direction of the market well enough to consistently be short when the market is going down (and vice versa), you don't need to worry about things like SAA, TAA, or risk management--you will make such large returns that you will own a large investment bank in no time at all. My writing is for those of us who lack your powers.
      View article »
    • Mon Sep 29th 12:05 PM | Rating: 0 0
      Commented on:
      Risk Management and Concentrated Positions
      Flav:

      I profiled a couple of homebuilders back in March:

      seekingalpha.com/artic...

      Ouch!! I have not run them recently.

      Geoff
      View article »
    • Thu Sep 18th 17:17 PM | Rating: 0 0
      Commented on:
      Is There Good News in This Market?
      Larry:

      Bravo! Amidst all the fear that the sky is falling, it is worth looking at the longer landscape of investing. Investing is risky--and it is precisely the ability to bear that risk that equity investors are paid for! If the markets couldn't drop severely, there would be no equity risk premium. We never know what the next crisis will be, but there will always be a next crisis and it will always be something else--some other confluence of events.

      Geoff
      View article »
    • Thu Sep 18th 17:11 PM | Rating: 0 0
      Commented on:
      A Flight to Safety, But What's Safe Now?
      One thing I find odd is just how risk averse people are when risk shows up. Conservative estimates put the long-term standard deviation of annual return on S&P500 at 15% and then say 8% nominal expected return. 2-standard deviation events happen--and that would be an annual return of -22% (8%-2*15%). Why do people assume the entire system is going donw the tubes? I do not believe that this is a black swan--though I may yet be proved wrong.
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    • Tue Sep 16th 16:09 PM | Rating: 0 0
      Commented on:
      The Nature of Risk
      Flav: the chart of mine you asked about is from the earlier article I wrote on this topic--and there is a link to it right below the chart. The calculations come directly out of QPP's forward projections. The only inputs are historical price data--no credit ratings or fundamentals, though I showed earlier that QPP's projected tails map quite nicely to Moody's market implied ratings that are derived from Credit Default Swaps.

      QPP suggests that a portfolio of all individual stocks--even a fairly small number (<20) can provide a well-diversified portfolio that is near the efficient frontier--though commodities almost always improve the portfolio somewhat. In fact, a lot of my point with the first article on this topic was to show that a concentrated portfolio of stocks can be as well diversified and no more risky than many mutual funds that contain hundreds of stocks. BUT you must choose those stocks with care, understanding and being able to estimate their default risks.

      View article »
    • Tue Sep 16th 16:03 PM | Rating: 0 0
      Commented on:
      The Nature of Risk
      Jmorace:

      Nothing in my analysis assumes an infinite holding period--where did you infer that?


      View article »
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