Michael

Author's details

Date registered: January 28, 2012

Latest posts

  1. Economic Growth & Sharemarket Returns … looking for relationships — February 13, 2017
  2. Melbourne Cup … Macquarie Quants take it up a notch — November 1, 2016
  3. Global Economic Data…interactive chart — October 29, 2016
  4. Look for the Signal amongst the Noise — August 17, 2016
  5. Market Inflation Expectations…lower than RBA — June 20, 2016

Most commented posts

  1. The disappearing credit spread…US now at pre-GFC levels — 6 comments
  2. A Must Read on “The Economic State of Australia” — 4 comments
  3. ASX200 to go through 5000!!! — 4 comments
  4. Asset Allocation that considers Asset Weighted Returns — 3 comments
  5. Euro Breakup…very painful indeed — 3 comments

Author's posts listings

Feb 13

Economic Growth & Sharemarket Returns … looking for relationships

Background According to (Elroy Dimson, 2010) the “conventional view Is that, over the long run, corporate earnings will constitute a roughly constant share of national income, and so dividends out to grow at a similar rate to the overall economy. This suggests that fast-growing economies will experience higher growth in real dividends, and hence higher …

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Nov 01

Melbourne Cup … Macquarie Quants take it up a notch

After a few tough years the Macquarie quant team have decided to upgrade their quantitative models. Looks like they’ve gone to a lot of effort so if they get it wrong again it might be quite fascinating to see how they respond. Anyway, for those who are interested … please click here for their quant-based …

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Oct 29

Global Economic Data…interactive chart

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Aug 17

Look for the Signal amongst the Noise

Background When disappointing performance occurs, alarm bells will typically ring in the minds of investors, advisers, asset consultants and perhaps the managers themselves. Investing has only ever been a long game but thanks to the internet, the 24-hour news cycle, social media, etc. etc., it appears that success is expected to occur quickly and this …

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Jun 20

Market Inflation Expectations…lower than RBA

The above chart shows the yields for Australian Government Bonds, both nominal bonds and indexed bonds, as at the end of last week (although you can adjust the pricing date to any trading day of 2016). A simple way to determine the market’s inflation expectations over different timeframes is to simply subtract the difference. If …

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Jun 19

Major Central Bank Interest Rates … interactive chart

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May 30

The influence of equities on multi-asset strategies…both less and more than you think

Background Over recent years many commentators and experts have spoken of the significant risks superannuation funds are carrying with respect exposure to Australian equities. Most notable were comments a few years ago from David Murray, former Chairman of the Future Fund, and Ken Henry, former Federal Treasurer, who both said they had concerns that Australian superannuation funds …

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Mar 30

Australian Equities Market from a Global Equities Perspective…quant- style

It’s well known that the Australian equity market is only around 2% of Global equity markets. When we have allocations that overweight the Australian equities asset class compared to the Global equities asset class in our portfolios, it is typically justified due to the benefits of franking credits, higher dividends, and perhaps familiarity. The primary risks associated with …

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Feb 07

Some Simplisitic Australian Market Analysis … setting a forecast baseline and a few trend-lines

Like all economies, the Australian economy is always facing significant challenges. Since 1970 there has been the 1973 oil crisis and double digit inflation of the 1970s, the 1980-81 recession, further high inflation of the 1980s, crash of 1987, the recession we had to have in 1991, Asian crisis of 1998, global tech crash from …

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Nov 14

Does higher non-market risk produce higher alpha?…and the possible introduction of the Furey Ratio

Background There’s a widely held belief that to create alpha (i.e. positive returns after adjusting for risk…let’s say market risk), a manager needs to make meaningful bets away from the market. That is, stop being a “benchmark hugger”, concentrate the portfolio with best ideas, and/or move the portfolio holdings away from the benchmark and possibly …

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