• A Simple Hedging System with Time Exit
    This post is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn. It was inspired by H. Krishnan’s book The Second Leg Down, in which he referred to an interesting research paper [1] on the power-law behaviour of the equity indices.  The paper states,We find that the distributions for ∆t ≤4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent α≈ 3, well outside the stable Levy regime 0 & [...]
  • Historical Default Rates Do Not Predict Future Defaults
    Yesterday, Bloomberg published an article arguing that the current credit risk is low because the default rate is low,Insulated by cheap money from the QE era and bolstered by cash on their balance sheets, it remains rare for companies in Europe and the U.S. to miss debt payments. Among higher-risk speculative-grade firms the default rate fell to 2.9 percent last quarter, and may drop further to 2.1 percent by year-end, according to Moody’s Investors Service. And only one investment-grade firm [...]
  • Are Collateralized Loan Obligations the New Debt Bombs?
    Last year, in a post entitled Credit Derivatives-Is This Time Different we wrote about credit derivatives and their potential impact on the markets. Since then, they have started attracting more and more attention. For example, Bloomberg recently reported that collateralized loan obligations (CLO), a type of complex credit derivatives, are becoming a favorite financing vehicle for corporate America....Investors haven’t been able to get enough of the repackaged corporate loans known as collater [...]
  • Einhorn's Greenlight cuts back many top holdings, slices Apple
    Billionaire investor David Einhorn, whose Greenlight Capital is posting some of the hedge fund industry's worst returns, cut back several long-term holdings including Apple Inc , Voya Financial Inc ...
  • Keeping Tesla shares may not be an option for some big funds
    Elon Musk wants to take Tesla Inc private, but some of his big investors may not be able to follow.
  • Major Tesla owner Fidelity trimmed stake last quarter: SEC filing
    Major Tesla Inc shareholder, Fidelity Investments, cut its stake in the electric automaker by 21 percent during the second quarter, before Chief Executive Elon Musk announced his plan to take the...
  • Citigroup shakes up consumer bank and card chief leaves
    Citigroup Inc restructured its consumer bank on Monday, elevating one executive and triggering the departure of another, as the third-biggest U.S. bank moved to improve results.
  • Attention retirement savers: college 529 plans aren't just for kids
    (This version of the August 9 story corrects name in paragraph 19 to Jamie Hopkins from Jeremy Hopkins)
  • U.S. teachers' union urges pensions to cut investment in private prisons
    A labor union representing American teachers on Friday urged pension funds to cut their exposure to investment firms that have funneled millions of dollars into private prisons, saying the companies...
  • Third Point took new stake in NXP Seminconductors: filing
    Billionaire investor Daniel Loeb's hedge fund made a string of new investments in the information technology sector, including buying 10.7 million shares of NXP Semiconductors NV, during the second...