Valuentum Exclusive Analysis for the Discerning Investor

Symbol Keyword

Sep 16, 2019

Economic Roundtable: Quant Quake, “Quac-cidental Correlation,” and Economic Moats
Image Source: Anders Sandberg. Last week, the markets may have revealed that internals aren’t all that healthy. Major equity markets experienced a “rotation” that reminded many investors of the “quant quake” from August 2007. As Valuentum’s Brian Nelson wrote in Value Trap, “just a few bad days in the market caused a rapid unwinding of many quant long-short strategies (back then). Goldman’s chief financial officer said at the time that the firm was witnessing ‘25-standard deviation moves, several days in a row.’” On the surface, markets last week seemed relatively calm, but as the episode in 2007 revealed the activity last week may just be the calm before the storm. Many are pointing to overcrowded trades in betting against certain factors, while others are saying that many were forced to deleverage. We’re not so sure, and we think it may be the opposite: after years of suffering from lagging “value” returns, we think several quant shops stepped in to take on leverage, betting on a return to “value.” Let's talk about last week's quant quake, spurious correlations (the “guac-cidental correlation, in fact), economic moats and much more.

Feb 12, 2016

Your Hard-Earned Money
Valuentum is releasing its February Best Ideas Newsletter early, February 12, in light of Presidents’ Day weekend.

Jan 26, 2016

Not Doom and Gloom – But Just Cautious…
Let’s go around the world in this note…

Sep 8, 2015

Things Are So Bad They’re Actually Good?
Major economies are in recession and others are far from healthy. That has some investors in the US excited.

Sep 30, 2014

This Just Feels Different…Mr. Brown
We think the correction is coming. Here are 7 reasons why we plan to reduce exposure to cyclicals and add some protection to the portfolios.