quite a moment in the momentum factor, something new or more of the same?
i will unlock a bunch. for whatever annoying reason substack keeps relooking then after some period of time.
Hi, I was thinking of going back and reading some of your older posts but unfortunately all of them are locked. I used to be a paid subscriber but it's locked even for me. Is there a way to unlock? Also is there a way I could contact you directly? Thanks
Hi Mr. Blonde - are you planning on writing again? It's been nearly 3 weeks.
early subs got a monthly discount and won’t be subject to any fee increase through 2024. i understand the confusion, unfortunately it’s the way substack payment system operates….doesn’t allow a predetermined start date.
Hey mr blonde, not sure how to contact you.
But i subbed early October (when this was supposed to be free) and have since been charged twice.
Once in October and once in November by substack.
Is this an error?
Hi Mr Blonde,
Could you please let us know where to find literature or any materials on the "Risk Factor" as shown in the table in this article? I've tried looking on SSRN but so far have not found much. This is an interesting paper but does not answer the question:
Another paper suggested the following:
Value-Growth Premium = Value stocks minus growth stocks
Momentum Premium = Winning stocks minus losing stocks
Illiquidity Premium = Illiquid securities minus liquid securities
Credit Risk Premium = Risky bonds minus safe bonds
Volatility Risk Premium = Selling out-of-the-money puts offset by stocks or calls to produce market-neutral positions
Thank you for great content! Happy Thanksgiving!
Could you tell thought about buy long (speculatively, mid term) vietnem market VNM, VOF etf (diversify assets in a portfolio)? We see a huge volume to buy VNM and the price of VNM in the area of historical lows. In general, good indicators for economic growth.
I'm with B, being a taker of ideas and I don't have strong opinion. Personally, I'm being open to inflation not come crashing down next year as when inflation prints this high, history seems to suggest it can be a longer process on its path lower (sure, one can find differences in past circumstances vs today). But regarding the '87, 98, 20 examples, if financial conditions start to loosen to much I would guess that would make the fomc pretty uncomfortable, particularly if we haven't seen several prints suggesting lower inflation. It may be possible that the current terminal rate still needs to rise next year. Productivity and the natural rate of unemployment may be potential influences.
It strikes me as a reflection of positioning being way offsides and chasing rather than a change in leadership. The long/short version results in unprofitable tech and crypto bouncing while the sector neutral is the long only active manager version of the same.
I'd struggle to expand upon Marc's comment or Mr B's analysis really. To dumb things down, it's easy to see the markets excitement at CPI rolling over and positioning was very negative.
It's a confusing time, phase 1 of the market meltdown is seemingly drawing to a close, re the inflation dynamic. Well in the months ahead in any case. The market cheers.... But like Mr B has reiterated so often, here come the earnings downgrades.
It's the in between bit I'm struggling with! With inflation subsiding, the FED slowing the pace of rate hikes and the dollar falling the market could indeed run with this for a number of months.
It's easier to sit on my hands at the minute!
Sometimes the conclusion is more simplistic...we’re in a bear market driven initially by QT to attempt to combat inflation caused by years of QE...leading to P/E compression
What has happened in every bear market I’ve ever experienced...9 of them going back to 1966 are bear market rallies fueled by short-covering and hope that the worst is over.
We are in a bear market triggered by QE stimulated asset inflation undone by Inflation concerned QT which has resulted in P/E contraction. Now we transition, which Mr.Blonde has talked about, to an earnings implosion and a recession that drives P/Es even lower.
My advice Mr. Blonde, from an ardent fan, is to go back to your previous post...actually the best way to gauge someone’s usefulness as an analyst, where you posited that 17.5 times NTM earnings would cap the rally...conveniently at the 200-dma ...don’t throw in the towel based on factor analysis...machines can only override fundamentals in the short-term...ultimately earnings will drive prices...look back to 1973/1974 to find a comparable period...I lived through that and survived by not turning prematurely bullish.
I remember in 2000 the semis peaked around March, the wireless stocks around June, about the time the apparel retailers were giving P&F buy signals and go on to be leaders for the next few years. AEO comes to mind. I'm watching this as I suspect a repeat in "old" retail.