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Archive for January, 2010

Admiration a contrarian indicator

Posted in About, Contrarian investment, Stocks, tagged on January 29, 2010 | Leave a Comment »

CXO Advisory Group has uncovered a superb paper Stocks of Admired Companies and Spurned Ones by Deniz Anginer and Meir Statman, which finds that the most admired companies on Fortune Magazine’s annual survey of list of “America’s Most Admired Companies” had lower returns, on average, than stocks of spurned companies from April 1983 through December 2007. [...]

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The trend is your end.

Posted in About, Behavioral economics, Quantitative investment, Stocks, Value Investment, tagged , , on January 28, 2010 | 4 Comments »

In “Black box” blues I argued that automated trading was a potentially dangerous element to include in a quantitative investment strategy, citing the “program trading / portfolio insurance” crash of 1987. When the market started falling in 1987 the computer programs caused the writers of derivatives to sell on every down-tick, which some suggest exacerbated the crash. Here’s New [...]

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Guest Post: Daniel Rudewicz, Furlong Samex LLC on Paragon Technologies (PGNT.PK)

Posted in Activist Investors, Paragon Technologies (PGNT.PK), Stocks, tagged , , , , on January 27, 2010 | 9 Comments »

Daniel Rudewicz, the managing member of Furlong Samex LLC, has provided a guest post today on Paragon Technologies (PGNT.PK). Furlong Samex is a deep value investment partnership based on the principles of Benjamin Graham. Daniel can be reached at rudewicz [at] furlongsamex [dot] com. Anyone Need a (Sanborn) Map? In his 1960 partnership letter, Warren Buffett [...]

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“Black box” blues

Posted in About, Quantitative investment, Stocks, tagged on January 26, 2010 | 6 Comments »

One of the major concerns with quantitative investing is that the “black box” running the portfolio suddenly goes Skynet and destroys the portfolio. It raises an interesting distinction between “quantitative investing” as I intend it and as it is often perceived. For many, the word “quantitative” in relation to investing suggests two potentially dangerous elements: [...]

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The New Yorker on Richard Thaler

Posted in About, Behavioral economics, Stocks, tagged , on January 25, 2010 | Leave a Comment »

The New Yorker has John Cassidy’s interview with Richard Thaler, Chicago School economist and co-author (along with Werner F.M. DeBondt) of Further Evidence on Investor Overreaction and Stock Market Seasonality, a paper I like to cite in relation to low P/B quintiles and earnings mean reversion. Thaler is also the “Thaler” in Fuller & Thaler Asset Management, which James [...]

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List of activist investments for November

Posted in About, Activist Investors, tagged on January 22, 2010 | 1 Comment »

The Official Activist Investing Blog published its list of activist investments for November (My apologies. I’m a little tardy with it): Ticker Company Investor ADPT Adaptec. Inc. Steel Partners AEPI AEP Industries KSA Capital AGYS Agilysys Inc MAK Capital One BKS Barnes & Noble Inc Ronald Burkle CITZ CFS Bancorp Inc. Financial Edge Fund LP [...]

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Montier on net nets: A simple quantitative value strategy

Posted in About, Liquidation Value, Net Current Asset Value, Net Quick Stocks, Net Quick Value, Stocks, tagged , , , , on January 21, 2010 | 9 Comments »

Continuing the quantitative value investment theme I’ve been trying to develop over the last week or so, I present my definition of a simple quantitative value strategy: net nets. James Montier, author of the essay Painting By Numbers: An Ode To Quant, which I use as the justification for simple quantitative investing, authored an article in September [...]

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Nassim Nicholas Taleb and An Apology for Raymond Sebond

Posted in About, Austrian Economics, Contrarian investment, Stocks, tagged , on January 20, 2010 | 3 Comments »

As I foreshadowed last week in The New World, I want to explore Nassim Nicholas Taleb’s Fooled by Randomness and The Black Swan in some depth. The books aren’t strictly about investing, which Taleb regards as a “less interesting, more limited –and rather boring –applications of [his] ideas,” but my interest is in investment, particularly deep [...]

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Guest post: Farukh Farooqi, Marquis Research on Silicon Storage Technology, Inc (NASDAQ:SSTI)

Posted in Activist Investors, Silicon Storage Technology Inc (NASDAQ:SSTI), tagged , on January 19, 2010 | 13 Comments »

Farukh Farooqi is a long-time supporter of Greenbackd and the source of some of the better ideas on this site. He has recently launched Marquis Research, a special situations research and advisory firm. Says Farukh: We provide clients (mainly hedge/mutual funds) with investment ideas in bankruptcies, post reorg equities, activist-driven situations, liquidations, recapitalizations and spinoffs.We currently [...]

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Research comparing the performance of quantitative and qualitative hedge funds

Posted in About, Quantitative investment, Stocks, Value Investment, tagged , on January 18, 2010 | 1 Comment »

Recently I’ve been laying the groundwork for a quantitative approach to value investment. The rational is as follows: simple quantitative or statistical models outperform experts in a variety of disciplines, so why not investing in general, and why not value investing in specific? Well, it seems that they do. A new research paper argues that quantitative [...]

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