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Commodities are not Stocks | Mount Lucas Blog
https://blog.mtlucas.com/2015/08/10/commodities-are-not-stocks
Commodities are not Stocks. August 10, 2015. September 9, 2015. The Bloomberg Commodity Index finished July down 12% YTD and 28% over the last 12 months. It is currently 60% off its highs in June 2008 (remember $150 oil? Several large commodity funds closed in July. Does this asset class make sense? Our answer absolutely YES but commodities aren’t stocks so let’s stop benchmarking and investing in them the same way. 5/11 – 7/15. 7/08 – 2/09. 1/01 – 1/02. 6/97 – 2/99. Where did this bear market come from?
blog.mtlucas.com
April | 2015 | Mount Lucas Blog
https://blog.mtlucas.com/2015/04
Know Your Roll – Commodity ETF Edition. April 13, 2015. April 14, 2015. The biggest macro-economic event in the past year has been the collapse in crude oil prices. Since mid-July, WTI crude oil spot prices are down over 50%. Back in December on the hedging strategy of some U.S. shale drillers which showed that those companies certainly did not anticipate a decline in crude prices like what we’ve seen. Continue reading →. The US. as a Small Open Economy? April 9, 2015. May 22, 2015. August 4, 2016.
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August | 2015 | Mount Lucas Blog
https://blog.mtlucas.com/2015/08
Commodities are not Stocks. August 10, 2015. September 9, 2015. The Bloomberg Commodity Index finished July down 12% YTD and 28% over the last 12 months. It is currently 60% off its highs in June 2008 (remember $150 oil? Several large commodity funds closed in July. Does this asset class make sense? Our answer absolutely YES but commodities aren’t stocks so let’s stop benchmarking and investing in them the same way. Continue reading →. Stabilityor a Coiled Spring? August 4, 2016. The Bond Black Swan.
blog.mtlucas.com
mtlucasmacro | Mount Lucas Blog
https://blog.mtlucas.com/author/mtlucasmacro
Stabilityor a Coiled Spring? August 4, 2016. August 5, 2016. Continue reading →. The Bond Black Swan. July 20, 2016. Here is a little thought experiment. Let’s compare the results of buying a basket of momentum stocks (single factor concentrated basket, price momentum) with the results of a basket tempered by volatility (2 factors, momentum (high is good), and volatility (low is good) . The difference between the two models shown below in blue, compared with the 10yr yield in red. June 29, 2016. To his i...
blog.mtlucas.com
May | 2015 | Mount Lucas Blog
https://blog.mtlucas.com/2015/05
May 11, 2015. June 9, 2015. Stabilityor a Coiled Spring? August 4, 2016. The Bond Black Swan. July 20, 2016. Algorithm Aversion: On Models and The Donald. June 29, 2016. Bullard, Regime Switching and Trend Following. June 22, 2016. Trend Following in a Low Rate Environment. April 21, 2016. This commentary may not be copied or distributed without the express written consent of Mount Lucas. Blog at WordPress.com.
blog.mtlucas.com
Mount Lucas Blog | Inductive Macro | Page 2
https://blog.mtlucas.com/page/2
The False Precision Black Hole. September 9, 2015. September 9, 2015. When I started at Commodities Corporation in 1979, we managed $100MM dollars. We had computers that sat on raised floors in climate controlled rooms. We were state of the art.and we still had 100 employees. Alas, fees were higher, but my point is that advancing data availability and data processing has been a boon to the investment industry. Can she really think this can work? Commodities are not Stocks. August 10, 2015. Several large ...
blog.mtlucas.com
Where has all the alpha gone? | Mount Lucas Blog
https://blog.mtlucas.com/2015/03/10/where-has-all-the-alpha-gone
Where has all the alpha gone? March 10, 2015. June 12, 2015. Where has all the alpha gone (to paraphrase a 60’s protest song)? Update: A version of this post was published recently in P&I. Click here. Everyone is in a lather about… →. Stabilityor a Coiled Spring? August 4, 2016. The Bond Black Swan. July 20, 2016. Algorithm Aversion: On Models and The Donald. June 29, 2016. Bullard, Regime Switching and Trend Following. June 22, 2016. Trend Following in a Low Rate Environment. April 21, 2016. PAST PERFOR...
blog.mtlucas.com
“Simple Enough To Be Good” | Mount Lucas Blog
https://blog.mtlucas.com/2015/07/06/simple-enough-to-be-good
Simple Enough To Be Good. July 6, 2015. July 6, 2015. I just read a great book. By Dan Ward. It articulates wonderfully a philosophy that underpins everything we do here at Mount Lucas, something that we feel is incredibly important for investors to understand, and that investors in general are moving away from. The book isn’t finance based at all, a quick and easy read. The basic premise is summed up with the quote below:. 8220;It is very hard to be simple enough to be good.”. August 4, 2016. PAST PERFO...
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The U.S. as a Small Open Economy? | Mount Lucas Blog
https://blog.mtlucas.com/2015/04/09/the-u-s-as-a-small-open-economy
The US. as a Small Open Economy? April 9, 2015. May 22, 2015. Quite strikingly, over the last two decades, U.S. monetary policy seems to be operating via the currency, not via interest rates. One can argue that enormous global capital flows now dominate the U.S. interest rate picture. Changing monetary policy conditions are therefore reflected in the movements of the dollar. Consider the table below:. Six-month non-farm payroll avg. Fed funds implied forward rate. What might change all of this? PAST PERF...
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March | 2015 | Mount Lucas Blog
https://blog.mtlucas.com/2015/03
Everyone is in a lather about…. March 27, 2015. April 13, 2015. 8230;the disconnect between retail sales and jobs. But check out this chart:. The same thing happened in the mid 90’s, an absolute boom period. What was going on? Gas prices collapsed, just like now. Gas as a percentage of total sales has dropped by a third. Even stripping out gasoline isn’t totally clean either – the likes of Costco, Walmart and WaWa all sell gas as well. Continue reading →. Where has all the alpha gone? March 10, 2015.