Low beta + leverage. The leverage is obtained cheaply via Berkshire's insurance and reinsurance business. But I wonder whether low beta investing practiced algorithmically (i.e., without Buffet's stock picking skill, just taking a representative sample of low beta companies, or using some simple selection method) would work. I haven't yet read the AQR paper below and wonder how they adjust for "quality factors". Can I do that too?Buffet's AlphaBerkshire Hathaway has a higher Sharpe ratio than any stock or mutual fund with a history of more than...
Sunday, 30 September 2012
Saturday, 29 September 2012
Unfortunately, the build cost is estimated at $600-800k. I'm more interested in the (presumably cheaper) insulation technologies than in the solar panels. See here for energy usage by housing type; a significant chunk of total US energy consumption goes to heating and cooling buildings.Atlantic Monthly: ... NIST believes that this home – with 10 kilowatts of photovoltaic panels on the roof, and another four solar thermal panels over...
Wednesday, 26 September 2012
(See Moneyball by Michael Lewis.)Let's suppose you're trying to hire a star STEM researcher. For our purposes, define "star" as someone who is roughly top 10% in his or her department at a good research university. Although assistant professors are hired in a very competitive process, the success rate for hiring stars in good (but not the very top ranked) departments is (by definitions given above) only about 10%.Let's suppose you wait a while to do your hiring. Look only at researchers who have already been professors for 5-10 years (i.e.,...
Tuesday, 25 September 2012
This could be a good early example of genetic prediction for a moderately complex trait (e.g., controlled by hundreds or a thousand or so loci). Data from 3,346 individuals with ASD and 4,165 of their relatives from Autism Genetic Resource Exchange (AGRE) and Simons Foundation Autism Research Initiative (SFARI).Predicting the diagnosis of autism spectrum disorder using gene pathway analysis (Nature Molecular Psychiatry)Skafidas E, Testa R, Zantomio D, Chana G, Everall IP, Pantelis C.Centre for Neural Engineering, The University of Melbourne, Parkville,...
Sunday, 23 September 2012
Via Maoxian.Financial Review: ... “The trade over the past two years has been to be short China and go long Chinese corruption,” he says.The trade has been a winner, with commodity prices weakening and Chinese stocks cooling. “But Macau casinos, and companies that sell $500,000 watches and $3000 a bottle cognac have been very strong. These are straight derivatives of Chinese corruption,” Hempton says.Bronte has a strong track record picking Chinese frauds on global exchanges in sectors including cement, travel, medical products and education. By...
This study (PNAS) surveyed 127 professors of biology, chemistry and physics, asking them to evaluate resumes of potential lab managers. Half the pool received a particular resume with a male name and the other half with a female name -- the applications were otherwise identical. There was a significant preference for male applicants over female applicants, and, strikingly, this preference was independent of the gender of the evaluator (professor).Click...
Thursday, 20 September 2012
The biotech industry is, collectively (despite the occasional wins), a huge net destroyer of investor capital. That Complete Genomics was able to go public in 2010 (NAS: GNOM) is crazy: both their business model and technology were unproven -- but that's biotech investing! BGI paid a startup price for a NASDAQ company ... Word on the street: over $100M invested by VCs pre-IPO, with a > $100M raise in the IPO float. NYTimes: Complete Genomics,...
Monday, 17 September 2012
Average height of Swedish military conscripts during the 20th century. Looks like an increase of roughly 1 cm per decade or about 1.5 SD in one century. Not unlike the Flynn Effect over the same period.It was important to generate this curve so that we could properly z score heights of individuals from different birth cohorts. Thanks to my collaborator Laurent Telli...
Great discussion at Marginal Revolution of the debate in Boston Review between James Heckman (economics Nobelist) and others about social mobility and public policy. Heckman admits that cognitive ability is hard to change through early intervention, but wants to argue that "non-cognitive skills" (e.g., conscientiousness, rule-following, long term planning, etc.) can be inculcated. His evidence, however, seems restricted to two small sample size studies.Heckman also appears in a recent This American Life broadcast.Heckman:... life success depends...
Saturday, 15 September 2012
Atlantic writer Hannah Rosin thinks hookup culture is "... an engine of female progress — one being harnessed and driven by women themselves." Commenter at the Atlantic site: "This isn't feminism - this is just a case of women becoming more like douchebag men. Casual sex is fine, but it's hard to argue that people's increasing detachment from each other is a sign of progress."Review of Rosin's book, The End of Men.See also The New Dating Game.Atlantic Monthly: ... I had gone to visit the [Ivy League] business school because a friend had described...
Friday, 14 September 2012
Thursday, 13 September 2012
Highly recommended profile Obama's Way by Michael Lewis:Vanity Fair: ... “Nothing comes to my desk that is perfectly solvable,” Obama said at one point. “Otherwise, someone else would have solved it. So you wind up dealing with probabilities. Any given decision you make you’ll wind up with a 30 to 40 percent chance that it isn’t going to work. You have to own that and feel comfortable with the way you made the decision. You can’t be paralyzed by the fact that it might not work out.” On top of all of this, after you have made your decision, you...
Tuesday, 11 September 2012
DOE's ARPA-E in The Atlantic.I think ARPA-E is a great idea. Civilizations almost always under-invest in basic research. Applied research for which there is a near term possibility of economic payoff tends to be reasonably well supported by the market if institutions such as venture capital or corporate R&D are well-developed. However, increase the expected timescale for economic return by a few additional years and suddenly the amount of non-governmental funding available drops precipitously.The early days at ARPA-E were pretty insane. Its...
It looks like Treasury will make a profit on its AIG bailout stake. As I emphasized in 2008, markets were clearly not pricing credit-related assets properly during the crisis. Strong EMH supporters take note (see also here).NYTimes: ... The Treasury Department announced it planned to sell $18 billion of its A.I.G. stake, putting it on a path to actually turn a profit. It was a remarkable feat and one that nobody — including Treasury Secretary Timothy F. Geithner — anticipated four years ago at the peak of the crisis during the $180 billion bailout...
Sunday, 9 September 2012
The figure above is taken from A model-based approach for analysis of spatial structure in genetic data (Nature Genetics). The paper develops a novel method for extracting geographical origin from SNP data. (However, the panels I display show the results of standard PCA analysis.) An interesting aspect of the method in the paper is that it allows to identify specific genes with a large spatial gradient in allele frequency, which could be a signal...
A member of the ENCODE genomics project (440 scientists working in 32 groups, who recently explicated much of the non-coding region of human DNA) talks to an LHC physicist (CMS: 2000+ scientists from 155 institutions) in this Nature podcast. Despite the shock and awe of big science, I share Wigner's sadness at the modern necessity of specialization. But it is sad to lose touch with whole branches of physics, to see scientists cut off from each other. Dispersion theorists do not know axiomatic field theory;...
NYC Bed Bug Registry.NYC.gov resource.Recent Bed Bug Reports for New York CitySeptember 09Sheraton New York Hotel And Towers I stayed @ Sheraton Towers for 2 nigHilton Times Square I've been staying with my family at Hilton Times SqSeptember 08Vanderbilt YMCA Stayed here for three days in August, 2012 and came hom101 Cooper St Dear Tenant from the 5th floor north side, Perhaps ifSeptember 07455 E 14th St Paramount Hotel300 W 49th St September 0619...
Friday, 7 September 2012
I liked Obama's speech last night -- especially that he actually called for shared sacrifice for the greater good. It didn't quite rise to the level of "Ask not ..." but I suppose that would have been cliche.... This is the choice we now face. This is what the election comes down to. Over and over, we have been told by our opponents that bigger tax cuts and fewer regulations are the only way; that since government can't do everything, it should do...
Ill-gotten gains + giant real estate bubble in China + limited liquid investment options = windfall for top international cities such as Manhattan, LA and London.If the RMB were allowed to float, the short term effect could easily be a decline relative to the dollar, as Chinese investors rush to diversify their portfolios.NYTimes: ... The explosion of wealth in China has created myriad new billionaires eager to diversify their holdings with real estate investments in the United States. Often, they are looking to give their children a plush crash...
Thursday, 6 September 2012
Draghi's ECB initiative of bond buying through "Outright Monetary Transactions" was accompanied by a statement that purchases would be entirely sterilized. I think this implies limitations on the capacity of the program, although I haven't thought it through carefully yet. Markets were up substantially on this news, which I had heard predicted already over the summer by Wall St. types.WSJ: ... Sterilization helps the ECB distinguish its plan from the quantitative easing programs of the Federal Reserve and the Bank of England, which are explicitly...
Monday, 3 September 2012
This New Yorker piece describes the Wachowskis' adaptation of Cloud Atlas, coming soon to a theatre near you.In an earlier post I wrote about the Sonmi 451 chapters of the book, which describe a dystopian future and genetically-engineered "fabricants":My vote for best recent dystopian fiction featuring genetic engineering goes to the An Orison Of Sonmi 451 chapters of David Mitchell's Cloud Atlas. Can't wait to see the big budget movie. Will they retain the Korean peninsula setting? Honorable mention: Margaret Atwood's Oryx and Crake.The trailer...
Sunday, 2 September 2012
Stanley Fish's 2004 essay in the Chronicle of Higher Education on the life of a university leader. Fish was Dean of the College of Liberal Arts and Sciences at the University of Illinois at Chicago. I don't agree with everything in the essay, but it's worth reading.What Did You Do All Day?By Stanley FishOf the many complaining questions that faculty members ask, the one I used to hear most often was, "Why do you administrators make so much more money than we do?" The answer is simple: Administrators work harder, they have more work to do, and they...
Subscribe to:
Posts (Atom)
