A few of the names selling off from recent highs on higher than average volumes.
Sunday, December 2, 2012
VIX- Portfolio Update for Week Ending 11/30
If you recall, I recently began trading (at least via Marketocracy, but if the strategy pans out in a simulated real-time trading environment I will strongly consider incorporating the strategy into my own portfolio strategy) a portfolio utilizing standardized VIX data to trade the S&P 500 either on the long side or the short side. For the week ending 11/30 and since inception, this portfolio gained 0.4% versus a gain of 0.5% on the S&P 500, a 10 basis point relative loss.
Despite this loss, I am comfortable with the performance for the time being. This strategy and the day-to-day trading and investing using the standardized VIX data remains a work-in-progress. It remains a matter of efficiently utilizing the signals (which appear to be robust and that I detailed a numerous times) to make appropriate trading calls. Currently, the portfolio has a 50% weight in the S&P 500 Spider (ticker SPY) with the remainder in TIPS index funds. I continue to debate as to how I want to weight the portfolio positions during transition periods or when no clear signal is provided. The public profile of this portfolio can be found here.
Despite this loss, I am comfortable with the performance for the time being. This strategy and the day-to-day trading and investing using the standardized VIX data remains a work-in-progress. It remains a matter of efficiently utilizing the signals (which appear to be robust and that I detailed a numerous times) to make appropriate trading calls. Currently, the portfolio has a 50% weight in the S&P 500 Spider (ticker SPY) with the remainder in TIPS index funds. I continue to debate as to how I want to weight the portfolio positions during transition periods or when no clear signal is provided. The public profile of this portfolio can be found here.
Short Trading Portfolio Update for Week Ending 11/30
For the most recent week, the Short-Trading Portfolio lost 0.8% versus a gain of 0.50% on the S&P 500. This was due to gains on a number of Mortgage REIT names, but most due to the 3% gain in Express Scripts (ticker ESRX). The mortgage REIT ETF Fund (ticker MORT) and ESRX have increased in recent weeks on significantly weaker volumes and I will stick with these short positions. These losses were partially offset by gains in the short Gold Spider (ticker GLD) and Sector Spider Financials (Ticker XLf) positions.
(Marketocracy's charting function is down. Will update once available.)
Since inception, the portfolio is up 1.7% versus a 2% loss on the market over a similar time period.
(Marketocracy's charting function is down. Will update once available.)
Since inception, the portfolio is up 1.7% versus a 2% loss on the market over a similar time period.
Long Trading Portfolio Update for Week Ending 11/30
For the last week of November, the Long-Trading Portfolio gained 30 basis point versus the 50 basis point gain on the S&P 500, down 20 basis points for the week.
(The Marketocracy charting function is down. The chart of the portfolio's performance will be added once available.)
Since inception, the portfolio is up 3% since inception, or up 4.8% relative to the market over a similar time frame. The outperformance of the portfolio is most attributable to the performance of Alpha Natural Resources and Arch Coal. To a lesser degree, the 1.5% loss on the Proshares Short 20+ year Treasury Bond Fund still beats out the markets 4% loss since inception. The drag on the portfolio comes from the Advisor Shares Ranger Equity Bear Fund (ticker HDGE), which has lost more than 8%. I intend to trade out of this position and will likely roll the proceeds into existing positions.
(The Marketocracy charting function is down. The chart of the portfolio's performance will be added once available.)
Since inception, the portfolio is up 3% since inception, or up 4.8% relative to the market over a similar time frame. The outperformance of the portfolio is most attributable to the performance of Alpha Natural Resources and Arch Coal. To a lesser degree, the 1.5% loss on the Proshares Short 20+ year Treasury Bond Fund still beats out the markets 4% loss since inception. The drag on the portfolio comes from the Advisor Shares Ranger Equity Bear Fund (ticker HDGE), which has lost more than 8%. I intend to trade out of this position and will likely roll the proceeds into existing positions.
Long-term value Portfolio Update for Week Ending 11/30
I remain disappointed with the performance of the long-term value portfolio. Since inception earlier this year, the portfolio is up 1.4% versus a gain of 4% on the S&P 500 over the comparable time period. This 2.6% deficit is about 40 basis points improved over last week, as the portfolio gained on 0.9% versus a 50 basis point increase on the market.
(Marketocracy's graphing function is down. The chart will be added once it is available. )
Looking at the attribution analysis of the portfolio, the largest drags on performance have come from the materials, energy, and consumer staples sector. The performance of the portfolio has been dominated by industrials and consumer discretionary.
(Marketocracy's graphing function is down. The chart will be added once it is available. )
Looking at the attribution analysis of the portfolio, the largest drags on performance have come from the materials, energy, and consumer staples sector. The performance of the portfolio has been dominated by industrials and consumer discretionary.
The Argument in the Floor- The Economist is Arguing That Minimum Wage Laws Increase Employment
The Economist Magazine is arguing is a recent piece (here and below) that minimum wage law can INCREASE employment.I do not know what sort of mental gymnastics the economists and researchers had to do to try to prove their point, but artificially setting the price of any product or service over and above the natural rate will create shortages and excess supply. This is just economics 101.
MINIMUM-WAGE laws have a long history and enduring political appeal.
New Zealand pioneered the first national pay floor in 1894. America’s
federal minimum wage dates from 1938. Most countries now have a
statutory pay floor—and the ranks are still swelling. Even Germany, one
of the few big countries without, may at last introduce a national one.
And in an era of budget austerity and widening inequality, the political
temptation to prop up wages at the bottom by fiat may well grow.
Economists have tended to oppose minimum wages on the grounds that they reduce employment, hurting many of those they are supposed to help. Milton Friedman called them a form of discrimination against low-skilled workers. In standard models of competitive markets, anything that artificially raises the price of labour will curb demand for it, and the first to lose their jobs will be the least-skilled workers.
Yet economic theory allows for the possibility that wage floors can boost both employment and pay. If employers have monopsony power as buyers of labour and are able to set wages, for instance, they can keep pay below its competitive rate. Academic supporters of wage floors, mainly economists on the left, appealed to this logic. But most of their colleagues disagreed; and until about 1990, most empirical studies found that higher minimum wages cost jobs, particularly among young workers.
Then a pioneering case study by two noted labour economists, David Card and Alan Krueger, examined the response of fast-food restaurants to a rise in New Jersey’s state minimum wage. It found that this had actually increased employment. The paper spawned a flood of similar “case-study” research, a flurry of revisionist thinking and a heated academic debate. The most prominent critics of the new research were David Neumark of the University of California at Irvine and William Wascher of the Federal Reserve. They disputed Messrs Card and Krueger’s findings for New Jersey and argued that a comparison of different states over time showed that higher minimum wages hurt jobs.
Almost two decades later, the minimum-wage debate has matured, not least because policy changes have brought heaps of new evidence to analyse. Britain introduced a national minimum wage in 1999. America’s states saw numerous adjustments in their minimum wages, and the federal floor was raised by 40% between 2007 and 2009.
America’s academics still do not agree on the employment effects. But both sides have honed their methods and, in some ways, the gap between them has shrunk. Messrs Card and Krueger moved on to other work, but Arindrajit Dube at the University of Massachusetts-Amherst and Michael Reich of the University of California at Berkeley have generalised the case-study approach, comparing restaurant employment across all contiguous counties with different minimum-wage levels between 1990 and 2006. They found no adverse effects on employment from a higher minimum wage. They also argue that if research showed such effects, these mostly reflected other differences between American states and had nothing to do with the minimum wage.
Messrs Neumark and Wascher still demur. They have published stacks of studies (and a book) purporting to show that minimum wages hit jobs. In a forthcoming paper they defend their methods and argue that the evidence still favours their view. But even they are no longer blanket opponents. In a 2011 paper they pointed out that a higher minimum wage along with the Earned Income Tax Credit (which tops up income for poor workers in America) boosted both employment and earnings for single women with children (though it cost less-skilled, minority men jobs).
Britain’s experience offers another set of insights. The country’s national minimum wage was introduced at 46% of the median wage, slightly higher than America’s. A lower floor applied to young people. Both are adjusted annually on the advice of the Low Pay Commission. Before the law took effect, worries about potential damage to employment were widespread. Yet today the consensus is that Britain’s minimum wage has done little or no harm.
The most striking impact of Britain’s minimum wage has been on the spread of wages. Not only has it pushed up pay for the bottom 5% of workers, but it also seems to have boosted earnings further up the income scale—and thus reduced wage inequality. Wage gaps in the bottom half of Britain’s pay scale have shrunk sharply since the late 1990s. A new study by a trio of British labour-market economists (including one at the Low Pay Commission) attributes much of that contraction to the minimum wage. Wage inequality fell more for women (a higher proportion of whom are on the minimum wage) than for men and the effect was most pronounced in low-wage parts of Britain.
The British way versus the American way
This new evidence leaves economists with lots of unanswered questions. What exactly is going on in labour markets if minimum wages do not hurt employment but reduce wage gaps? Are firms cutting costs by squeezing wages elsewhere? Are they improving the productivity of the lowest-wage workers? Some of the newest studies suggest firms employ a variety of strategies to deal with a higher minimum wage, from modestly raising prices to saving money from lower turnover.
Policymakers face practical issues. Bastions of orthodoxy, such as the OECD, a rich-country think-tank, and the International Monetary Fund, now assert that a moderate minimum wage probably does not do much harm and may do some good. Their definition of moderate is 30-40% of the median wage. Britain’s experience suggests it might even be a bit higher. The success of the Low Pay Commission points to the importance of technocrats rather than politicians setting wage floors. Britain’s small, regular changes may be easier for firms to absorb than America’s infrequent but hefty minimum-wage increases. Whatever their flaws, minimum wages are here to stay.
Nov 24th 2012 | from the print edition
Economists have tended to oppose minimum wages on the grounds that they reduce employment, hurting many of those they are supposed to help. Milton Friedman called them a form of discrimination against low-skilled workers. In standard models of competitive markets, anything that artificially raises the price of labour will curb demand for it, and the first to lose their jobs will be the least-skilled workers.
Yet economic theory allows for the possibility that wage floors can boost both employment and pay. If employers have monopsony power as buyers of labour and are able to set wages, for instance, they can keep pay below its competitive rate. Academic supporters of wage floors, mainly economists on the left, appealed to this logic. But most of their colleagues disagreed; and until about 1990, most empirical studies found that higher minimum wages cost jobs, particularly among young workers.
Then a pioneering case study by two noted labour economists, David Card and Alan Krueger, examined the response of fast-food restaurants to a rise in New Jersey’s state minimum wage. It found that this had actually increased employment. The paper spawned a flood of similar “case-study” research, a flurry of revisionist thinking and a heated academic debate. The most prominent critics of the new research were David Neumark of the University of California at Irvine and William Wascher of the Federal Reserve. They disputed Messrs Card and Krueger’s findings for New Jersey and argued that a comparison of different states over time showed that higher minimum wages hurt jobs.
Almost two decades later, the minimum-wage debate has matured, not least because policy changes have brought heaps of new evidence to analyse. Britain introduced a national minimum wage in 1999. America’s states saw numerous adjustments in their minimum wages, and the federal floor was raised by 40% between 2007 and 2009.
America’s academics still do not agree on the employment effects. But both sides have honed their methods and, in some ways, the gap between them has shrunk. Messrs Card and Krueger moved on to other work, but Arindrajit Dube at the University of Massachusetts-Amherst and Michael Reich of the University of California at Berkeley have generalised the case-study approach, comparing restaurant employment across all contiguous counties with different minimum-wage levels between 1990 and 2006. They found no adverse effects on employment from a higher minimum wage. They also argue that if research showed such effects, these mostly reflected other differences between American states and had nothing to do with the minimum wage.
Messrs Neumark and Wascher still demur. They have published stacks of studies (and a book) purporting to show that minimum wages hit jobs. In a forthcoming paper they defend their methods and argue that the evidence still favours their view. But even they are no longer blanket opponents. In a 2011 paper they pointed out that a higher minimum wage along with the Earned Income Tax Credit (which tops up income for poor workers in America) boosted both employment and earnings for single women with children (though it cost less-skilled, minority men jobs).
Britain’s experience offers another set of insights. The country’s national minimum wage was introduced at 46% of the median wage, slightly higher than America’s. A lower floor applied to young people. Both are adjusted annually on the advice of the Low Pay Commission. Before the law took effect, worries about potential damage to employment were widespread. Yet today the consensus is that Britain’s minimum wage has done little or no harm.
The most striking impact of Britain’s minimum wage has been on the spread of wages. Not only has it pushed up pay for the bottom 5% of workers, but it also seems to have boosted earnings further up the income scale—and thus reduced wage inequality. Wage gaps in the bottom half of Britain’s pay scale have shrunk sharply since the late 1990s. A new study by a trio of British labour-market economists (including one at the Low Pay Commission) attributes much of that contraction to the minimum wage. Wage inequality fell more for women (a higher proportion of whom are on the minimum wage) than for men and the effect was most pronounced in low-wage parts of Britain.
The British way versus the American way
This new evidence leaves economists with lots of unanswered questions. What exactly is going on in labour markets if minimum wages do not hurt employment but reduce wage gaps? Are firms cutting costs by squeezing wages elsewhere? Are they improving the productivity of the lowest-wage workers? Some of the newest studies suggest firms employ a variety of strategies to deal with a higher minimum wage, from modestly raising prices to saving money from lower turnover.
Policymakers face practical issues. Bastions of orthodoxy, such as the OECD, a rich-country think-tank, and the International Monetary Fund, now assert that a moderate minimum wage probably does not do much harm and may do some good. Their definition of moderate is 30-40% of the median wage. Britain’s experience suggests it might even be a bit higher. The success of the Low Pay Commission points to the importance of technocrats rather than politicians setting wage floors. Britain’s small, regular changes may be easier for firms to absorb than America’s infrequent but hefty minimum-wage increases. Whatever their flaws, minimum wages are here to stay.
LINDSEY GRAHAM: 'We're Going Over The Cliff'
A part of me wonders if the supposed "pessimism" in recent days about Congress reaching a compromise around the fiscal cliff is just a scare tactic so that then when they propose some terrible legislation the American people just accept it out of the concocted fear. In any event, Business Insider is rehashing (yes, like I am) the interview with Lindsey Graham (R) on Face the Nation. An excerpt.........
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In perhaps the most pessimistic view of the status quo of fiscal cliff negotiations, Republican Sen. Lindsey Graham said Sunday on CBS' "Face The Nation" that "we're going over the cliff."
"I think we’re going over the cliff. It’s pretty clear to me they made a political calculation,” Graham said of President Barack Obama's opening offer, which includes $1.6 trillion in tax hikes and $400 billion in entitlement cuts.
"The president's plan does nothing but damn us to becoming Greece," Graham said, who called the entitlement cuts "a joke."
Graham's sentiments characterized what was an overall grim picture painted by both sides of the political aisle on the Sunday morning talk shows. Both House Speaker John Boehner and Treasury Secretary Tim Geithner weren't as pessimistic, but they both would not say if a deal would be reached in time to avert the series of tax increases and spending cuts set to kick in Jan. 2.
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In perhaps the most pessimistic view of the status quo of fiscal cliff negotiations, Republican Sen. Lindsey Graham said Sunday on CBS' "Face The Nation" that "we're going over the cliff."
"I think we’re going over the cliff. It’s pretty clear to me they made a political calculation,” Graham said of President Barack Obama's opening offer, which includes $1.6 trillion in tax hikes and $400 billion in entitlement cuts.
"The president's plan does nothing but damn us to becoming Greece," Graham said, who called the entitlement cuts "a joke."
Graham's sentiments characterized what was an overall grim picture painted by both sides of the political aisle on the Sunday morning talk shows. Both House Speaker John Boehner and Treasury Secretary Tim Geithner weren't as pessimistic, but they both would not say if a deal would be reached in time to avert the series of tax increases and spending cuts set to kick in Jan. 2.
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