Posts from Thursday Aug 9 2012

The Closer


Markets crawled forward, after lower Chinese inflation promised hopes of further monetary stimulusFinancial Times). The S&P 500 closed up 0.04 per cent, having gained 0.6 per cent in the last three days (Reuters). However, yields on Italian and Spanish two-year bonds continued to rise, amid doubts over action by the ECB (Bloomberg). Read more

Misunderstanding Markowitz

A golden quote, delivered by the maestro and Nobel laureate to Laurie Carver of Risk magazine. Harry Markowitz slips in a Rodney Dangerfield impersonation while talking regulation of banks’ trading book risk here:

Optimising mean return subject to variance beats doing it with respect to all the other risk measures, including VAR and expected shortfall – and VAR is the worst of them. The Basel Committee are not the first people to do something wrong because they haven’t read my work. They are misguided and I know who misguided them – people who have PhDs in mathematics or physics, who tell them that is what the experts use. But the so-called experts haven’t read Markowitz – I get no respect.

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Poll reveals 28% of finance professionals sick of being asked about Grexit

We asked, and you answered by completing FT Alphaville’s (wholly unscientific) survey on Tuesday.

The hastily put together intricately designed poll reveals that 41 per cent of finance professionals, students, developers, and random people* think that Greece will exit the euro within the next year. Read more

*Free Parking*

This John Mann MP chap is growing on us. Thursday’s statement:

Following the announcement that the UK’s trade gap hit its worst level since comparable records began in 1997, Treasury Select Committee Member, John Mann is calling for an early emergency mini-budget on September 4th as Parliament re-convenes with the aim of reversing our economic stagnation and get the economy moving. Read more

VaRy unwound

JP Morgan’s second-quarter 10-Q is out – and so is its restated filing for the first quarter.

Of course, the bank has already opened the kimono (as Jamie Dimon might say) on the unwinding – and transfer to its investment bank – of the synthetic credit trades built up by its Chief Investment Office. Read more

‘The biggest overproduction for any quarter since 1998’

Did anyone notice how the Brent slump seemed to come to a dramatic halt around June?

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A chart for contrarians

Courtesy of Michael Hartnett and team at Bank of American Merrill Lynch, the most beaten up sectors, globally.

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The (early) Lunch Wrap

Good morning New York…


Reflections on the crisis soundtrack of our lives

Jim Reid at Deutsche Bank is feeling a touch reflective this Thursday morning:

It’s hard to believe that its 5 years ago today that the financial world started to appreciate the magnitude of the problems that would be the soundtrack to our lives over the last 5 years. The real warning signs of trouble occurred 6 months earlier with the precipitous drops in the sub-prime indices however the global ramifications were first arguably felt on August 9th 2007 as BNP Paribas stopped withdrawals from 3 of its investment funds as it couldn’t value their holdings following the subprime fallout. Read more

China data inspires hope, disappointment… and a dilemma

Oh yay, Chinese consumer price inflation for July came in at a nicely subdued looking 1.8 per cent. And industrial production growth continued to slow. Q2 wasn’t the bottom after all. More easing ahoy! Right?

Not so fast… Read more

Further reading

Elsewhere on Thursday,

– David Rosenberg’s negative export shock indicatorRead more

The 6am Cut London

“Asian stocks rose after China’s consumer prices climbed at a slower pace for a fourth month and Australian employment exceeded estimates. Shares advanced even after the Bank of Japan refrained from adding stimulus.” The MSCI Asia Pacific index was 0.7% higher at 12.31pm in Tokyo (Bloomberg).

China’s inflation slowed to 1.8% in July. Consumer price inflation has dropped to its lowest level in 30 months, after falling from June’s 2.2% rise. Factory-gate inflation is even weaker, with producer prices falling 2.9% in July (Financial Times). Read more