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DamienC

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  1. Are you interested in option and volatility positioning? Check out the latest MashUp , which includes a new section on this topic. We welcome pushbacks and feedback. Contact us at info@kromacp.com to receive the PDF as soon as it's published. Wishing everyone a great week! 240117_Kroma_Mashup #13_high.pdf
  2. Dear All, Every now and then, I curate the most intriguing market trends and insights into a concise free Market MashUp It's predominantly visual with insightful graphs, ensuring a quick yet enriching read in under 15 minutes https://www.linkedin.com/posts/damiencleusix_mashup-activity-7140252691506565120-LHIJ? If you would prefer a .pdf version delivered straight to your inbox, I can add you to the mailing list. Simply send an email with MashUp as subject to: info@kromacp.com Any pushbacks on my argumentation are more than welcomed! Wishing you an excellent day ahead! 231211_Kroma_Mashup #12.pdf
  3. Stumbled on this post from earlier this year on Greenblatt’s Magic Formula. It was bashed repeatedly around the web due to its recent underperformance. Food for thoughts. https://research.nava.capital/magic-formula-globally-just-a-start/
  4. Dear Group, Hope you are All doing fine. A friend came up with the idea of creating a bear compendium which would become a collaborative effort so that Central Bankers and regulators would not be able to use their traditional excuse of "We could not spot the bubble in real-time" https://research.nava.capital/bear-compendium/ I have proposed some charts for him and told him that I would submit it to the group as you could give ideas too I told him that he should make sure that, once crowd edited, it should be sent to various bubble enablers around the world through social media, post, https://research.nava.capital/content/images/2020/03/image.png
  5. There was a discussion some times ago about Swedish investment conglomerate. Which listed investment holdings around the world would you recommend to follow beyond the well known like Investor, Bruxelles Lambert, Jardine, Wendel,... There are surely plenty in South America, Asia,... smaller, illiquid, under the radar one propositions welcomed!
  6. Dear All, we are amazed by the number of applications we have received and have thus decided to chose next Wednesday, the 6th of December as the last day to apply for the post. Best regards,
  7. Blainehodder, Compensation is competitive with a very interesting performance based upside. Suffice to say that it would be a move a great analyst would never regret! Tack John!
  8. Dear All, we are a large family office based in Geneva with a strong value philosophy investing globally at all levels of the capital structure. We are looking for an analyst to join our team. The candidate should be impregnated with the writings of Graham, Buffett, Munger, Klarman, Burry and others and have a genuine, communicative passion for investing. We offer a perfect environnement, with permanent capital and as such no tyranny of the relative short-term performance or short-term volatility. More information can be found here http://www.memento.ch/careers
  9. While governments will try to sit on Central Banks back as long as possible they ultimately will have to act. We all know that the US and some other countries are in desperate need of a huge program of public infrastructure upgrade so if/when it happens, which companies will profit most from it. Those programs will probably be implemented near the end of the next recession.
  10. Yes he does outperform. I follow approximately 400 managers around the world (mostly value-oriented). For all of them I look at the performance of their portfolio holding as disclosed in their various fillings (for the US for example you have the 13F, D and G fillings as well as the Form 3 and 4). The various portfolio statistics are calculated based on a rebalancing the day after change have been made public (no look-ahead bias) I have attached some data on BRK. The first graph is the 10 biggest holdings equal weighted, rebalanced after every new public disclosure. The last graph is the performance of the 3, 5, 10 20 largest positions equal weighted relative to the S&P 500 equal weighted total return index. Hope it helps, damien
  11. "This is not aimed at you personally, but why waste energy trying to figure out this stuff?" Be reassured I do not take it personally... The reason is the same as the one we spend all a lots of time finding undervalued securities. While micro-managing its exposure to markets is almost impossible, history teaches us that you have long cycles pushing the markets from overvaluation to undervaluation and back up again. As I said recently, US markets are currently priced to produce max 2% real total return in the next 10 years. This won't be 2% a year but more like 1 and probably 2 40% more decline followed by rallies. Small caps are likely to produce negative 3-4% return. Why, in this case not simply hedge the beta portion of the portfolio with futures (which are the worst kind of asset, capitalization weighted...) and a plan. A plan like when we get to fair value for the market I cut half of the hedge and the other half when the 200 days moving average slope turns up again once fair value has been reached (which might be far below fair value). This is not My plan but just a oversimplified example. Isn't Prem Watsa doing it?
  12. Dear All, Something I wrote 2 days ago which might or not be of interest. The message is that when the cycles turns down there will be no place to hide, no factor will be spared. In 2000-2003 value investors fared well as they did in the 70's because the overvaluation (Nifty Fifty, TMT bubble) was concentrated in a few large companies. Being big and grossly overvalued they pushed the markets valuation to unsustainable highs (the joy of market cap weighted indices) while if looking at the average stock valuation or even better median stock valuation, the markets were far from bubbles. It was different in 2007 where almost everything was overvalued and hence even the best value managers were crushed. This time is going to be the same. While large cap quality stocks (strong BS, low earning volatility,.. are the cheapest (but Sun was cheap compared to etoys.com no?), dividend stocks are now very expensive on a relative basis and so are low volatility stocks. Small caps are the worst of the bunch reaching level where we can say with a straight face, without laughing or moving our ears, that they will probably lose more than 60% in real term during this phase. For the context, one our biggest client fired us in July 2007 because of a similar note we sent in May of 2007 and of the daily e-mails following to press our case. How could we pretend that investors were paying to take risk. What if we are indeed only now reaching the top of the secular bull market... What if Dear All, It is no secret that we view the US stock markets as grossly over-valued. In recent meetings, as in the Spring of 2007, we have insisted that not only markets are more overvalued than what they seem, the overvaluation is also general. E. Easterling wrote a provocative article not long ago on the subject. Those who have read his 2 book, "Unexpected Returns" and "Probable Outcome" know the quality of his research. In 2000 while TMT companies where reaching absurd valuation, small caps and quality value stocks where cheap. Remember that Berkshire H. made its low the same day as the Nasdaq made its top or the same month as J. Robertson, one of the best value stock picker of history, liquidated his fund. In 2007, the overvaluation was general but here again you had a sector distorting the various valuation ratios, financial companies. In the bear market that ensued, nobody who was long, even the best conservative value stock pickers made money if they were long-only. This was a carnage. Today our contention is that markets are more overvalued than in 2007. There will be no place to hide when the tide turns. No place. The best value managers will lose a lot of money, factors which have historically worked well will suffer a lot too (small caps will be crushed and could loose more than 60% from current levels, high dividend paying and shareholder yield stocks too as they are expensive relative to an expensive markets, quality stocks will outperform but not by much and given the concentration of hedge fund investor in some of them will be liquidated without mercy when blood will run in the street). Short factors are also the most expensive against the markets they have been since we have data in the early 90's (and we doubt they were more expensive on a relative basis before). In the graph below you can see 3 different valuation ratios where we try to remove the margin and sector overvaluation effect. Data is based on Point in Time S&P 500 constituents since 1990. The red line is the median PS ratio. The light blue line is the average of each components PS (an equal weighted PS if you want) where the overvaluation of 2000 still stands out because of the SUN Micro of the time. The dark blue line is the average of the and and third quartile PS (we used Bloomberg for the components and the PS data). Remember A. Greenspan irrational exuberance? It was in December 1996 and at the time it was indicating that the market were extremely expensive compared to history. Well in December 1996 the 3 ratios where 40% below current levels. 40% Picture Today, the big difference with 2000 and 2007 is that government and central banks have already spend a lot of firing power to "make believe" that everything is fine again. The current environment is structurally deflationary and real trend growth is much lower than what the Fed and most analysts are believing. For many, many years we have talked about this (demography, overindebtness, oversupply,...). It means that inflation rate will be lower and unemployment higher than what the Fed is predicting. It also means that this is structural and not cyclical. It also means that the Fed, as long as it does not realize this, is going to continue what it has been doing for a very very long-term. We have long said that we sometimes struggle to see the world and it is instead of as it should be. We are too naive. Current policies are not what they should be (productive investment, deleveraging to move away from this culture of speculation and easy money) and we need a trigger to make this change. Could it be a more hawkish Fed with new governors nominated next year and/or realizing that they have created a fantastic bubble in the equity and corporate bond markets (both linked as most of the borrowing is done to buyback shares or other companies and hence the productive capital base is not increased further lowering long-term growth potential ceteris paribus). With regard to the short-term markets movement we can only repeat what we said recently: "Market short-term volatility (intra-day) has increased markedly in the past few weeks. Important tops (cyclical) are made when valuations are extended (check), important divergences are forming (check), market uniformity decreasing substantially (check), exuberant optimism (check and congrat to R. Shiller...), markets overbought (check but could be more extreme on the daily time frame) and, finally, increased short-term volatility (check). You can use some pattern (serie of small range days) if you really want to be cute. The only ingredient missing here is a sell signal from our cyclical models which have stayed stubbornly positive since 2009 with the exception of a short-lived sell signal during the 2011 route. By definition, those cyclical signals will miss the first part of the decline which make a 10-12% drawdown at the beginning of an cyclical bear market a rule rather than the exception. The above checks are all warnings that cyclical signals could turn down during the next correction (or at least in the near-term)." Kind regards, Damien
  13. Here are two variation of Net-Net quantitative screen run on Japan with quarterly rebalancing along with the current stock selected. Japan_Net-Net.pdf
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