Lighthouse Investment Management

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Month: August 2012

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  • The “beautiful” deleveraging

    Alexander Gloy

    Some of my clients like to challenge my (admittedly gloomy) views, forcing me to think – which isn’t such a bad thing to do. It started off with Cam Hui’s “A Dalio explanation of Evans-Pritchard’s dilemma“. After laying down his strategy on winning the game of Monopoly, Dalio goes on to model the economy onto…

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  • You got Bernanked: Three years gone in three weeks

    Alexander Gloy

    US Bond market: Over the last three weeks, 10-year US government bond yields increased from 1.4% to 1.81% (green line below) while 30-year went up from 2.46% to 2.93% (red line in second chart): To put things into perspective: Here are those movements on a longer time scale (together with 5-year yields, blue, and the…

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  • Volatility ETFs’ crazy churn

    Alexander Gloy

    Two volatility ETFs (VXX and UVXY) are having almost half of the trading volume in the world’s largest ETF (SPY). How come? First, the facts: SPY is heavily traded (19% of assets daily turnover) compared to IVV (also referring to the S&P 500). But then come the volatility ETFs. Tiny VIXY (assets $145m) turns itself…

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  • Who wants to own Investment Banks?

    Alexander Gloy

    I went through the latest available 10-Q filings of major US investment banks. I was after the break-down of assets in levels 1-3. As a reminder: Level 1: stuff that has a market price. Level 2: stuff that doesn’t have a market price, but is valued based on similar assets. Level 3: stuff that where…

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  • Market risk factors

    Alexander Gloy

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  • Event calendar

    Alexander Gloy

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  • All roads lead to a disintegration of the Euro

    Alexander Gloy

    Our investment thesis can be summarized as follows: Equities are worthless when associated debt becomes encumbered (risk capital takes the  first loss). Equity is not an asset; it is merely the remainder that is left over once debt is subtracted from assets. Recent GDP growth was possible only thanks to massive deficit spending and monetary…

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  • Rational decisions in closed systems

    Alexander Gloy

    In closed systems, rational decisions lead to irrational outcomes. Take a crowded stadium. A fight or fire breaks out. Panic ensues, and everybody scrambles to get out as fast as possible (rational). In the process, people are hurt or trampled to death (irrational). The same applies to the stock market. Rational behavior demands you buy…

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