RR # 169 - John Cochrane: (Modern) Modern Portfolio Theory

[@b0b555-h7q]

Most enjoyable of the RR YT videos I've watched to date.

[@robertwright8844]

For those who aren't familiar, when John says IID at 37:47, he's referring to independent and identically distributed (IID) random variables en.wikipedia.org/wiki/Independent_and_identically_distributed_random_variables

[@dmoon9037]

Halfway through and I already feel the need to relisten the first half, lol

[@Thewestslope]

Phenomenal. Probably useful for undergrads and those starting grad programs. Perhaps a must listen for active investors seeking to attain some combination of positive sum and zero-sum outcomes?

[@Martin-qb2mw]

Ben Felix Rolling his eyes at 59:06 is the best thing I've seen today.

[@flowersfrom7311]

Love John and his refreshingly traditional views!

[@AAkCN1]

Thx alot. Awesome episode again!!!

[@lorenzom7237]

wow , what a gem !

[@CptLasia]

Great interview, thanks for arranging it. Does anyone understand why either future cash flows/dividends are unpredictable, or the equity risk premium/discount rates, but not both?

[@Tala-Ironside]

You should join the rational reminder community, if you haven't already. Tons of great discussion and maybe an answer to your question in the episode discussion thread.

[@tchevri]

look for the "dogs that bark" and dogs that did not bark and return predictability literature. Names to look for Rui Ribeiro, john's student, Ivo Welch, another chicago grad, etc. etc. etc..

[@ajrobbins368]

I learned a lot. Thank you so much!

[@adonisds]

I wasn't expecting the Spanish Inquisition!

[@dmoon9037]

Which J Y Campbell paper was the “hit me like a ton of bricks” paper? 1999, 2001?

[@sheldonpetrie3706]

The edit at 2:22 seems quite abrupt.

[@bruceguy247]

Prof John recommends "inflation adjusted tips" but the last few years have proven that the official inflation reports ignore several costs of living. So your Coupons buy less stuff in another 10 years.

[@rimservices]

58:30 "Congratulations, you pass!"

[@nemuritai]

I hope he writes many more papers, they are awesome, it feels like Christmas when his papers comes out. He has mentioned in the past he is interested in studying the unusually large amount of trading as a potential topic, that would be interesting - rebalancing by active traders (active pensions etc) should not be more than 10-20% per year I imagine and their flows should net to near zero,so it is hard to explain the ~100% annual turnover in the NYSE. 'Pay for flow' likely not too large, buybacks are on the order of dividends, tax loss harvesting not too large, hard to imagine a purpose for 100% turnover. An interesting question is what is the average investor's holding period of equity in general.

[@nagesshar]

I love it

[@austingonzalez1148]

He ends on "If it feels icky don't do it", but earlier describes how there's a premium to invest in industries that people find damaging. Uses arugula being bad for the environment as a joke example. Maybe a better mantra should be, "if other people "feel icky", make money on that feeling"

[@muffemod]

I was here.

[@trs8696]

"gene is a great guy, and if you disagree with gene fama you should read the paper again" lololol

[@brock8232]

“If China invades Taiwan, and we do nothing about it, I would look for a decline in the stock market.” Um, so a larger war with a near-peer adversary is better for stocks..? I don’t totally follow what he’s getting at with the caveat of inaction.

[@MichaelSaull]

"Modern Modern" Portfolio Theory.... does that mean it's "Ultra Modern"?

[@marikstongue5663]

I think they mean it as "modern" modern portfolio theory

[@dmoon9037]

@@marikstongue5663 meta-MMT

[@ZelenoJabko]

John Cockroach