Robert Shiller – Destroyer of Efficient Market Hypothesis (EMH)

Efficient market hypothesis states that the market price reflect all information available and consistent alpha generation is impossible.

Rober shiller demonstrates that short-term price movement is substantially driven by psychology and cannot be reasonablely justified by all availble public information.

Shiller's perspective can be illustrated by his definition of bubble:
"A situation in which news of price increases spurs investor enthusiasm which spreads by psychological contagion from person to person, in the process amplifying stories that might justify the price increase and bringing in a larger and larger class of investors, who, despite doubts about the real value of the investment, are drawn to it partly through envy of others’ successes and partly through a gambler’s excitement."


  1. Crypto Currency as Fiat money

The value of crypto currency as fiat money is backed by the support and faith of Internet community, aka, computer prorgamers/developers/hackers.

  1. The zeal for hot spot stock often last as long as the media attention is sustained at a high level

  2. Zeal Stock
    1) Tech Related
    2) Consumers Product
    3) New in the Market
    4) High Growth Potentional

  3. Market Consensus About The Future Price Movement of a Stock
    (Crowd Behavior, Herd Effect)
    Guess the attitude and action of other investors as whole and act upon.

Simple hypothesis (First degree inference) of other investors: the most superficially good prospect stock will be popular, because the public is not so smart as a whole.

Although a large number (even most) of individual market participants (professional or not) think the superficailly good prospect stock is not indeed good, but since the investment community as a whole will like it, the best strategy is go along.

First degree inference is enough in most cases. (Optimal strategy)

Typicall, a downturn consensus is harder to reach than a upward consensus due to the difficulty to borrow, higher expense and risk in short selling compared to long buying, especially when no real bad news about the stock occurs.

  1. Central Bank Lower Interest Rate
    Lower interest expand money supply and credit, but also supports the overall debt growth in economy.

  2. Cash (Currency) and other financial assets are in substance the same in terms of purchasing power, they are essentially IOUs (Claim to goods and services).

  3. 利率调整作为发达国家货币政策的一种工具,为什么没有在国内频繁使用

  4. Public Comapny Separation
    Spin off

  5. Sfun

Marketing services are the primary source of revenues for Sofun in the year of 2018. Listing services are in substance another from of marketing services.
(58 Model)

CIH --> Commercial Property Service
SFUN --> Residential Property Service

Baidu Research Note

Compared to 1Q2018, Baidu's SG&A expenses were increased by CNY 2.94 billion, the content cost were increased by CNY 1.98 billion, the operating income were decreased by CNY 5.51 billion. The large increase in SG&A expenses and content cost was caused by promotional expenses related to Haokan App, Quanmin App and other baidu products. Among them, considerable resources are spent in the promotional campaigns during the Chiense Spring Festial.

Irrational Exuberance读书笔记

The Characteristics of Financial Asset Bubble

Financial asset bubble is more like speculative epidemics

Speculative Bubble

Feedback loop of Bubble

The Position of Media in Speculative Bubble

Significant market events generally occur only if there is similar thinking among
large groups of people, and the news media are essential vehicles for the spread
of ideas

Beyong the Meat Research Note

The Current Customer Base of Beyong The Meat

At one of the nation’s largest conventional grocers, Kroger, 93% of Beyond Burger buyers over the 26-week period ended June 30, 2018 also purchased animal protein during the same period, which evidences Beyond Meat’s appeal to meat-loving consumers.

This illustrates that the beyond burger buyer base are largely overlap with meat eating consumers. Also, a small part (7%) of beyond burger buyers are not traditional meat eators.


In the context of American and Canadian English, a patty is a flattened, usually round, serving of ground meat or meat alternatives.

Beaf Crumbles

beaf meat in small pieces, often made with flour, cheese and water.

The Gross Margin Advantage (Problematic)

The gross margin f beyond meat for the three months ended 2019 is 25%, above 2 times higher than tyson foods, the traditional meat maker.

However, the Sales G&A expenses of typson foods is less than half of its gross profit and typson foods has no R&D expenses. For beyond meat, this ratio is 2 to 1. Beyond Meat needs to increase sales revenue by 300% to make the same G&A/gross profit ratio. Given the 3 months ended Mar, 2019 performance, beyond meat should be able to meet this ratio level in 2 to 3 years, if Sales G&A expenses does not increase.

The Branding Problem

The company's flagship product, Beyond burger is branded as a retail product, which may introduce conflict of interest with beyond burger's distributors and retailers as it is directly competing with their existing private labelled burger products.

The Professional Employment Organization

According to the prospectus, currently each of Beyond Meat's employees is also an employee of record of the PEO.

BYND's Shipping and Handling Cost

The shipping and handling cost is included in the G&A expenses, which make the cost of goods sold seriously underestimated. As a result, the gross margin of BYND is inflated.

Based on the component of increased G&A expenses in year edned 2018, shipping and handling cost accounts for 26.6% of the G&A expenses (omit related headcount expenses). The gross margin of BYND would declined to around 10% if applying shipping and handling cost in this percentage of total G&A expenses of year ended 2018 and include them in the cost of goods sold. Also, the actual gross margin ratio would very likely to be lower given the related headcount expenses was omited due to lack of data.

In a gross margin ratio of 10%, BYND has no advantage over traditional meat producers.

Primary Component of Animal-based Meat

amino-acid, lipids, trace mineral and water

Market Competitiors

  1. Hormel, PPC, Tyson, WH Group

UAE ( no antibiotic ever)

R&D Expenses

The R&D expenses of Tyson food is $118 Million in the year of 2018, compared to $9.58 Million for Beyond Meat.


Productivity and Cost Efficiency

The success of tech innovations depend largely on its improvement of productivity and cost efficiency.

Leverage and Short Selling

Invest on leverage has two major characteristics: (1) As an amplifier of both gain and loss
(2) The investor can be forced to close position due to the fluctuation of market price.

Short selling is considered as using leverage in trade since the margin requirement is 150% which includes the sells proceeds, thus the actual consideration paid is only 50% of sells proceeds. The leverage can be as high as 2 is the account have only 50% of equity of the security short sold.

Leverage is considered as using borrowed capital in trade, short selling involves borrowed securities, the proceeds of short selling can be considered as the borrowed capital. The cover of a short position can be thought of as returnning of borrowed capital at a reduced amount.

Ex-ante and Ex-post

Ex-ante = Before the fact
Ex-post = After the fact

Fundamental Principle of Optimal Forcast

The forecast error must be uncorrelated with the forecast

Fundamental Research and Market Research

Fundamental research focus on determine the fair valuation of the firm in long-term perspective.
Market research is intended to evaluate the short and mid term overall stock supply and demand.


  1. 百度(BIDI)
    关注理由,中美贸易战引发的中概股大跌,股价走弱,虽然中国经济随贸易战承压但公司盈利基本面并没有明显变化,随着2018年年报发布时间的邻近,在爱奇艺年报超出预期的情况下,在155价位的百度股票有中长期上升空间。在155 - 160价位区间可以考虑买入。



Short Term Market Sentiment

Short term market sentiment cannot be guarranteed to extend into mid term market sentiment.
Thus the profit should be protected by placing profit taking order no higher than a 5% gain.
Also, the potentional loss should be stopped by placing a stop loss order in case the short term market sentiment is not fully realized as market price or performed at all.

The source of gain comes from uptick orders triggered by short term market sentiment.

When the inflation rate is high as well as general stock price level, the real return is overestimated because of the same high interest rate.



VIX index


WWR Research Note

  1. The company acquired Turkey graphite mineral resources in 2015, but did not generate any revenue until the license was terminated in 2018, why is that.


  1. 英方的核心诉求在于享受欧盟权利却不履行欧盟成员国义务,这在欧盟看来是对其核心利益和秩序的侵犯,不可退让。 同时由于公投导致的退欧使得英方在谈判上的底线已然确定,直接导致了英国在谈判中的弱势地位。



Westwater Resources


Westwater Resources, Inc. (WWR), an energy metals exploration and development company, commented on the recently completed Section 232 Investigation of Uranium Imports. President Trump now has up to 90 days from April 14 to decide whether to act on the matter, which can include quotas or tariffs, a timeline which concludes in mid-July.

The U.S. Department of Commerce initiated a Section 232 investigation in July 2018 to determine whether the present quantity of uranium ore and product imports threaten to impair U.S. national security. U.S. uranium production has declined significantly since 1987, with domestic uranium producers experiencing a major slowdown in operations and employment.

Christopher M. Jones, President and Chief Executive Officer, commented, “We believe that, regardless of the decision that will be made by the President, U.S. producers will benefit in the near term. The U.S. utility companies are expected to come back to the market and stock-up on fuel supplies even if the President decides to deny the petition. In the event that the decision is in favor of the Section 232 action, U.S. producers will see greater demand for domestically produced uranium. Either way, we expect the price of uranium produced in the United States to rise.

“The U.S. relies heavily on nuclear power for carbon free base load power. According to UxC, more than 20% of all uranium produced in the world is consumed in the U.S. Nuclear power represents the only electrical base load solution for global electric power growth driven by economic expansion and a focus on carbon reduction.

“Uranium remains a key strategic focus for Westwater. Westwater Resources controls extensive mineral holdings in New Mexico and Texas. In addition, WWR owns the Rosita and Kingsville Dome processing facilities in Texas, both of which are licensed for production,” concluded Mr. Jones.

Short-term and Long-term Stock Selectivity

Short-term: Timing > Pricing
Long-term: Pricing > Timing

Sohu, Cyou and Sogou

Sohu 2018 Annual Report

  1. Brand advertising segment gross margin was 20% for 2018, compared to negative 16% and 17%, respectively, for 2017 and 2016.

Notes: The imporvement was mainly attributable to a decrease in video content costs and impairment charges compared to 2017.
The operation is sohu video is approaching profitable under the current trend as stated by the 2018 annual report.
However, the revenue drops accompanied with cost cut is significant. It is expected that sohu video will drop to a revenue level the same with sohu website advertising, and loss its position as the company's future revenue driving force.

  1. The search and search-related advertising gross margin was 35% for 2018, compared to 48% and 51%, respectively, for 2017 and 2016. The decrease in our search and search-related advertising gross margin for 2018 was mainly due to higher traffic acquisition costs as a percentage of search and search-related advertising revenues

Notes: The traffic acquisition cost surges along with the growth of revenue, which is a negative signal. Actually, the cost of revenue increased faster than ad revenue.

2011-2019 RS_T1 BackTest Short Loss Stocks


  1. IDCC
    InterDigital Wireless Inc
    Business: Wireless Patent monetization

Time Period: 2011-7-20 to 2011-8-10
Price: 67.79 to 68.84

Patent portfolio interested by Google, Apple, etc. The time period is in the middle of communication patent (4G) hikes.


  1. YRCW
    YRC Worldwide Inc
    Business: Transportation

Time Period: 2013-5-6 to 2013-5-28
Price: 15.48 to 19.5

Proposed merger with another freight company got rejected, unclear why the stock price hike in this period.


  1. TRVN
    Trevena Inc
    Business: Drug R&D

Time Period: 2015-9-2 to 2015-9-24
Price: 11.44 to 12.44

Biopharmaceutical Uncertainty

  1. WW
    Weight Watchers International, Inc
    Business: Personal Services (Weight Loss Training)
    Time Period: 2015-10-20 to 2015-11-10
    Price: 18.25 to 22.53

Oprah Winfrey announced her investment into the company.

  1. CSTM
    Constellium N.V.
    Business: Aluminium production
    Time Period: 2015-11-6 to 2015-11-30
    Price: 8.19 to 8.77

Cause of Price Hiking in the time period mentioned above: unknown

  1. LXU
    Lsb Industries Inc
    Business: Chemical manufacturing
    Time Period: 2016-3-2 to 2016-3-23
    Price: 9.19 to 12.27

Cause of Price Hiking in the time period mentioned above: unknown

  1. BXC
    BlueLinx Holdings
    Business: Building material wholesaling
    Time Period: 2018-3-13 to 2018-4-4
    Price: 34.04 to 34.14

Price hide due to merger with another building material wholesaler, expecting increased operation efficiency and related cost-saving effect.

  1. AGMH
    AGM Group Holdings Inc
    Business: Finance Technology (Chinese Company)
    Time Period: 2018-6-13 to 2018-7-5
    Price: 16.21 to 21.32

Merger news, possible 炒作 by Chinese investors

  1. HEAR
    Turtle Beach
    Business: Consumer Electronics
    Time Period: 2018-5-11 to 2018-6-4
    Price: 16.03 to 17.84

Battle Royale gaming trending brought increasing demand for headset from new players.

  1. GRVY
    Gravity Co., LTD
    Business: online gaming
    Time Period: 2017-1-19 to 2017-2-9
    Price: 20.60 to 21.21

大陆授权手游: 仙境传说(永恒守护的爱)开启beta测试

Market Watch Project Note

Current Issues

  1. For historical signal backtesting, the ticker list currently used only contains common stocks currently listed on the exchange. Common stocks that were listed in the time period on which the back-test were conducted were missing. Thus the data only reproduced the results for part of the stocks that were then listed in the past.

  2. The backtest algorithm have not been cross examined by another person and might contain bugs which produce inaccurate backtest result.

Data Source Notes

  1. Quantopian Research Environment
    get_pricing API will honor symbol change, return the same historial data for one company

  2. IEX Cloud
    /stock/%s/chart/ historial API will return old symobl data from the begining to the end of the symbol termination time, will return new symbol data from symbol effective time until most recent trading day.

CIK Inconsistence

The CIK maintained by SEC may be changed due to change of legal listing entity, but stock exchange may comtinue to allow using the original stock symbol for trading.

Current Best Signal

The current best trading signal in terms of maximum drawback and average return is RS_T1 (50%_20%_3), which is currently implemented as the online watcher.

Jumia Research Notes

Key Metric Interpretation

  1. Active buyers are those who have placed at least one order in the past 12 months, regardless of cancellation or returns.