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Got That Sinking Feeling?

The equity markets took a big whoosh down today, and many other asset classes suffered as well: That’s what market pundits talk about when they say that all correlations go to 1 when the market is declining. Bonds were up on the day, but that’s…

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Holy Betas!

Are hedge funds returning great performance, or is it merely an illusion and they’re selling world betas in disguise? Having examined how the timing model holds up against the Harvard and Yale endowments, how would it compare to the other brightest minds(and highest paid)in the…

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New Portfolio

In addition to the regular portfolios I track, I am going to add one that updates monthly reflecting the logic from my paper “A Quant Approach to Tactical Asset Allocation.” I labeled it GTAA (Global Tactical Asset Allocation) and I will update it at Stockpickr…

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Endowment Update

Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing how a simple buy and hold can replicate the returns of the top endowments, this post focuses on comparing the endowments…

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Guru Lazy Portfolios

One of the most often asked questions I get regarding my paper is “Why do you have such a large allocation to real assets?” (ie I divide the asset classes evenly with 20% weightings, thus assigning 20% each to Commodities and REITs). The main reason…

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Speaking of Crahses

The Nasdaq Composite since 1972 has had two declines over – 50% (- 58% from 1972-1974, – 75% from 2000-2002). The chart doesn’t look so bad because it is logarithmic. . . What about the other major asset classes? Below is a table of 5…

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Harvard + Yale II

According to the latest updates from the two largest university endowments, Harvard and Yale, the percentages they allocate to various asset classes are located in table below. While the average retail investor does not have access to private equity and hedge funds, he can invest…

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Harvard and Yale Endowments

Harvard University sits atop the academic world with a staggering $25.9 billion endowment fund, nearly twice the size of the next biggest endowment at Yale University. This war chest has accumulated over the years on the basis of donations and the stellar returns recorded by…

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