linkedin-with-circle twitter-with-circle rss search

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…

Read More →

A Global Factor Approach to Asset Allocation

For those that read my paper, “A Quant Approach to TAA“, I examined the use of a single factor (momentum) in constructing a global portfolio. There are a whole host of other factors, and Harindra de Silva right down the road at Analytic Investors has…

Read More →

Published!! Errr…sort of. . .

(EDIT: They have since corrected the mistake) I have a research paper that just got published in the Spring 2007 Journal of Wealth Management titled “A Quantitative Approach to Tactical Asset Allocation”. (Un)fortunately, someone on the web team confused my name Mebane with Melanie (not…

Read More →

Mean Reversion

In 2003, investors in global equities had just experienced 3 brutal years of negative returns. While many were too shell shocked to commit new (or in many cases, any) capital to the stock markets, this was precisely the best time to buy stocks. Baron Phillipe…

Read More →

Drawbacks of Simple Momentum

As a number of readers have pointed out, there are various drawbacks to the method/test I have presented here. The big ones are: 1. Fixed measurement period. I used a simple one-month and one-year absolute measure, but it is possible that 3, 6, X months…

Read More →

Web Statistics