Hedge Fund Tracking 2009 Results

(Posting will be a little lighter over the next few weeks as I have a broken hand.  Well, at least until I can get the Dragon dictation software installed.)

Great interview with Bruce Berkowitz and Steve Forbes (HT: BA).  Fantastic discussion about holding a concentrated portfolio of stocks.  I thought I would spend a little time updating some of the 13F hedge fund portfolios since rebalance was last Friday.

The first three funds as well as the combo fund (FOF) I mentioned in my book The Ivy Portfolio.

All top 10 holdings YTD 2009 using AlphaClone:

Buffett: 18.6%

Blue Ridge: 16.9%

Greenlight:  19.1%

FOF (top 3 from each):  15.1%

World Beta Value Masters:  43.9%

S&P500:  11.0%

Since 2000, annualized:

Buffett: 7.8%

Blue Ridge: 6.7%

Greenlight:  11.4%

FOF (top 3 from each):  8.9%

World Beta Value Masters:  16.6%

S&P500:  -2.2%

That’s a lot of alpha!  Below is an equity curve of the World Beta Value Masters that we have been tracking real time on the blog since the beginning of 2007.  Hitting all-time new highs currently…and beating the S&P500 by over 20% a year since tracking in real time (’07).  This includes a fund that imploded (Okumus).

New buys include Hewlett Packard (HPQ), Liberty Media (LMDIA), and Phillip Morris (PM).


Sitting, Waiting

I don’t watch CNBC much, but was watching this AM over coffee at the house.  I keep hearing people state, “I’m waiting for a pullback”, “This market is overbought”…reminds me of a little Jack Johnson for the wknd (below).  It seems when everyone is talking about a pullback there is more room to the upside, and only when everyone is talking about buying is it time for a correction.  Just a Friday missive.

PS Everything I do is quant (or quant with control over the dials), but for some reason nearly investor I meet with ends our conversation with:

Investor:  “So, what do you think of the market here?”

Meb:  “Which market?”

Investor:  “Well, stocks.”

Meb: “US or foreign?”

Investor: “US”

Meb:  “Ok, well realize first of all stocks are only a small part of our portfolio.  Two, I am happy  to give you my opinion, but realize I have no ability to subjectively forecast, so it really doesn’t influence our approach.”

Investor:  “Ok, so what do you think?”

Meb: “Sigh”.  Insert JP Morgan quote.


Boston August 26-27

Dallas September 13-16

San Francisco September 19-23

Chicago October 2-6 (tentative schedule)

North Carolina October 8-12

Hit me up if you are around!


David Tepper is a beast!  His fund got long the financials at just the right time.  Following his top 10 stock holdings back to 2000 would have done 18% a year.

Here is a 2006 article that recommends tracking Appaloosa, Lone Pine, Greenlight, Icahn, and ESL.

Hey Barron’s and Bary how bout a follow up?


Even though I haven’t posted anything useful in about two weeks (or longer, depending on your opinion), a couple nice shout outs from MarketSci and the Alchemy of Trading:

Top 10 Trading Blogs

The Quant Blogosphere


Cool new website in beta – TShirtAds.com


I better get a (fake) girlfriend.


MarketSci pulls his content from the aggregators.


Too far, too fast?


If I lived somewhere besides the deathtrap that is LA, I would buy this amazing bike:


Have A Question For Me?

I’m doing a webinar tomorrow from NYC, tune in and ask me some questions!

Login here or here, 4PM ET,  8/13/09.

Couple Good Articles in Barron’s

I love visiting NYC!  (PS Anyone have a favorite sushi joint here?  Blue Ribbon is right down the street so may try that.)

A couple great articles in Barron’s this week:

Trouble in the Forest (Predicting big fall in timber prices.  I’d like to see a chart of a ratio of timber values per acre vs. lumber prices…anyone?)

For Stocks, the Signs Point Up (Author Jack Albin recently published the book Reading Minds and Markets.  I’ll take a look at his timing rule in a future post…)

I’ll definitely be picking up one of ClickFree’s portable backup drives.


Lake Saranac this weekend, then New York City next week.

Drop me a line if you are around in the city to meet up!  (Mon-Wed most likely.)

Airplane Reading

Anyone have anything else good for my redeye flight tonight?

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

75% of funds have zero alphas, 24% of the funds had negative alphas, and you can do the math on the rest. . .

This paper develops a simple technique that controls for “false discoveries,” or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We find that 75% of funds exhibit a zero alpha (net of expenses), consistent with the Berk and Green (2004) equilibrium. Further, we find a significant proportion of skilled (positive alpha) funds prior to 1996, but almost none by 2006. We also show that controlling for false discoveries substantially improves the ability to find funds with persistent performance

Formula Investing by Greenblatt

Very cool new site powered by Pershing / Inautix…maybe we will implement something like this?

Formula Investing website (and Greenblatt’s very good book here).

Here are backtested results for the model.  Would be interesting to use this system as your alpha generator, then hedge out the market risk when below a long term moving average?

Dear Reader,

Have no fear, the Magic Formula hasn’t changed, only the website.  We’ve updated the site and added more content.

An even more exciting change is the new money management firm I helped create with Blake Darcy.  Blake is the founder and former CEO of DLJdirect, a pioneer in the internet brokerage field.  We recently launched Formula Investing to give investors the ability to implement the Magic Formula system in a simple and cost effective manner.  You can find this innovative new firm at www.formulainvesting.com.

I hope you are able to take full advantage of these new changes as you plan your financial future.


Joel Greenblatt



$4 Billion in assets…

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