LinkFest

Do you know the only commodity market where futures trading is banned? —- Of the last 10 GMs hired in MLB, 6 have been age 40 or under. —- This book looks interesting, but 500 pages about booze? Drink: A Cultural History of Alcohol —- I could watch the TED talks all day. Chris Jordan:…

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The Dow Gets Mauled

Officially a bear market folks (in the Dow). Before you panic, it is worth taking a look at the historical data. A -20% decline happens every 3 or 4 years so it is not that unusual. The Dow ETF is DIA. Since 1900: There have been 31, now 32, declines of -20% or more in…

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Commodities and Inflation

The stock markets are very close to bear territory (one more day like today and it will be an official bear market in the S&P 500). I love this Bev Doolittle painting so I had to repost it. Long time readers know I am a big fan of commodities. After today’s dump in stocks (and…

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Book Cover Design Contest

Here are three designs from the first book cover design contest. I currently have another contest running on Worth1000 that you can view here. Please be honest with your opinions – leave a comment on what you like and don’t like. If you don’t like any, say so! Which Cover Design is the Best? (…

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Does This Signal a Top in Commodities?

Kind of like PowerShares launching their private equity ETFs, does the slew of new commodity ETFs signal a top? In my inbox today: iPath® Global Carbon (GRN) iPath® Dow Jones-AIG Softs Total Return Sub-Index (JJS) iPath® Dow Jones-AIG Precious Metals Total Return Sub-Index (JJP) iPath® Dow Jones-AIG Aluminum Total Return Sub-Index (JJU) iPath® Dow Jones-AIG…

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Big Brother is Watching

Glad I didn’t write my book on Google docs. “11.1 You retain copyright and any other rights you already hold in Content which you submit, post or display on or through, the Services. By submitting, posting or displaying the content you give Google a perpetual, irrevocable, worldwide, royalty-free, and non-exclusive licence to reproduce, adapt, modify,…

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LinkFest

Reading anything interesting? Send me your links. . . —- It is always nice to see a model continue to perform out-of-sample. Below are the results of the “Quant Approach to TAA” paper since it left off in 2005. Equity-like returns with bond-like volatility and low drawdowns. Obviously much of this outperformance is due to…

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Doggy Dogs

I’m not much of a ranter, but it doesn’t make any sense to me to continue to focus on dividends when there has clearly been a structural change in the market (that happened way back in 1982). (For newer readers there is background reading with lots of links at the end.) Dogs of the Dow…

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Sharpe Ratios of Managers

The Sharpe Ratio is a measure of the risk-adjusted return of an investment. While there are a lot of ways to measure risk, the Sharpe Ratio uses the volatility as measured by the standard deviation of returns. Originally developed by Stanford Professor William Sharpe, it is simply the return of an investment (R) minus cash…

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LinkFest

Princeton-Newport is one of the best performing hedge funds of all time, and for a good review check out the great book Fortune’s Formula(more in the next post). 15% per year for 20 years and 3 down months is a pretty enviable track record. Thorp has a chapter in The Best of Wilmott, and you…

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