40% Returns over 20 Years

(One of the benefits of being in freezing Berlin for the week is that I am getting a lot of writing done.  Just finished a paper on investing in stocks and hopefully it will be out soon.  What a beautiful city this is (as was Paris), and looking forward to some great food, beer, and meetings this week.) I like...

95% Cancer, 5% Alpha?

From the Financial Times:  "Assessing the performance of funds of hedge funds", B. Dewaele, H.Pirotte, N. Tuchschmid and E. Wallerstein: "Applying the FD procedure to the first model, we find that, after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds. Applying the FD procedure to the second model, we find that only a very small...

Demographics and Some Uncomfortable Truths

I read this article on the plane en route to London.  PIMCO has been hinting at their recent work in the demographics space and I hope we see more here...

Well That Was A Surprise…

I don't pretend to have the same preferences as my audience, and that is why I often ask questions and poll the readership.  If you  remember back to 2008 I had a design contest for the book cover and let users pick the winner and eventual cover.  Much to my surprise, the cover I like received about 5% of...

New Book

After viewing the responses to our last survey, we have decided to update a few of our white papers and expand upon them.  The biggest question I have is, "How do you want to read long form content?".  Since this update will likely be somewhere between 50-300 pages, I would like to poll the readership as to your preferred...

Emerging Market Models

Nice post from my buddy Jake at Econompic Data on timing models in emerging markets...  

Bear Markets in the DJIA 1899-

I always look forward to reading the great work out of the folks at The Leuthold Group.  Here is a great chart from their monthly Green Book, a must read ($).  

New Books

A few new books on the bookshelf: Grand Pursuit - Sylvia Nasar The Inner Voice of Trading- Michael Martin Below is a great quote pulled from The Inner Voice: "We analyze massive volumes of noisy data from the markets, trying to find patterns that we can "bet" on.  I would say we have considerable humility compared with most participants in the financial markets,...

Sentiment Update

I thought I would post a few charts for perspective from AAII recent updates.  Click to enlarge:   And a nice PPT slide from the good folks at OSAM:

Sitting on the Valuation Mountaintop

Great new piece from the folks at RA - "King of the Mountain (PDF)".  It takes a look at how PE Ratios respond to real interest rates and inflation. Quick summary:  There is a sweet spot with moderate real yields (2-5%) and moderate inflation (2-3%).  When conditions move outside of these bands (ie, now), PE Ratios tend to be much...