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A Quant Approach to Bracketology

An article in the New York Times, “Don’t Always Follow the Crowds“, gives some advice on how to pick your bracket. Lots of positive implications in the professor’s research for my alma mater, a #4 seed. . . And an interesting study in predictive markets…

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Hedge Funds Levering Betas

In a previous post, we examined how a simple passive asset allocation and a more active strategy could perform in-line with the hedge fund indices. In their Daily Observations from January, Bridgewater examines the AUM at hedge funds and their leverage ratios (which have increased…

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Managed Futures. . . .Finally

I made a list a few years ago of ETFs/CEFs I would like to see hit the marketplace. Most of the products were simple alternative strategies that could be replicated with a systematic process. Bridgewater (“Hedge Funds Selling Beta as Alpha“) and the Partners Group…

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Biotech Stock Performance Around Critical Events

In her 2001 book “From Alchemy to IPO” Cynthia Robbins Roth cites a Hambrecht & Quist study of biotech stock movement surrounding clinical trial results (Phases I-III) and FDA approvals. The study examined the 12 months prior to and following the “event”. Is anyone aware…

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Cross-Market Momentum Follow Up

Kudos to CXO who summarized the paper “Class OutPerformance (COP) Strategy”. The author studied the effects of 1 year rolling cross-market momentum strategy updated monthly with 50 asset classes. Similar to my findings, the portfolio consisting of the top 20% of the asset classes outperformed…

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Option Selling Funds

Are option selling funds a blowup waiting to happen? For the past few years there has been a proliferation in option selling CTAs. These funds, while wildly different in their trading methodology, generally sell options on the US stock indices. This tactic produces very strong…

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Best Ideas Hedge FOF

I have examined a few different ways of cobbling together portfolios from hedge fund 13Fs: 1. Consensus – Putting together a portfolio of names that are owned by multiple funds.2. Replication – Replicating a single fund with its top 10 holdings.3. Conviction – The Morgan…

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