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Model Validation and Further Research

The allure of a higher frequency system is compelling, but will higher transaction costs eat into results? It is always nice to see another analyst validate your research. Formula Research took a crack at the timing model , and after adding a few tweaks(substituting corporate…

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Tilson’s SuperInvestors and More Gender Bending

That’s not your mother, it’s a man, baby! – Austin Powers After the Journal of Wealth Management decided to change my name to Melanie, another group deemed it necessary to turn me into a woman. I am speaking at the Asset Allocation Summit in London…

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Are You Listening Barclays?

Users get a bit creative with their ETF ideas. . . A few days ago I penned a column on ETFs that I would like to see hit the marketplace. My list is below, followed by all of the reader suggestions. One of the more…

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BGI to Launch Private Equity ETF

Investors can’t seem to get their fill from the private equity fountain. . . The magazine cover indicator(see below for description) would be screaming to get out of private equity right now, with Blackstone going public, and firms rushing out private equity funds. That having…

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New ETFs

Will any of the new ETFs catch your eye? With the dozens and dozens of new products hitting the market seemingly daily, there are a number of “holes” that I would like to see launched as ETFs. The recent launch of the Rydex managed futures…

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Improving the Timing Model

Can adding some complexity squeeze out some more performance? In my paper, I examined how a simple timing method on 5 asset classes could improve the returns vs. a passive buy and hold allocation. I want to explore an additional area of research – timing…

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Historical Equity Index Performance

I track the performance of roughly 60 country equity indices. Granted, most of the sample size is recent (there is only about 20 series in 1970, and 40 in 1990). Below is a chart of % of countries with a positive return in any year,…

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Ultimate Stock-Pickers Portfolio

Morningstar uses a similar technique as our Best Ideas FOF, but with value mutual funds. They use elements of conviction, consensus, and then overlay it with the Morningstar ratings and price/fair value estimates. Current names include: Tyco (TYC) Wal-Mart (WMT) Dell (DELL)Berkshire (BRK.B)Time Warner (TWX)Expedia…

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