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Consensus Portfolio Updates

Here are the updated portfolios for the Hedge Fund Consensus, and Activist Consensus Portfolios. Performance from 12/31/2006 – 2/21/2007 is below: Hedge: 5.76%Activist: 2.61%SP500: 2.72%Rus2k: 4.79% AMP was the best HFC stock up 24.29%, and the worst performner was AXP at -3.66%.AKS was the best…

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New Portfolio

In addition to the regular portfolios I track, I am going to add one that updates monthly reflecting the logic from my paper “A Quant Approach to Tactical Asset Allocation.” I labeled it GTAA (Global Tactical Asset Allocation) and I will update it at Stockpickr…

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Endowment Update

Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing how a simple buy and hold can replicate the returns of the top endowments, this post focuses on comparing the endowments…

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How Smart Are the Smart Guys?

Are hedge funds the juiced up managers that deliver outsized returns to go along with their outsized fees? Or are they just mediocrity in disguise? Maybe they are former shadows of the heyday years of Tiger and Soros? Or maybe there are some great ones,…

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Guru Lazy Portfolios

One of the most often asked questions I get regarding my paper is “Why do you have such a large allocation to real assets?” (ie I divide the asset classes evenly with 20% weightings, thus assigning 20% each to Commodities and REITs). The main reason…

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A Global Factor Approach to Asset Allocation

For those that read my paper, “A Quant Approach to TAA“, I examined the use of a single factor (momentum) in constructing a global portfolio. There are a whole host of other factors, and Harindra de Silva right down the road at Analytic Investors has…

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Published!! Errr…sort of. . .

(EDIT: They have since corrected the mistake) I have a research paper that just got published in the Spring 2007 Journal of Wealth Management titled “A Quantitative Approach to Tactical Asset Allocation”. (Un)fortunately, someone on the web team confused my name Mebane with Melanie (not…

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Buffett Follow Up

S&P has a published screen that follows the Buffett methodology based on Robert Hagstrom’s book “The Warren Buffett Way: Investment Strategies of the World’s Greatest Investor.” The criteria are as follows: 1. Owner earnings (cash flow – capital expenditures) > $50M (changed in February 2006…

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