London Trip
If you live or work in London, drop me a line. I am in town for a couple of speaking engagements. Battle of the Quants, June 14IRC Asset Allocation Summit, June 18-22If anyone is attending either conference, please introduce yourself!
Q&A with Harvard’s El-Erian
The full article can be found here.Q: Could you give us some specific pointers as to how you do that ?A: Absolutely. We feel that there are four distinct, albeit inter-related, issues that long-term investors need to take into account - and they're what we think of when constructing and managing the Harvard portfolio. They're factors we believe will...
Hedge Fund Best Ideas L/S & Market Neutral
I am not sure why I didn't think about this before, but below is a table with hedged versions of the Hedge Fund Best Ideas Portfolio. The L/S version is 50% hedged, rebalanced yearly. The Market Neutral version is 100% hedged, rebalanced yearly. I repeated the portfolio with both S&P and Russell 2000 Indices as hedge...
When a Picture is Worth 1000 Dollars. . .
The first chart is the spread between corporate bonds and 3-Month T-Bills. The second chart is the spread between emerging market bonds and U.S. Three possible plays on tight credit spreads would be to buy AFBIX, or to short LQD or HYG.
Buying the Highs vs. Buying the Lows
Turning your back to all of the available information can lead to false conclusions. . .When it comes to selecting stock factors, I am admittedly agnostic. I constantly remind myself to let the data speak for itself, all while layering in a bit of common sense. I resist the urge to label myself a value guy,...
Q & A on Commodities
Here is a link to the original PDF, "Strategic Asset Allocation and Commodities", and also to the Q&A with Bob Greer from PIMCO. Put your thinking cap on - I am still undecided about a few of the conclusions in the paper. . .(Bolding below is mine).Q: And what did Ibbotson conclude regarding the optimal size of an...
Publicly Traded Hedge Funds in the US?
One can only hope that this is the beginning of a trend. GLRE started trading this week.
A Few Good Quotes From Capital Ideas Evolving
Blake Grossman , "The markets are very efficient, very dynamic, constantly reaching greater levels of efficiency that makes them more and more difficult to beat. The half-lives of our strategies are shrinking"Bob Litterman , "I am not worried that markets are fully efficient - yet. But they are becoming more efficient all the time, and fast. ...
