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QTAA Update: Conclustions and FAQs

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   The purpose in this paper was to create a simple-to-follow method for…

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Really Bad Months

Last month saw most asset classes decline, with the exception of US equities.  I thought I would put the declines in perspective – the below is since 1972 for the following main asset classes. Most equity like assets have had worst months of over -20%.…

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QTAA Paper Update: Weightings 10/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   EXTENSION 3 – WEIGHTING STRATEGIES No two investors are alike.  Some investors…

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Economic Fundamentals Suggest Higher Yield

I really look forward to Minerd’s purple charts of the week in their Macro View.  Today’s: “Historically, the real yield on 10-year Treasuries has closely tracked the University of Michigan Consumer Sentiment Index. The correlation broke down, however, in 4Q2011, as a result of the…

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QTAA Paper Update: Alt Cash Strategies 9/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   EXTENSION 2 – ALTERNATIVE CASH MANAGEMENT STRATEGIES   On average the tactical…

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QTAA Paper Update: Extensions 8/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   EXTENSIONS Other than simplicity, there is no reason to only focus on…

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Floaters

A lot of people are moving into cash “substitutes” to increase their yield, likely with unintended consequences.  Below is a nice piece from Vanguard on floating rate bonds:  

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QTAA Paper Update: Vol Clusters 7/10

Below we have updated our 2006 white paper.  While you can download the full 70+ page paper here, I’ve also chopped it up into a series of more digestible posts for the blog.   WHY IT WORKS – VOLATILITY CLUSTERING One of the benefits of a…

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