Weekend Reading

The TIPS Bond ETF is up ~ 9% this year, and has had a strong move lately. I wonder why?

Most quants I know perfer the complex to the simple, and more factors to less. I (usually) sit on the other side of the fence, opposite Mr. Rube Goldberg.

This fellow would make a great quant! (Although I must say the engineer in me is mighty impressed. . .)

Since PanAgora is one of the top 7 quant firms (why didn’t they do top 10?), I thought I would link to a couple of their research pieces. First, the other six firms are:

AXA Rosenburg
Barclays Global
Northern Trust

Couple articles from PanAgora’s site:

The King of Quants
Risk Parity Q3
Risk Parity Q2

Question – why hasn’t anyone launched an “All weather ETF”?

And an article from Quantext, “Getting the Most Return for Your Risk“.

I wholeheartedly agree with the author that a good buy and hold asset allocation can get you to about a 1:1 ratio for return to volatility. With a few tweaks (like risk parity) you can do slightly better, but not a lot better without resorting to active management.

The author has built a software company based around the Portfolio Planner application which I am going to take for a spin. You can email Geoff for a free trial. Quantext homepage is here.

Some of his other white papers:

Personal Portfolio Management

True Diversification
Perils of Using Asset Allocation Tools

Is ProElite a good short?

If shipwreck Black Swan turns out not to be located in Spanish waters, OMEX could double. If it is, the stock is going to sink like an anchor. . .

Seems like a small sample size but interesting nonetheless. An Economist Goes to a Bar & Racial Preferences in Dating

Women of all the races we studied revealed a strong preference for men of their own race: White women were more likely to choose white men; black women preferred black men; East Asian women preferred East Asian men; Hispanic women preferred Hispanic men. But men don’t seem to discriminate based on race when it comes to dating. A woman’s race had no effect on the men’s choices.