Down 40% in 2007? You’re Promoted!

Travel abroad between 1996 and 2006? If you used a credit card, you are due at least a $25 refund according to a recent settlement. And if you’re the St. Tropez jetting, Ritz staying, Portillo skiing type (or international biz type), then you’re likely owed a lot more. Check out the CCF Settlement page for more info.


Wow, I imagine this device could get you in a lot of trouble. TV B GONE. I’ll be buying one to silence any game where the Broncos are down by more than 14 points.


The below is courtesy the good people at AlphaLetters:

Global Alpha’s Carhart Promoted At Goldman

– Despite the poor performance of Goldman’s flagship Global Alpha, which lost 40% in 2007, Mark Carhart (the co-portfolio manager of Global Alpha), is being promoted to co-chief investment officer of Goldman’s quantitative equity group, with eventual plans to succeed his co-chief, Robert Jones.
– These changes were not warmly welcomed by one top client: the Massachusetts State Pension Fund terminated its contract to run a $1.2 billion “enhanced equity” portfolio for the pension fund.
– Part of these changes will be the merger of Carhart’s group into the larger quantitative equity group(manages around 120 people) and the firing of 20 people in the process.

Massachusetts Pension Fund Fires Goldman Sachs

– The Massachusetts State pension Fund terminated its contract for $1.2 billion contract because of their board of director’s alleged discontent with performance and with staff changes.
– They expressed that Goldman had failed to outperform the S&P500 index and they will now temporarily invest money in passive funds that track indices.
– They were uncomfortable with the changes where Mark Carhart is expected to eventually head the merger of the quantitative strategies group and Goldman’s quantitative equities group.

QIM’s $2.9B Global Fund ‘Struggled’ In January

– Quantitative Investment Management, a $3bn quant fund, dropped by 7.77% in January, mainly due to market volatility, fraudulent at Société Générale and the drop of the DJ Euro stoxx 50 index
– Majority of the losses occurred during the days going into Martin Luther King Day, where the Global Program was long all of the global indices. The program’s biggest loss was in global stock indices (-7.58%) followed by a small loss in the interest rates sector (-1.18%)

Beware value traps in financials

– Although US Financial may look too cheap to pass up, strategists at Merrill Lynch are wary stocks that are “value traps” because they have further to fall.
– They believe the two industry groups that were heavily hit, financial and consumer discretionary, and only consumer discretionary is beginning to look attractive.
– According to Subramanian (quantitative strategist at Merrill Lynch), a typical Down cycle lasts around 11 months, Financials are only at their 5th month and thus too early to buy into financials.
– However, she sees signs of life in the discretionary sector

Hedge fund performance numbers in 2007Q4, including some quant funds

Shorting stocks was the way to go for hedge funds in the fourth quarter

– The most profitable strategy in the fourth quarter of 2007 is shorting equities with average performances of 13.23%.
– According to Morningstar, outperformance of emerging market specialist funds due to good returns from Russia, India and China and shorting
– Q4 performance numbers for some quant funds under the category of “Global non-trend funds”:
Balestra Capital Partners 40.42%
Clarium 30.89%
Quantitative Global Fund (3X) 28.73%

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