Friday LinkFest

This new book is a must read: Fooling Some of the People All of the Time: A Long Short Story by Greenlight’s David Einhorn (forward by Joel Greenblatt of “Little Book that Beats the Market” and Gotham).

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Quote of the day, “Once we realize that imperfect understanding is the human condition there is no shame in being wrong, only in failing to correct our mistakes.” George Soros

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A while back I posted a link to this GTAA paper from Analytic Investors. Bespoke takes a look at global PE Ratios here. Long Italy and Germany, short China and the US?

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Has anyone heard of any firms/funds using PSP or PFP to try and isolate pure alpha in private equity? I guess one could use the S&P or Nasdaq almost as effectively.

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Need to find the cost basis of that GE you bought 40 years ago? NetBasis can help (for a expensive $20 per stock).

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Nice blog – designing better futures.

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When you have an hour to spare, “Scientific Frontiers and Technical Analysis” by Kevin Hanley.

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With coffee futures trading down, and this news, is it time to get long?

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Did you know that if you add &fmt=18 to the end of a Youtube url it comes in high def? Compare these two videos for an example:

Regular

HiDef

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Nice rule(s) of thumb:

Individual asset classes have a Sharpe of around .25

A 60/40 allocation has a Sharpe around .35

A balanced allocation, endowment style, has a Sharpe around .55

Overlaying the quant model can take the Sharpe to .85

Individual asset classes have a return/risk ratio of about .5

A 60/40 allocation has a return/risk ratio of about .8

A balanced allocation, endowment style, has a return/risk ratio of about 1

Overlaying the quant model can take the return/risk ratio to about 1.8

Individual asset classes have a MAR ratio of about .25

A 60/40 allocation has a MAR ratio of about .4

A balanced allocation, endowment style, has a MAR ratio of about .6

Overlaying the quant model can take the MAR ratio to about 1.2