Reading anything interesting? Send me your links. . .
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It is always nice to see a model continue to perform out-of-sample. Below are the results of the “Quant Approach to TAA” paper since it left off in 2005. Equity-like returns with bond-like volatility and low drawdowns. Obviously much of this outperformance is due to the spectacular run in commodities and the (relatively) high allocation this model uses at 20% of the portfolio. This does not include June and the additional 5% dump in the S&P500. One could use five simple ETFs to replicate the asset classes mentioned in the paper (VTI or SPY, VEU or EFA, BND or AGG, VNQ or IYR, and DBC or GSG).
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Alpha’s top 100 hedge funds. ESL is the worst performer at -27%. With the exception of 4 funds, all are US and UK firms.
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I love napping (and it looks like I’m not the only one) – here is a good link on “how to nap“.
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I’m giving Jott a try, and so far I like it.
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The Netflix Player by Roku – very cool.
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Some really cool “American consumer” art over at Chris Jordan’s site. Can you guess what the below picture depicts?
