I’m doing my best to get my feet wet designing and sending out a monthly email newsletter.

You can view the first version that went out tonight here, and you can also sign up here.

Let me know your suggestions!

Nice article on Bridgewater panicking moving into safe mode.

Nice article on Summers and Harvard.

Cool new equity modeling site.

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Lots of new shareholder letters on Hedge Fund Letters.

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Timothy Sykes launches Investimonials.  I always thought there was a huge need for a Brightscope style offering for RIAs and brokers – reporting and doing due diligence on them is impossible.  I’m not sure this is the answer, but looks like a good first step and has potential.  This is more retail oriented.

I would think it would be a lot more useful if the reviews were not anonymous – ie tied it into Facebook Connect, or maybe like Amazon’s system.  That way you avoid people trashing/promoting certain products and sites.

If I were Sykes I would also pull all my products from being reviewed so that it doesn’t end up as a third party marketing site for his products.

If inclined, feel free to write the first review for World Beta or AlphaClone.

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I didn’t know my friend James now writes for AOL, will add to blogroll…

Dubai trying to ruin a perfectly nice Thanksgiving.  Pics on the amazing amount of construction below:

Happy Thanksgiving to all the World Beta readers.  Below are some truly spectacular photos from the National Geographic Photography Contest to lead you into the long wknd (I mean, no one works Friday do they?)…

Gallery 1

Gallery 2

I have no problem with negative book reviews, but book reviews where they clearly did not read the book (and still took time to criticize it) drive me nuts. If you read the entire book, go leave a review! (1-5 stars doesn’t matter to me as long as you read it.)

The most recent review on Amazon (my bolding, and btw what is a loosing method?):

I got my copy from the library. The best part of this book is thinking you will be successful like big endowments. It gives you alot of confidence to be like Harvard or Yale. The author suggests good diversification and recommends a part of the portfolio with commodity plays like the etf DBC and foreign investing. However it is still very much a buy and hold type of investing method that is generally not helpful for us little guys. We need to be thinking more trending with stops to prevent serious losses. I would suggest The Perfect Portfolio by Hevner. It has much more practical advice in actively managing funds. The Ivy portfolio is well written, but I think it fails like all of us did during the crash of 08/09. All the big IVY funds had serious losses in 08/09. I don’t think we should be emulating a loosing method.

Although this is still my all-time favorite 1star review:

I ordered this book on April 23rd, today is May 27th and I still have not received it. I have sent many e-mail’s and have not got a response.

I spend a lot of time talking about our industry (and all the warts and snake-oil that is sold) with the boys at BlackStar Funds.  Below is a summary of a back and forth where we discuss survivor bias, as well as just how rare a Sharpe Ratio of 1 is over long periods of time.

In this case, we’re talking about Commodity Trading Advisors (CTAs).  The 25 largest CTA’s with at least 10 years of performance history:

Avg CAGR: 13.2%

Avg Volatility: 14.9%

Avg Max DD: -18.1%

Avg Sharpe: 0.66

These number are AFTER the fact, and do not include the results of funds that have disappeared (and this effect is HUGE).  They are the largest CTA’s because they’ve had the best returns (or the best marketing).

We have a done a ton of posts in the past that show how survivor bias misstates returns by 4% or more per year.

Out of 140 CTA’s with 10+ years of track record (regardless of assets), only 3 have Sharpe ratios greater than 1.

For some great background reading on professionals and Sharpe Ratios check out this old post.  Also here is a nice old post of mine on hedge funds and survivor bias.  This great white paper shows that CTA’s do indeed add value, but they capture most of it in their fees.

The biggest of these is AAA Capital Management, a discretionary Energy trader with $640 million AUM.  The second is Newton Capital Partners, a global macro fund that trades stock indexes, currencies, and government bonds with $178 million AUM.  The third is Capricorn Advisory Management, a dedicated currency manager with $62 million AUM.

Even with survivorship bias almost nobody has been able to sustain a Sharpe ratio above 1.

Below is the cumulativeve distribution of the Sharpe ratios for the 140 CTA’s with the longest track records.  Look familiar??? Remember, this is with all the funds that disappeared because they blew up.

…let a NYTimes bestseller convince you otherwise (HT: Sea):

“If I published only one book a year, and it did as well as this one, my net would be only around $2500.00 over the income level considered to be the US poverty threshhold.”

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Don’t have much to post, so I thought I’d give a big shout out to my two favorite data providers that are the best sources for historical data, and quant research respectively – Global Financial Data, and Ned Davis Research!

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The value of all the C letters after your name.

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Who’s buying CAH, MON, and JPM?  Go check out AlphaClone…rebalanced portfolios last nite.

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Redesigning the NFL’s worst helmets.

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Perfect Xmas present for the bird lover.   Amazing photos…Bird by Zuckerman

Photographs

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Paste’s Best of the Decade – filled up my Netflix for awhile…

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The Yale Model

…or you can just head over to the Tiger Cubs clone on AlphaClone.   Gotta love that NC twang (mine came back for about a week when I was home, but gone mostly now).

Great videos.

PART I

PART II