Kind of a foggy day here in SF, but have had fun catching up with old friends and new meetings as well. Drop me a line if you’re in town as I’ll be here through tomorrow…
Chatted with Maz at AlphaClone, which is demonstrating some solid evidence of the benefits of 13F investing and AC’s strategies are having a great year…AlphaClone has a new ETF out (ALFA) that is one of the more interesting ETF launches in awhile. It combines 13F algorithms with some tactical risk management that most of you will be familiar with. (FYI Disclosure: New readers may not know I co-founded the company and still have a stake.) Some of the names we have talked about for years are having great years (JANA & Appaloosa top 10 holdings are both up > 30%).
Had a interesting conversation with Chris from ETFReplay. His site is a great resource for those looking to backtest ETF strategies similar to what we have done in some of our white papers and books and is worth a look.
In other news, Shiller has announced some cool new indexes based on his CAPE work but applied to sectors. You know I like the concept, and our recent paper Global Value is quickly becoming our third most popular white paper…Though I’m not sure why in the world they would structure the products as notes or structured products. Interesting to notice that the new “modified CAPE” includes momentum in the calculation…
“The Shiller Barclays CAPE US Sector Index takes a long position in four favoured sectors, that are undervalued and possess relatively stronger price momentum over the past 12 months. Each month, the Index ranks the 10 US sectors based on modified CAPE ratio and 12-month price momentum, equally allocating across top 4 ranked sectors.”
And lastly, for those investors in the sporting arena, a really interesting behavioral application to betting on sports…west coast teams have an edge for night games…SF -6.5!
