ETF and Portfolio Design Tools
Lots of cool innovation going on in the online finance space. A few interesting links:
Asset Class Backtester
The website also lists free sources for...
The Real Money Guessing Game – Yale Updates
From a post back in July - I will update this when all the funds report.
A number of real money funds report their fiscal...
Interview with Seth Klarman and Jason Zweig
Here is a nice interview with Seth Klarman and Jason Zweig from the FAJ (at MarketFolly and PragCap).
Klarman is not the best performing clone...
Robert Frost Quote
From a Deutsche Bank white paper:
"We took risks. We knew we took them. Things have come out against us. We have no cause for...
From Worst to First
Gold is universally loved as far as I can tell (when Pratt and the hipsters like it that makes me nervous). Can anyone leave...
Traveling, BuyWrite/PutWrite, and Mean Reversion Follow Up
I will be in Chicago next week at the M* ETF Conference Wed Sep 15th - Fri Sep 17th. Drop me a line if...
Book in Chinese
Apparently my book came out in Mandarin about a year ago and I didn't even know it. Are those gold coins on the front?
More Momentum
Nice Mo review paper by Moskowitz
Also another longer academic paper here Time Series Momentum
Abstract
We document significant "time series momentum" in equity index, currency, commodity,...
Black Swans Everywhere
From lesbian ballerina sex scenes with Portman/Kunis to a Thom Yorke NSFW song, the phrase black swan is dominating the media. (Trailer and video...
