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...
Trendfollowing on Stocks
Apparently it works, and it works best on the most volatile stocks (whod a thunk it?)
The new paper : "A New Anomaly: The Cross...
Too Big to Succeed – Stocks to Avoid (MON, JNJ, PG, MCD, XOM, JPM, GE, MSFT, EXC)
Arnott's monthly letter is a must read. In the last issue, titled "Too Big To Succeed" he examines how the largest market cap company...
Blog Updates
There will be some cool new features and developments coming down the pipe soon for the blog and "other". Stay tuned!
Since a large number...
Thinking About Risk
There are lots of ways to (try and) reduce risk in a portfolio. Adding (truly) non-correlated asset classes, using risk management and tactical trading...
Trendfollowing on Currencies
I have been waiting for a mutual fund or ETF/N to come out on some other currency indexes other than carry, and value and...
