Shiller P/E Ratios and 10Yr Annualized Real Returns
I was playing around with the data over on Shiller's website the other day and thought I would post a few of the charts. ...
Country Mean Reversion
I've written a bunch about mean reversion, most recently in May but also in my book. One strategy is to look for asset classes...
Airplane Reads
Some airplane reads:
Sovereign Risk: Beyond the Numbers - CreditSuisse
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Buy Write or Put Write: An Active Portfolio to Strike it Right - Yang
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The Value of...
NAAIM Paper Winner
Below is the paper that won the $10k Wagner Award from NAAIM for best paper. You can download it from the website. (And...
BAC to $27 and More Evidence for Cross Market Mo
Cross Market Mo
The Magic Formula (Arnott, not Greenblatt)
Ira Sohn Recap (so angry I didn't go!)
Yale’s Endowment Returns: Manager Skill or Risk Exposure?
Just out from my friend Peter Mladina of Waterline is a fun paper coming out in the upcoming Journal of Wealth Management Summer Edition. ...
CQR Weekly Sneak Peek
What I am reading this week:
I Want to Break Free - Montier
Electica Manager Commentary - Hendry
Global Strategy Weekly - SocGen
The Holy Grail...
Mean Reversion or the Return of the Bear? Or, How About a July and August Rally?
With most equity-like asset classes putting in some terrible numbers for May, I thought we would dredge up some old research on returns following...
The Reign and Romance of Risk
I was taking the Amtrak from SF to Sacto last night and sped through Redleaf's book Panic: The Betrayal of Capitalism by Wall ...
