Mean Reversion
Below I update the post from May on mean reversion.
I’m not really sure what sort of benchmark to compare this system to, other than...
Required Reading
No wonder the timing model works so well on REITs.
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Ichan is having a great year. His AlphaClone portfolio (top 10) is...
Timing Updates
Customer service (or total lack of) at Stockcharts is driving me crazy. GRRRRR. Hope this works.
Timing Updates
Templeton Update
Stockcharts now has the 10-month SMA for free (Hat Tip: GK).
Go to the tab above for timing updates!
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Swensen transcript from WealthTrack
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How to read the...
Long Bond Pain
What do the years 1920, 1973/74, 1980/1, 2009 have in common?
Routs in the long bond, which is currently in the largest drawdown I can...
Currencies
I have no idea why someone doesn't launch currency value (PPP) and momentum ETFs/ETNs in addition to the carry strategy.
Nice papers:
The Revenge of Purchasing...
Ira Sohn Recap
I wrote a really long post on this topic then managed to delete it. Instead of recreating it, here are some summary links:
Will Hedge...
Hedge Fund Masters
All the 13Fs are in and the rebal has taken place for AlphaClone. I started tracking a "Hedge Fund Masters" Clone in Jan 2007...
