Which Portfolio Would You Rather Have?
Which portfolio would you rather have? From 1985 - 2008: Portfolio A Return: 11.98% Volatility: 15.60% Sharpe Ratio: 0.43 Worst Year: -17.99% or Portfolio...
The January Effect After Really Bad Years In Stocks
2008 is shaping up to be a terrible year for stocks with most indices down around 40%. It...
Tbills Yield Nothing, Gold is in Backwardation, and Shilling Hits it Out of the Park
I spent the past weekend in Colorado (go Broncos!), and looked through my father's library at some of my old books. I grabbed...
AlphaClone Launches!
After a year of hard work, the startup I have been working on with my co-founder Maz Jadallah goes live today!I will do a...
Long/Short Version of the Model
I get some of the same questions regularly- so when I do the site redesign I am going to include tabs for FAQs as...
Being Long Classic Risk Premia Is A Terrible Place To Be This Year
Being long traditional risk factors has been an awful place to be this year. The lesson of the stability of correlations is especially...
The Capitalism Distribution: Fat Tails in Action
Quick, before you read this post, ask yourself these questions:
1. What percentage of stocks beat their benchmark index over their lifetime?
2. What percentage of...
AlphaClone Beta Launch!
Take the tour here!Free Warren Buffett clone example here. Beats the market by 10% a year since 2000, including outperforming the market by...
Market Timing is Impossible
That was the response of a certain Nobel Laureate when I tried to get him to read my paper "A Quant Approach to Tactical...
