Emanuel Derman’s Blog
Just came across his blog - it's a good read. He is a much more sophisticated and academic (I consider myself a quant...
Hedge Funds
Readers of this blog will have already seen the material, but I have an article this month in the British publication, The Technical Analyst.Link...
Unusual Arbs
"Money won is twice as sweet as money earned" - Fast Eddie Felson, The Color of MoneyMy first exposure to arbitrage was while attending...
The Volatility Effect & Following Your System
As always, CXO does an exemplary job summarizing a new paper out titled, "The Volatility Effect: Lower Risk without Lower Return". Bottom line...
Not So Good News For Exxon
Mohnish Pabrai is a hedge fund manager in the style of Warrenn Buffett, and his hedge fund has reported annualized returns of over...
Too Many Factors! Do We Need Them All?
As usual, CXO does a great job distilling a long academic paper into the key points. This paper is worth a read and...
Out of Sample Results and Price Shocks
Backtested results may not reveal the effects of unanticipated shocks to the system.Most managed futures trendfollowing systems have seen historical declines that exceed their...
Reader Questions
World Beta listens to reader questions and pens the responses over the Easter holiday.It is gratifying to see that my paper on tactical asset...
Phoenix Rising
If you could come up with a short list of former Internet high fliers, CMGI would certainly be near the top of the list....
