Model Validation and Further Research
The allure of a higher frequency system is compelling, but will higher transaction costs eat into results?It is always nice to see another analyst...
Tilson’s SuperInvestors and More Gender Bending
That's not your mother, it's a man, baby! - Austin PowersAfter the Journal of Wealth Management decided to change my name to Melanie, another...
Are You Listening Barclays?
Users get a bit creative with their ETF ideas. . . A few days ago I penned a column on ETFs that I would...
BGI to Launch Private Equity ETF
Investors can't seem to get their fill from the private equity fountain. . .The magazine cover indicator(see below for description) would be screaming to...
Improving the Timing Model
Can adding some complexity squeeze out some more performance?
In my paper, I examined how a simple timing method on 5 asset classes could improve...
Historical Equity Index Performance
I track the performance of roughly 60 country equity indices. Granted, most of the sample size is recent (there is only about 20 series...
Ultimate Stock-Pickers Portfolio
Morningstar uses a similar technique as our Best Ideas FOF, but with value mutual funds. They use elements of conviction, consensus, and then...
A Quant Approach to Bracketology
An article in the New York Times, "Don't Always Follow the Crowds", gives some advice on how to pick your bracket. Lots of positive...
Hedge Funds Levering Betas
In a previous post, we examined how a simple passive asset allocation and a more active strategy could perform in-line with the hedge fund...
