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...
Managed Futures. . . .Finally
I made a list a few years ago of ETFs/CEFs I would like to see hit the marketplace. Most of the products were...
Biotech Stock Performance Around Critical Events
In her 2001 book "From Alchemy to IPO" Cynthia Robbins Roth cites a Hambrecht & Quist study of biotech stock movement surrounding clinical trial...
Cross-Market Momentum Follow Up
Kudos to CXO who summarized the paper "Class OutPerformance (COP) Strategy". The author studied the effects of 1 year rolling cross-market momentum strategy...
Mean Reversion Follow-Up (Or, the Political Uncertainty Portfolio)
In a previous study, I examined the results of investing in equity markets when they experienced negative years X years ago. The chart below...
Option Selling Funds
Are option selling funds a blowup waiting to happen?For the past few years there has been a proliferation in option selling CTAs. These...
Best Ideas Hedge FOF
I have examined a few different ways of cobbling together portfolios from hedge fund 13Fs:1. Consensus - Putting together a portfolio of names that...
Got That Sinking Feeling?
The equity markets took a big whoosh down today, and many other asset classes suffered as well:That's what market pundits talk about when they...
The Long Lasting Momentum in Weekly Returns
Link to this paper is here. "While prior studies examine the performance of stocks with extreme weekly returns for only a few weeks, which...
