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...
Holy Betas!
Are hedge funds returning great performance, or is it merely an illusion and they're selling world betas in disguise?Having examined how the timing model...
Just a Thought
Out of the 11 guru portfolios on The Kirk Report (Swensen, Stein, etc) not a single one had any allocation to commodities...Swensen, who places...
Formula Research
Some of my work was featured in the last issue of Formula Research. If you have not heard of this newsletter, it is...
A Better Dog
A wonderful paper scheduled for April publication in the Journal of Finance takes a new twist on the Dogs of the Dow strategy. The...
Consensus Portfolio Updates
Here are the updated portfolios for the Hedge Fund Consensus, and Activist Consensus Portfolios. Performance from 12/31/2006 - 2/21/2007 is below:Hedge: ...
