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: ...
New Portfolio
In addition to the regular portfolios I track, I am going to add one that updates monthly reflecting the logic from my paper "A...
Endowment Update
Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing...
How Smart Are the Smart Guys?
Are hedge funds the juiced up managers that deliver outsized returns to go along with their outsized fees? Or are they just mediocrity in...
Guru Lazy Portfolios
One of the most often asked questions I get regarding my paper is "Why do you have such a large allocation to real assets?"...
A Global Factor Approach to Asset Allocation
For those that read my paper, "A Quant Approach to TAA", I examined the use of a single factor (momentum) in constructing a global...
