Airplane Reading
Anyone have anything else good for my redeye flight tonight?
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
75% of funds have zero alphas, 24% of the funds had negative alphas, and you can do the math on the rest. . .
Abstract:
This paper develops a simple technique that controls for “false discoveries,” or mutual...
Formula Investing by Greenblatt
Very cool new site powered by Pershing / Inautix...maybe we will implement something like this?
Formula Investing website (and Greenblatt's very good book here).
Here are backtested results for the model. Would be interesting to use this system as your alpha generator, then hedge out the market risk when below a long term moving average?
Dear Reader,
Have no fear, the Magic Formula...
$4 Billion in assets…
and not profitable!
WisdomTree needs $2.4 B more to get to profitability...
Top Value Mutual Funds
I was thinking about doing an article on the top value funds, and creating an AlphaClone portfolio on them. (Or maybe a follow up to Buffet's Graham and Doddsville speech.)
Leave a comment with your 5 favorite/top value funds. A short list is below and let me know if I left any off:
Berkshire Hathaway BRK.B
Ariel Appreciation CAAPX
Barron Asset...
Seth Karlman & Baupost Group
All you ever wanted to know about Seth Klarman and Baupost from HFL.
Just curious, does anyone have yearly Baupost returns?
Consensus Views
Are there any more consensus views right now than:
-interest rates are going up, and
-gold is going up
?
PTJ
via Zero Hedge, all seven parts of Trader - The Documentary. Highly recommended viewing.
httpv://www.youtube.com/watch?v=ELiKV9Kqo84&feature=player_embedded
httpv://www.youtube.com/watch?v=RarqLQ6d6RY
httpv://www.youtube.com/watch?v=Gp7ZbNGYHTc
httpv://www.youtube.com/watch?v=V8pWUOPaN0g
httpv://www.youtube.com/watch?v=xmge7PE7I84
httpv://www.youtube.com/watch?v=jFOXDtHi8os
httpv://www.youtube.com/watch?v=yIwHoOud01s
Persistence in Hedge Fund Returns
One more reason to like AlphaClone. . .
Do Hot Hands Exist Among Hedge Fund Managers?
RAVI JAGANNATHAN, ALEXEY MALAKHOV, and DMITRY NOVIKOV∗
Abstract
In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility...