Anyone speak Italian?
Not sure if this article is a pan or praise:
"Vuoi un guru? Te lo copiamo noi"
Lazy Portfolios, or, The Revenge of 60/40
There has been some discussion around the blogosphere regarding returns from strategic asset allocation strategies. Here is a post on the Yale endowment & Swensen's allocation mix,
With the news that PIMCO is launching a real assets ETF, it now becomes possible to have a truly diversified portfolio with only 3 ETFs. 1 world equity, 1 bond, and 1 real...
People Suck at Investing Part II, the ETF Version
Least surprising data of the day. Although this has nothing to do with the vehicle (ETFs, the same thing happends with mutual funds), and everything to do with investor behavior.
Links
Great suggestion for what to buy Dad for Father's Day!
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Moving Averages: Holy Grail or Fairy Tale, Part 1
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Some new blogs added to the blogroll, including today's addition: Investment Linebacker
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10 Rules for Investing
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I haven't seen a mean variance optimization with human capital. Yet.
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Speaking of mean variance, this author argues terminal wealth is more useful. Link to the paper here: "A...
Fund Manager Profiles
I was making a list of books that profile fund managers - are there any that I am missing?
Hedge Hunters by Katherine Burton
20/20 Vision by Harry Liem
The New Investment Superstars by Lois Peltz
Market Wizards, The New Market Wizards, and Stock Market Wizards by Jack Schwager
Inside the House of Money by Stephen Drobny
Way of the Turtle by Curtis Faith &...
Active Fixed Income Investing
FAIL
The Paradox of Active Fixed Income Investing
(HT: Anon)
People Suck at Investing
Over the past 20 years investors in stock mutual funds have underperformed the S&P500 by 6.5% a year. (8.35% vs. 1.37%.) That return doesn't even keep up with inflation.
They did even worse in bonds, underperforming the Barclay's Aggregate by 6.7% a year. (7.43% vs. 0.77%.)
From the annual Dalbar study:
"The dramatic events that continue to plague our financial markets have...
Curve Steepeners & Flatteners
I actually have a Peter Bernstein book on my nightstand (The Power of Gold). RIP to one of the best financial writers ever.
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One of my favorite blogs (if not #1) gets a redesign. Congrats Abnormal Returns!
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There is a lot of talk lately about trading the yield curve, steepeners, flatteners etc (and here and here). Forest from the trees, I...
Mean Reversion
Below I update the post from May on mean reversion.
I’m not really sure what sort of benchmark to compare this system to, other than buy and hold of the asset class over the period, or maybe all monthly observations which is around .7% across the board. This system may prove to be a nice complement to the GTAA timing...
Required Reading
No wonder the timing model works so well on REITs.
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Ichan is having a great year. His AlphaClone portfolio (top 10) is up 25% YTD in 2009.
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New books on the way - "Nerds on Wall St" and "The Leveraged Space Trading Model". Anything by Ralph Vince is required reading.