Really with Seth and Amy Part II

Wow. How can you possibly say this with a straight face? AND get promoted to CFO at Goldman Sachs?"We are seeing things that were 25-standard deviation events, several days in a row" - David Viniar, Goldman CFOSo, that is an event that happens, what, every 100,000 years? SEVERAL DAYS IN A ROW?Really? And over to a...

Round 2 Ends in a No Decision

Now that the 13Fs have been filed with the SEC, it is time to update the Hedge Consensus and Hedge Fund Best Ideas Portfolios. (We quit tracking the Activist Portfolio - for the reasoning read this earlier post.) In our backtest, tracking the hedge funds resulted in an increase in returns of around 6%-12% with similar risk as buy...

Quant Train Wreck

Is Barclay's (BCS) a good short? Jeff Mathews seems to think there is more to come. An update for their 32 Capital Fund is scheduled by tomorrow.AQR down 21% YTD.Goldman's Global Alpha down 27% (40% drawdown) and Equity Opps down 30%.Tykhe Capital down 17% to 31% in August.Simon's (Renaissance) letter to investors.and Lehman's comments on why it...

Market Neutral Funds Need a Humor Coach

After recent market action, I feel like quoting Borat from humor school. "Market neutral funds are market neutral . . .NOT!"[youtube https://www.youtube.com/watch?v=vIWIze4vFf8&w=425&h=350]A table of the listed "alternatives" is below. The arb funds (convertible and merger) and managed futures had respectable down days compared to the other funds, while holders of market neutral TFSMX are smarting after a...

Dividends and Payout Yield

“When the facts change, I change my mind – what do you do, sir?" - J.M. KeynesI relish the freedom in being able to change my mind (some would say to a fault). One huge problem in any profession is vested interests. WisdomTree, for example, has built their entire business around dividends. When confronted with a...

$50M for a domain?

Red Herring reports that the owner of pharmacy.com is looking to fetch $50M for his domain. Wow. Then again, business.com went for $350M. . .Seeing as Merrill Lynch, Goldman Sachs, J.P. Morgan Chase, IndexIQ, Stonebrook Structured Products, State Street Global Advisors, and Deutsche Bank AG are ALL launching hedge fund clones, don't you think one of them...

Investing 101 – A Reading List

Here is a great PDF from James Montier (Global Equity Strategy at Dresdner) describing his favorite investment books. I picked up a couple I had never heard of for some end of Summer beach reading. . .The Robot's Rebellion: Finding Meaning in the Age of Darwin Psychology of Intelligence Analysis

Endowment Investing – So Easy a Caveman Can Do It

A recent article in the WSJ, "Why Harvard is Smarting", takes a look at a hedge fund investment gone bad. I have blogged numerous times on the outstanding track records of the top university endowments, Harvard and Yale. (You may also want to check out a similar previous post on comparing a simple asset allocation to the hedge...

BuyWrite and PutWrite

Let's exclude all the historical data that would impact our strategy the most negatively, that way we can peddle the system on an unsuspecting public. BRILLIANT!A spokesman from the CBOE sent me this note in response to why the CBOE didn't include pre-1988 results in their option selling indices. I disagree completely of course (especially with the...

Tracking the Hedges and Activists

A recent article in BusinessWeek highlights a topic readers of World Beta have been privy to for some time - that following the top investors can lead to abnormal returns. Another paper, "The Investment Value of Mutual Fund Portfolio Disclosure",tackles the subject.ABSTRACTThis paper uses disclosed mutual fund portfolio holdings to develop stock selection models. Our models aggregate portfolio...