AlphaLetters Weekly Paper Review

I am excited to announce a new feature to World Beta readers - a weekly review of some of the top academic working papers in quant research.I mentioned AlphaLetters a few weeks ago when discussing a paper that CXO had reviewed. AlphaLetters is a bi-weekly subscription newsletter focused on summarizing the deluge of quant-based working papers in investment...

CBOE S&P 500 PutWrite Index (PUT)

(Note: Original table is corrected, thanks for the heads up)CBOE just introduced a new PutWrite index to complement their BXM covered call strategy. I imagine this data would be A LOT different had the start date been one year prior (instead of the Summer 1988 date they use).I have blogged about options writing before, and here is an...

New Listed Diamond Hedge Fund

Foreign markets, especially London, continue to innovate with listed alternatives far more than the US. The US just recently listed the first quasi-hedge fund (GLRE), although there is news that Man is preparing to list the first true hedge fund in the US.(Although I must say I am looking forward to returning to the "cheaper" cities of NYC...

US States Renamed For Countries With Similar GDPs

Thought this picture was interesting. . .full text here.

Summer Reading

I don't know how CXO does it, I really don't. They consistently churn out great reviews of cutting edge academic papers. In a recent review, CXO takes a look at a Andrew Lo paper titled, Financial Econometrics. An interesting aside, here is the book(s) that forever altered Lo's college career choice towards economics. :Paul Samuelson's...

100th Post, Tally Ho!

It has been slightly more than 5 months since I started my blogging experiment, and today is officially my 100th post! (It certainly feels much longer than that.) It is a bit surreal to be in a London cafe right now, having just polished off some of the best dim sum I have ever had after watching my...

London Trip

If you live or work in London, drop me a line. I am in town for a couple of speaking engagements. Battle of the Quants, June 14IRC Asset Allocation Summit, June 18-22If anyone is attending either conference, please introduce yourself!

Top 100 Stock Blogs

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Q&A with Harvard’s El-Erian

The full article can be found here.Q: Could you give us some specific pointers as to how you do that ?A: Absolutely. We feel that there are four distinct, albeit inter-related, issues that long-term investors need to take into account - and they're what we think of when constructing and managing the Harvard portfolio. They're factors we believe will...