Asset Allocation Backtester, Quant Funds, and Market Timing
Of the 10,002 US Stock Mutual Funds Morningstar tracks, ZERO are up on the year and the average performance is -43.63%.Of the 2,892 Foreign Stock Mutual Funds, ZERO are up on the year, ZERO are down less than -10%, and the average performance is -50.75%.----It is about time for the Hedge Fund Masters update, but since AlphaClone is (finally)...
You Should Listen to Jim Rogers
From December 2007:Rogers, who is short Fannie Mae shares, is also short Citigroup (C, news, msgs) and highly negative on its prospects, too."Technically, it's bankrupt, with gigantic off-balance-sheet derivatives positions whose value it cannot possibly know," he says. Though he believes some large banks can and will go under in the next year or two under the weight of...
Global Multi-Asset Fund
PIMCO has a new fund out managed by El-Erian and crew - Global Multi-Asset PGMDX. Although it looks expensive with a 1.5% managment fee. Fact sheet here.Interview with the managers here.----A cool art site to pick up art on the cheap.-----Nice quote I saw at a coffee shop this AM:"The only people for me are the mad ones, the ones...
Weekend Linkfest
I always save old copies of Barrons that had investment ideas I found interesting, but wanted to revisit at a later time. I then end up losing them and forgetting about the investment thesis - which is why ImpactOven looks like a cool new site.----The consumer is definitely not buying.----Because of the high taxes in Denmark, the #1...
Vonnegut on the Financial Markets
I really miss Kurt Vonnegut.
From Galapagos, circa 1985:
The thing was, though: When James Wait got there, a worldwide financial crisis, a sudden revision of human opinions as to the value of money and stocks and bonds and mortgages and so on, bits of paper, had ruined the tourist business not only in Ecuador, but practically everywhere...Ecuador, after...
Wahoo Wha??
A lot of the endowments are struggling with the recent market meltdown. Unfortunately, my alma mater happens to be one of the worst performers.As an aside, I have always wondered why investors in private equity don't hedge their portfolios against long bear markets? The biggest risk factors to a PE portfolio are a bad economy...
"Risk is what you make of it."
With lots of hedge funds turning in horrendous performance numbers, if I was Ken Griffin (and my flagship fund was down 44%), I would ask the CME to quit running these ads. . .
2nd Blogiversary
World Beta just reached its second year blogging - 400 posts and counting! Rainy and nasty here in Portland.----It looks like Farallon and JANA are down about -20 to -30% this year. . .this would be Farallon's first down year in existence (22 years). Macro, merger arb, and market neutral are doing ok - which echos my...
LinkFest
I wanted to comment on the CTA performance paper I mentioned the other day. From the paper:We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess returns to investors (i.e., net of fees) averaged 85 basis points per annum over US T-bills, which is insignificantly different from zero....
