Portfolio of Risk Premia: a new approach to diversification
This is a nice paper by the folks at Barra, although I am not so sure why this doesn't fall in the portable alpha...
Market Cap to GNP
I remember clipping this graphic out of the newspaper in college (I may still have it somewhere). Although it seems to me the current...
Global Asset Allocation Summit & Weekend Reading
Anyone going to this conference next week? I will be there Monday, and if you're there drop me a line. Although I wish I...
A Simple Post on Gold
This is going to be the most subjective and least quantitative post out of the 500 odd posts I have written. I am not...
Foreign Listed Hedge Funds
are trading at ridiculous discounts (ala closed-end funds in the US) right now. Third Point is trading at a 30% discount to NAV (and...
Four Factors and Two Regimes – Performance in Up and Down Markets
CXO summaries the paper "The Effect of Market Regimes on Style Allocation", by Manuel Ammann and Michael Verhofen:
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World Beta is Moving!!
After growing increasinly frustrated with Blogger, I have decided to move my blog over to the WordPress Platform. Since someone is squatting on worldbeta.com...
Quantitative Strategies for Achieving Alpha
This is a great intro book to factor based stock screening - Quantitative Strategies for Achieving Alpha by Richard Tortoriello.
I would place Greenblatt's...
Being Right or Making Money
This is one of the major problems I have with investing commentary (more here). There are so many blogs, reporters, and portfolio...
