LinkFest

Least surprising news item from today.----For the data junkies, a ton of Excel sheets with historical market returns over on Global Financial Data.----Interesting interview from the recent Futures magazine with John Williams from Shawdowstats.com:"Look at the CPI for example. In its most popular use following World War II, when it became a cost of living adjustment for auto...

Mean Reversion After Bad Months

Does your investment approach have you in the dark? Feel like having an advisor or portfolio manager is like the blind leading the blind? Maybe it is time to take control of your portfolio with a systematic approach.I have talked a lot about various strategies for systematic trendfollowing and mean reversion on World Beta. In "Time...

LinkFest

Do you know the only commodity market where futures trading is banned? ---- Of the last 10 GMs hired in MLB, 6 have been age 40 or under. ---- This book looks interesting, but 500 pages about booze? Drink: A Cultural History of Alcohol ---- I could watch the TED talks all day. Chris Jordan: picturing excess. http://static.videoegg.com/ted2/flash/loader.swf

The Dow Gets Mauled

Officially a bear market folks (in the Dow). Before you panic, it is worth taking a look at the historical data. A -20% decline happens every 3 or 4 years so it is not that unusual. The Dow ETF is DIA.Since 1900:There have been 31, now 32, declines of -20% or more in the Dow (it...

Commodities and Inflation

The stock markets are very close to bear territory (one more day like today and it will be an official bear market in the S&P 500). I love this Bev Doolittle painting so I had to repost it.Long time readers know I am a big fan of commodities. After today's dump in stocks (and run up in...

Book Cover Design Contest

Here are three designs from the first book cover design contest. I currently have another contest running on Worth1000 that you can view here. Please be honest with your opinions - leave a comment on what you like and don't like. If you don't like any, say so!http://s3.polldaddy.com/p/633842.js Which Cover Design is the Best? ...

Does This Signal a Top in Commodities?

Kind of like PowerShares launching their private equity ETFs, does the slew of new commodity ETFs signal a top? In my inbox today:iPath® Global Carbon (GRN) iPath® Dow Jones-AIG Softs Total Return Sub-Index (JJS) iPath® Dow Jones-AIG Precious Metals Total Return Sub-Index (JJP) iPath® Dow Jones-AIG Aluminum Total Return Sub-Index (JJU) iPath® Dow Jones-AIG Cocoa Total...

Big Brother is Watching

Glad I didn't write my book on Google docs."11.1 You retain copyright and any other rights you already hold in Content which you submit, post or display on or through, the Services. By submitting, posting or displaying the content you give Google a perpetual, irrevocable, worldwide, royalty-free, and non-exclusive licence to reproduce, adapt, modify, translate, publish, publicly perform, publicly...

LinkFest

Reading anything interesting? Send me your links. . .----It is always nice to see a model continue to perform out-of-sample. Below are the results of the "Quant Approach to TAA" paper since it left off in 2005. Equity-like returns with bond-like volatility and low drawdowns. Obviously much of this outperformance is due to the spectacular run...

Doggy Dogs

I'm not much of a ranter, but it doesn't make any sense to me to continue to focus on dividends when there has clearly been a structural change in the market (that happened way back in 1982). (For newer readers there is background reading with lots of links at the end.) Dogs of the Dow is simply...