In Response

to my last post a few readers mentioned Ken Heebner (I am a happy shareholder of CGMFX). Up 80% last year. From Morningstar.com:----Cool new blog on the blogroll, Off the Beaten Path. Found it while searching for info on FTAR (a stock I own in my IRA).

Building an All-Weather Portfolio

The best fund manager of our time? You've got to be kidding me. Never heard of Simons, Tudor, Cohen, Robertson, Soros. . .----Trader Daily had a review of the top 10 hedge fund earners for 2007, and Bridgewater's ($150 BILLION AUM) Ray Dalio made the list at around $500 million. If you have been around...

LinkFest

PIMCO was the first to offer a portable alpha strategy (StocksPLUS). They now have a book out on the concept - Portable Alpha Theory and Practice: What Investors Really Need to Know----When you have the worlds largest endowment at $35 billion, why do your students pay tuition at all? From MetaFilter:Pay to play. The children of big-donor...

Model Extensions

The best part about blogging, as well as publishing your research, is when people take your work and improve upon it. Great job of combining risk parity and the timing model by Kirzner Fervor:Component Tactical Asset Allocation: Part 1Component Tactical Asset Allocation: Part 2Component Tactical Asset Allocation: Part 3Another Post regarding recessions and TAA----"There is an impressive and...

Friday LinkFest

This new book is a must read: Fooling Some of the People All of the Time: A Long Short Story by Greenlight's David Einhorn (forward by Joel Greenblatt of "Little Book that Beats the Market" and Gotham). ---- Quote of the day, "Once we realize that imperfect understanding is the human condition there is no shame in being wrong, only...

LinkFest

Lone Pine must be happy with their large holding in Southwestern Energy - hitting new highs today. (SWN). ---- Quote of the day; "Anyone can hold the helm when the sea is calm" - Publilius Syrus, 1st C BC ---- Google unveils a new stock screener. ---- Baseball has started, and the Rockies are the Rodney Dangerfield of MLB. Also, Bill James answers...

Tigers and Turtles

I posted awhile back on the question of who spawned more impressive offspring, the Turtles of Eckhardt/Dennis or the Tiger Cubs of Julian Robertson? (I should have also added Commodities Corporation that includes offspring Ed Seykota, Michael Marcus, Paul Tudor Jones (Tudor), Bruce Kovner (Caxton), Louis Bacon (Moore Capital), Jack D. Schwager and Peter Brandt. Some of the...

(Not) Learning From Your Mistakes

"...these models do not fully capture what I believe has been, to date, only a peripheral addendum to... financial modelling - the innate human responses that result in swings between euphoria and fear that repeat themselves generation after generation with little evidence of a learning curve." - Alan GreenspanMaybe the manager should have read this book - When Genius...

More on Volatility Clustering

The first version of my paper had a lot more statistics in it. (And a lot less readers. Something about talking about the third and fourth moments of a distribution just doesn't get people too excited. Mark Shore has a great paper here - Skewing Your Diversification.) The other day I posted about how the...

Harvard Management Company Finds the Best Man for the Job

Harvard Hires Wellesley"In her most recent year at Wellesley, the $1.7 billion endowment posted a 22. 7 percent return through June 30, 2007. That figure was higher than the 21.3 percent average return for endowments with assets over $1 billion as measured by the National Association of College and University Business Officers. For that same period, Harvard posted a...