New ETFs

Will any of the new ETFs catch your eye?With the dozens and dozens of new products hitting the market seemingly daily, there are a number of "holes" that I would like to see launched as ETFs. The recent launch of the Rydex managed futures mutual fund is a good example of an alternative strategy that I have been waiting...

Improving the Timing Model

Can adding some complexity squeeze out some more performance? In my paper, I examined how a simple timing method on 5 asset classes could improve the returns vs. a passive buy and hold allocation. I want to explore an additional area of research - timing the components of each asset class. The 5 asset classes used in my study were the...

Historical Equity Index Performance

I track the performance of roughly 60 country equity indices. Granted, most of the sample size is recent (there is only about 20 series in 1970, and 40 in 1990). Below is a chart of % of countries with a positive return in any year, and the blue line is number of series included. I don't know how much...

Ultimate Stock-Pickers Portfolio

Morningstar uses a similar technique as our Best Ideas FOF, but with value mutual funds. They use elements of conviction, consensus, and then overlay it with the Morningstar ratings and price/fair value estimates. Current names include:Tyco (TYC) Wal-Mart (WMT) Dell (DELL)Berkshire (BRK.B)Time Warner (TWX)Expedia (EXPE)IAC (IACI) Anheuser-Busch (BUD) Johnson & Johnson (JNJ) Sprint Nextel (S) Pulte...

A Quant Approach to Bracketology

An article in the New York Times, "Don't Always Follow the Crowds", gives some advice on how to pick your bracket. Lots of positive implications in the professor's research for my alma mater, a #4 seed. . .And an interesting study in predictive markets is PicksPal. Predictive markets fascinate me, but I always assumed that since the users had...

Hedge Funds Levering Betas

In a previous post, we examined how a simple passive asset allocation and a more active strategy could perform in-line with the hedge fund indices. In their Daily Observations from January, Bridgewater examines the AUM at hedge funds and their leverage ratios (which have increased by 70% in the past few years). Great read.And, another Faber talks about "A...

Managed Futures. . . .Finally

I made a list a few years ago of ETFs/CEFs I would like to see hit the marketplace. Most of the products were simple alternative strategies that could be replicated with a systematic process. Bridgewater ("Hedge Funds Selling Beta as Alpha") and the Partners Group ("Factor Modelling of Hedge Funds") have some good research on the subject.Managed...

Biotech Stock Performance Around Critical Events

In her 2001 book "From Alchemy to IPO" Cynthia Robbins Roth cites a Hambrecht & Quist study of biotech stock movement surrounding clinical trial results (Phases I-III) and FDA approvals. The study examined the 12 months prior to and following the "event".Is anyone aware of such a study performed elsewhere that is more recent and/or comprehensive (I remember the...

Cross-Market Momentum Follow Up

Kudos to CXO who summarized the paper "Class OutPerformance (COP) Strategy". The author studied the effects of 1 year rolling cross-market momentum strategy updated monthly with 50 asset classes. Similar to my findings, the portfolio consisting of the top 20% of the asset classes outperformed the S&P500 with less risk. You can read the paper here.

Mean Reversion Follow-Up (Or, the Political Uncertainty Portfolio)

In a previous study, I examined the results of investing in equity markets when they experienced negative years X years ago. The chart below re-summarizes those findings:Were there any global equity markets that were down in 2004 or 2005? I track roughly 50 countries, and the results are below:Iran (2005)Peru (2004, just barely)Thailand (2004, and 2006)Venezuela (2005)The only country,...