2008

(?Please ignore any spelling mistakes on this post - I am on a Spanish keyboard and it is taking a looong time to figure out the correct keys¿)Many of these links were emailed in from readers - please, keep it up!----I don´t make any $ from blogging, and maybe it is because I have a small audience, but I...

Endowment Investing 2008

I updated some tables with the new Yale 2007 endowment report. One could invest in a weighted portfolio of ETFs for less than 40 bps. Yale doesn't break out their real assets category, so I divided it evenly between real estate and commodities. Even though Swensen doesn't recommend commodities explicitly, the endowment does invest in oil and...

Dollar Signs

Volatility and correlation by Ineichen - longer post from AllAboutAlpha here.----2008 ETF wish listWith nearly 500 ETF/ETNs filed at the SEC, you would think the developers would have filled some of the major holes instead of copycat fund #20. Like a listed hedge fund, FOF, and some form of l/s commodity index. ----2007 Country Returns----With muni...

Guest Blog: Tom McClellan

“Did you ever think that making a speech on economics is a lot like pissing down your leg? It seems hot to you, but it never does to anyone else.” Lyndon B. JohnsonI have always believed the correlation of asset classes to be volatile. Coaker has a good series of papers examining the subject. For the...

Happy Holidays!

2007 Yale Endowment Report

A little holiday reading for you. . .Link to the PDF is here.----I posted about the January Effect a few months ago. An investor could simply go long a microcap index ETF like PZI, and short a large cap index ETF like SPY. I'll track it this month to see how it does.----From Infectous Greed:Well, a new-ish...

A Little Old School TA

Lots of divergences popping up for US and foreign equities (small cap ETF).And honestly, I don't think I have seen as many head and shoulders patterns on one chart in my life (Dow Jones Home Construction Index).

AlphaLetters Quant Paper Reviews

What is the Coase Theorem?--Goldman is preparing the largest hedge fund launch ever - which is surprising given how bad two of their flagships funds have performed.--Some readers emailed in with some questions on the foreign listed hedge funds. Here is a list of the largest individual funds and FOFs listed in London. The manager is listed...

Listed Hedge Funds

If I told you you could invest in the activist fund Third Point at a 6% discount to all other investors - would you be interested? Not only that, but there are no lockups, no minimums, and daily liquidity. Loeb IPO'd a fund in London in July, and currently the shares trade at a nice discount. Here...

Pats/Jets, Seasonals, and the Return of the MILF

Are the Pats going to run the score up against the whistle-blowing Jets? The markets think so with one of the largest point spreads in NFL history at -24.The Patriots are the fifth team with a 13-0 record, joining the 1934 Bears, 1972 Dolphins, 1998 Broncos and 2005 Colts. I remember when the 13-0 Broncos lost to the...