Rocktoberfest
I think Goldman would call the Rockies making the World Series a 25 standard deviation event. A couple of stats from an article over on ESPN.com:"Clearly, they had to believe, or they couldn't have done this, right?Couldn't have become the fifth team in the last 70 years to go 21-1 in any stretch of any season.Couldn't have become...
Hedge Hunters
I am still wet and cold from the Rockies game last night. . .one win away from the World Series! They have won 20 out of the last 21 games. Another streaky guy, Bill Miller, opines on whether or not he is just lucky. --I haven't read Greenspan's new autobiography. Although having gone through an Ayn...
Right Brain vs. Left Brain
This is driving me crazy. I am pretty convinced this dancer only moves clockwise, but people tell me the see it counter-clockwise so I will have to believe them. . .Longtime readers will know I have a reading problem. I pre-ordered a few more books.Create Your Own ETF Hedge Fund: A Do-It-Yourself ETF Strategy for Private Wealth...
Tiger vs. Turtle
I wonder who has spawned more hedge fund/CTA progeny, the Tiger cubs of Julian Robertson (who tend toward the equity side of the universe), or the Turtles of William Eckhardt and Richard Dennis? The Tiger cubs are on the fundamental side of the fence while the turtles are technical. Quite a few of these have been interviewed...
What I am Reading
Many investors looking for a "hedge" in hedge funds may be disappointed. . .I read whatever Bridgewater puts out. Their recent commentary, "What Makes Us Different", is a great piece.They mention the belief that as a group, hedge funds are almost entirely investors (ie buyers of risk premiums). I examined this tendency in an earlier post titled "Holy...
ETFs I’d Like To See
About six months ago I listed a number of ETFs I'd like to see. Below is a list with many of the holes filled:1. Foreign Small Cap (DLS, GWX)2. Foreign Bonds, Emerging Bonds (BWX, PCY)3. Municipal Bonds (MUB, TFI)4. Russia (RSX)5. Timber (Coming, Claymore/Clear Global)Spots still not filled:5. Convertible Arbitrage6. U.S. Listed Hedge Funds 7. Morningstar or other...
Do Hedge Fund Managers Misreport Returns?
"Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution" - Nicolas P.B. Bollen† and Veronika K. PoolAbstractWe find a significant discontinuity in the pooled distribution of reported hedge fund returns: the number of small gains far exceeds the number of small losses. The discontinuity is present in live funds, defunct funds, and funds of all ages, suggesting...
What I am Reading
I still can't get over this happening. AGAIN. Niederhoffer blows up his Matador fund.The Blow Up Artist - The New YorkerPer my last post, virtually zero 'gurus' recommend allocating any of your portfolio to commodities. They usually spend most of their time focusing on large or small US, value or growth US, and if they feel crazy,...
Taking it Back to the 80’s
As a follow up to my previous post, "The Next Generation of Commodity Indexes", I was able to persuade Morningstar to hand over the data from their backtest. Here are the summary results from 1980-2006:Fairly in line with what I was expecting. The Long/Flat decreased the volatility ~40% from Long-Only, and decreased the drawdown ~ 60% (in...
The Next Generation of Commodity Indexes
Investors seem to have a love hate relationship with commodities.Not me - long time readers know that I am a big fan of both commodities and managed futures. Three months ago I wrote an article on managed futures and how Renaissance was planning on launching a $25 billion fund. Recently, Morningstar announced some new commodity indexes, and...
