Tony Crabel And The Secret ORB
Sounds like a Harry Potter title doesn't it? ORB actually stands for "Opening Range Breakout", and is part of the title for an out of print book by Tony Crabel - "Day Trading With Short Term Price Patterns and Opening Range Breakout". This book can be had for the bargain price of $500 on Amazon.com. Here is...
When Will We See A Bottom In Homebuilders?
Homebuilders are down almost 70% from their highs. Time to buy, or would you be simply catching a falling knife?Below is a chart of the Dow Jones Home Construction Index, currently the worst performing industry YTD at -50%. It is down roughly 67% from the high. If it continues along the lines of the NASAQ decline...
Managed Futures – Wide Disparity in Performance
Is it time for the Old Guard to disappear into the sunset?I blogged in July about the news Rentech was planning on moving into the managed futures space in a big way. Talk about good timing - since that time many of the largest futures funds have been hemorrhaging money.Two of the oldest and most famous managed futures...
Investing in Talents: Manager Characteristics and Hedge Fund Performances
If this new academic paper is true, I should be managing billions and shooting the lights out! (Although if wheat continues its trajectory towards the moon, I may just have to move this operation to our farm in Kansas.)ABSTRACTUsing a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact...
I’m Going Back to Cali. . .
Besides having one of the best moustaches around, Mohamed El-Erian is one of the elite investment managers in American today. (I tried a moustache for a week and looked like a really creepy pedophile.) Which is why it is shocking that he has decided to abandon his post as the manager of Harvard University's $35bn endowment to...
Fun with SSRN
It never occurred to me to publish any of my research (or write a blog). My paper that I published earlier this year, "A Quant Approach to TAA", was originally an afternoon spent trying to verify the results of some backtests at Merriman's FundAdvice website. In fact, I only completed the paper to finish the CMT designation...
Will Dividends Go The Way Of The Dinosaur?
An article in the recent Barron's - "Buyback vs. Payout" - takes on the topic by highlighting a new study by Douglas Skinner. The paper is "The Evolving Relation between Earnings, Dividends, and Stock Repurchases." Skinner states, "...there could come a time when dividends completely disappear". I doubt that, but I like the paper.A recent post...
AlphaLetters Selected Journal Paper Reviews
Nothing to do this weekend? (I'm grasping the last days of Summer BBQ'ing all weekend.) Here is a boatload of academic papers to put you to sleep. (PS Here is a great BBQ sauce site. My favorite hot sauce is my hometown Texas Pete, and for breakfast the Costa Rican Lizano is hard to beat.) From...
Geronimo!
Geronimo Funds, which aimed to bring absolute return funds to the masses, recently announced they are shutting all three of their mutual funds. The investment strategy of their multi-strategy fund was as follows:The Fund seeks to provide annual Absolute Returns by following an investment strategy designed to provide investment returns similar to the returns produced by a broad...
More On The Endowment Style Of Investing
I was flipping through a copy of Alpha Magazine the other day, and there was a great article titled, "Back to Beta". It profiles a company in London, Frontier Capital Management, that has arrived at many of the same conclusions mentioned here on World Beta. You can goto their site to view a free presentation and download...
