Industry Mean Reversion
Is it time to buy an asset class or industry when everyone else is puking it up?Following up on our posts on mean reversion in equity markets and asset classes (here and here), I examine the properties of industry level mean reversion. The data used is yearly industry data from Standard and Poor's (thanks to Sam Stovall), and includes...
KKR Buying First Data for $29B
KKR is buying First Data Corp for $34 per share, or a 26% premium to the closing price on Friday. Monday's deal was unanimously approved by First Data's board of directors but the company will entertain other bids for the next 50 days. The company said it "intends to actively solicit proposals during this period."The Hedge Fund Consensus...
Spending It, Getting Creative, and Payout Yields
Just when everyone is smiling in private equityland, is the party almost over?Kolberg Kravis Roberts Private Equity Investors $5B fund has invested/committed 90% of its available capital, only 10 months after floating on Euronext. The shares priced at $25 but traded down to the low 20's and have since recovered to ~$24. (They listed the actual investment fund vs....
Model Validation and Further Research
The allure of a higher frequency system is compelling, but will higher transaction costs eat into results?It is always nice to see another analyst validate your research. Formula Research took a crack at the timing model , and after adding a few tweaks(substituting corporate bonds for Treasuries for one) found the results to be consistent(returns and risk were higher...
Tilson’s SuperInvestors and More Gender Bending
That's not your mother, it's a man, baby! - Austin PowersAfter the Journal of Wealth Management decided to change my name to Melanie, another group deemed it necessary to turn me into a woman. I am speaking at the Asset Allocation Summit in London this Summer, and IRC decided to Ms. me on their speaker list. (Sheesh, it's like...
Are You Listening Barclays?
Users get a bit creative with their ETF ideas. . . A few days ago I penned a column on ETFs that I would like to see hit the marketplace. My list is below, followed by all of the reader suggestions. One of the more unique user suggestions was disease categories (Diabetes, Heart Disease): My original list 1. Foreign...
BGI to Launch Private Equity ETF
Investors can't seem to get their fill from the private equity fountain. . .The magazine cover indicator(see below for description) would be screaming to get out of private equity right now, with Blackstone going public, and firms rushing out private equity funds.That having been said, the news that Barclays Global is launching a private equity fund is good news...
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...
