Screens for the January Effect in Small Caps
Here is a follow up to the article I wrote on the January Effect in small caps. It found the effect especially pronounced following a terrible year in stocks. The bottom quartile of stocks returned roughly 18% in the January following the worst 10 years for the S&P since 1927 with no down years.The easiest method to...
Which Portfolio Would You Rather Have?
Which portfolio would you rather have? From 1985 - 2008: Portfolio A Return: 11.98% Volatility: 15.60% Sharpe Ratio: 0.43 Worst Year: -17.99% or Portfolio B Return: 15.23% Volatility: 9.55% Sharpe Ratio: 1.04 Worst Year: -2.70% Seems simple, right? Portfolio B has returns over 3% higher per year than Portfolio A. Portfolio B is roughly 40% less volatile than Portfolio...
Tbills Yield Nothing, Gold is in Backwardation, and Shilling Hits it Out of the Park
I spent the past weekend in Colorado (go Broncos!), and looked through my father's library at some of my old books. I grabbed a copy of Shilling's Deflation to read on the plane ride home (which is currently listed for $600 since it is out of print - hat tip to reader AC). Shilling has been spot...
AlphaClone Launches!
After a year of hard work, the startup I have been working on with my co-founder Maz Jadallah goes live today!I will do a few blog posts on the software over the next week or two, but if you want to take a look the tour is here. Sign up for a guest pass to access the free...
Long/Short Version of the Model
I get some of the same questions regularly- so when I do the site redesign I am going to include tabs for FAQs as well as timing updates. Those are the two main features people email me for. Anything else you would like to see added to World Beta?I was taking a look at an old post...
Being Long Classic Risk Premia Is A Terrible Place To Be This Year
Being long traditional risk factors has been an awful place to be this year. The lesson of the stability of correlations is especially apparent here.PDF on the all-weather portfolio here.There used to be a table of Bridgewater's All-Weather Portfolio performance here, but they asked me to take it down (they were down about 30% for the year as...
The Capitalism Distribution: Fat Tails in Action
Quick, before you read this post, ask yourself these questions:
1. What percentage of stocks beat their benchmark index over their lifetime?
2. What percentage of stocks have a negative return over their lifetime?
3. What percentage of stocks lose essentially all of their value?
Not sure? The answers to all three questions are below. Want to know why a monkey throwing darts...
AlphaClone Beta Launch!
Take the tour here!Free Warren Buffett clone example here. Beats the market by 10% a year since 2000, including outperforming the market by 20% in 2008. (Those number agree with the historical numbers found in this academic study.) Top holdings include WFC, KO, PG, COP, BNI, AXP, KFT, JNJ, USB, and WSC.Screenshot of Buffett clone below:Free...
