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...
What I’m Reading
For the bloggers out there, Hitail is a pretty cool app to add to your HTML. It lets you view where your visitors originated from. If it was from a search, it lists the search terms. In the most disturbing news of the day, someone arrived at my site today by searching "Bill Gross moustache". ...
You Spin Me Round
(Quick sidenote - If you are a baseball fan that 5 hour tiebreaker winner goes to the playoffs game last night was unreal. Down 2 in the bottom of the 13th inning against the best closer of all time. . .Go Rockies!)It must be bad 80's video day. This song popped immediately to mind when considering the...
Monthly Asset Class Update
I spend a lot of time thinking about momentum. One of the problems with the cross-market momentum approach is that it can leave you undiversified and exposed to large drawdowns due to concentration risk. ie if someone followed the approach with the asset classes below, selecting the top 10 based on 12-month returns, he would have returned...
Listed Private Equity Choices – PSP & PFP ETFs
Is private equity as an asset class just stocks on steroids?The new PowerShares International Listed Private Equity ETF begins trading under the symbol PFP. Like the previous Powershares ETF PSP, the new ETF is based on an index by Red Rocks Capital Partners out of Denver, CO. Here is the PowerShares Fact Sheet for PFP. Here...
