Hedge Fund Best Ideas L/S & Market Neutral
I am not sure why I didn't think about this before, but below is a table with hedged versions of the Hedge Fund Best Ideas Portfolio. The L/S version is 50% hedged, rebalanced yearly. The Market Neutral version is 100% hedged, rebalanced yearly. I repeated the portfolio with both S&P and Russell 2000 Indices as hedge...
When a Picture is Worth 1000 Dollars. . .
The first chart is the spread between corporate bonds and 3-Month T-Bills. The second chart is the spread between emerging market bonds and U.S. Three possible plays on tight credit spreads would be to buy AFBIX, or to short LQD or HYG.
Buying the Highs vs. Buying the Lows
Turning your back to all of the available information can lead to false conclusions. . .When it comes to selecting stock factors, I am admittedly agnostic. I constantly remind myself to let the data speak for itself, all while layering in a bit of common sense. I resist the urge to label myself a value guy,...
Q & A on Commodities
Here is a link to the original PDF, "Strategic Asset Allocation and Commodities", and also to the Q&A with Bob Greer from PIMCO. Put your thinking cap on - I am still undecided about a few of the conclusions in the paper. . .(Bolding below is mine).Q: And what did Ibbotson conclude regarding the optimal size of an...
Publicly Traded Hedge Funds in the US?
One can only hope that this is the beginning of a trend. GLRE started trading this week.
A Few Good Quotes From Capital Ideas Evolving
Blake Grossman , "The markets are very efficient, very dynamic, constantly reaching greater levels of efficiency that makes them more and more difficult to beat. The half-lives of our strategies are shrinking"Bob Litterman , "I am not worried that markets are fully efficient - yet. But they are becoming more efficient all the time, and fast. ...
The Endowment Portfolio
It's the Covariance Stupid!There is a great discussion of some asset allocation topics in Bernstein's new book, "Capital Ideas Evolving". (However, the first half of the book I skimmed). In the chapter profiling the Yale Endowment:Swensen describes the process this way: "Mean/variance was a powerful influence in causing us to move away from the standard institutional portfolio....
Badonkadonk and More Books
While idolized in music lyrics, fat tails are to be avoiding in trading systems and investment funds.There is typically little crossover in the hip-hop and country music genres. Trace Adkins made the leap when he penned his chart topping song, "Honky Tonk Badonadonk" in 2005."We don't care bout the drinkin'Barely listen to the bandOur hands, they start a shakin'When...
What is the Best Value Hedge Fund?
You can choose more than one, and if your favorite isn't listed, type it in "Other".Others listed: * Fairholme * Brightline Capital * Tuckerbrook Long/Short Value * Kiefer Total Return Growth Fund * kinetics * Fir Tree *...
