Back in March I posted about "Which Risk Parity Pension Will Blow Up First:" https://alphaarchitect.com/2013/03/which-risk-parity-based-pension-will-blow-up-first/ Now we can see where the pieces ended up: http://online.wsj.com/article/SB10001424127887323689204578572050047323638.html [...]
http://www.marketwatch.com/story/retirement-savers-its-not-too-late-for-stocks-2013-06-22 The real meat and potatoes: To be sure, investors are facing a world of low returns and higher than average volatility. And the traditional [...]
Pretty ugly across the Core 6 asset classes: Domestic Equity Emerging Equity Developed Equity REITs Bonds Commodities No real fear out there. VIX up a [...]
I'll be in Lake Tahoe from June 17-19th soaking in the latest and greatest in finance research. If you are in the area, let me [...]
ADP looks ugly relative to consensus: Bonds rally; commodities weaken; the rest of the bunch blow up.
Used car salesmen are everywhere -- including the asset management business. My experience working with family offices in the dual role of consultant and investment [...]
Memorial Day is a sobering and humbling day for me. I had the privilege to serve in the United States Marine Corps with young men and women [...]
So you break the law, admit it, but because you're a billionaire you don't get in trouble this time (fluke event, of course), but promise [...]
There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words [...]
Amazing to think that in 2000 the Nasdaq was over 5,000. Here is an old article from the Street.com: http://www.thestreet.com/story/897915/1.html But was this a bubble? [...]
H1B Visa applications went to a lottery this year... Housing is hot and Ford pickups are selling like hotcakes... US Energy IS the story for [...]
http://www.treasury.gov/resource-center/tax-policy/Documents/General-Explanations-FY2014.pdf What exactly is "fair share?" Don't worry, private equity already has workarounds...public equity folks are toast. I guess we'll all be HFT traders now [...]
We were reading Frank Partnoy's Wait: The Art and Science of Delay recently, when we came across a section discussing a fascinating study related to the author [...]
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Contrarian investing is the art of profiting in the markets by diverging from the investment approach favored by the crowd. While we may all aspire [...]
The investment management business is a major Catch-22: On one hand you need a track record; but to get a track record you need assets. [...]
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay Gary Antonacci A version of the paper can be found here. Want a summary of academic [...]
I'll be kicking, screaming, and fighting for the Quants. Wish me luck... http://battleofthequants.net/wesley-gray/ Come join the party on April 23 and 24! http://battleofthequants.net/agenda/
There are two components to DIY quantitative investing. The first is know-how in building models and systems. The second is data to fuel the analysis, model or [...]
Version 1 (Version for FoF GP owners) The Value of Funds of Hedge Funds: Evidence from their Holdings Adam Aiken, Chris Clifford, and Jesse Ellis [...]
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