World Beta Blog

Ahhh, I was wondering when someone was going to launch one of these. . . nice job Marco!  Data back to ’00.

for those having problems downloading my paper, the SSRN download is working again. . .

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Nice AlphaClone mention in Value Investing Insight.  Also featured were excerpts from Seth Klarman and Julian Robertson. . .Check out the new lower pricing tier.

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the Bespoke boys are depressing me today:

Since the bear market started on October 9th, 2007, the Russell 3,000 has lost $9.58 trillion in market cap, which is more than the index’s current market cap of $8.74 trillion.

Of the Russell 3,000′s current members:

– The average stock is down 53.16% during the bear market.

– Just 4.13% of stocks in the index are up during this bear, meaning more than 95% of stocks are down.

– A whopping 59% of stocks in the index are down more than 50%.

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Just re-read Zweig’s excellent book "Your Money and Your Brain".  This was prompted by a reader asking me to cite where I got the phrase in my paper that said "people use a different part of their brain when they are losing money."

 In a related note, who is in for free pancakes tomorrow at IHOP?

Looong interview with yours truly at the Kirk Report.

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When is someone going to launch a currency momentum ETN?  Anyone, anyone?  And no, I’m not counting the S&P FTI (sister of the DTI and CTI).

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A reader (HT: RK) emailed in suggesting that the two funds (ICMYX and ETGLX) from my Tiger Cubs post are not correctly characterized by Morningstar since they both hold lots of cash and bonds – which even further validates my point -  the Tiger Cubs portfolio would now be the #1 performing diversified stock mutual fund YTD.  So, my apologies – there are zero diversified equity funds up on the year out of 9000.  The free Tiger Clone portfolio is here.

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Lots of magazine cover indicators firing on gold.

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Losers with Winners’ Brains.   (HT: Sea)

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Run, don’t walk, to this paper:

"Rules of Prudence for Individual Investors" by Mark Kritzman of Windham Capital.

Hulbert review here. 

Post updated:  A reader (HT: RK) emailed in suggesting that the two funds (ICMYX and ETGLX) are not correctly characterized by Morningstar since they both hold lots of cash and bonds – which even further validates my point – the Tiger Cubs portfolio would be the #1 performing mutual fund YTD.  So, my apologies – there are zero diversified equity funds up on the year. 

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Did you know that out of the 9000 stock mutual funds in Morningstar‘s database there are only two  ZERO funds up on the year? 

The Tiger Cubs portfolio I mentioned at the end of 2008 is up 1.8% this year.  That would be the 2nd best performing stock fund this year – out of 9000 funds.  This fund is beating the market by 15% in 2009, and has averaged 15% outperformance a year since 2000.

For those new to my blog World Beta, this portfolio was generated using AlphaClone.  You can take the tour here.  The strategy simply takes the top 10 most popular stocks held by 20 hedge fund progeny of Julian Robertson’s Tiger Management.  The free Tiger Clone portfolio is here.

The current portfolio is:

Qualcomm (QCOM)

Mastercard (MA)

Google (GOOG)

Transdigm (TDG)

Visa (V)

America Movil (AMX)

America Tower (AMT)

Philip Morris (PM)

Priceline (PCLN)

Covanta (CVA)

Disclosure: Long GOOG, TDG, AMX, PCLN, and MA.

NYC (and especially Baltimore) are much more dangerous than the Wild West.

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Change the Y-axis to "Annual Change".  Pretty cool.

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Seriously, why didn’t the soda companies do this 10 years ago rather than wasting all their $ on advertising?

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A Quant Approach to the Oscars

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MoneyBasketBall

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In the mail, Animal Spirits by Shiller & Akerlof.

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CXO is all over the place!

The Advised Versus the Self-directed

Surviving by Staying Out of the Fourth Quadrant

A 19th Century Test of the Size and Value Factors

For real this time!

Somewhere in the Internet ether, between my computer and the SSRN I managed to send in the wrong PDF.  I thank graciously the (many) readers who caught my error.  The good news is the the results were understated in the incorrect paper.

Please redownload, and apologies for the inconvenience!

Quant TAA Paper here.

NOTE:  A number of readers have noticed that the 50% drawdown in Exhibit 5 does not match the drawdown I mention in the text.  That is because they occured at two different times!  The largest drawdown for B&H occured in 1932 while Timing only had a 44% DD.  When the market cratered again in the early 1940s, both B&H and timing suffered 50% DDs…

Trading at $980. 

In previous posts I talked about round numbers (and why support and resistance works), and how once a trading vehicle breaks through a BIG round number it can fly (ie I expect gold to rip if it breaks through $1000).  I mentioned selling $1000 calls and buying lots of out of the money calls as a possible trade.

However, in another post I examined the Gold/Bullion ratio and noticed it is at historically low levels.  (GDX seems to me a better bet way to play this trade. DBP is possibly a more diversified choice.)

Gold is also above its long term moving average, a setup that generates higher returns, lower volatility, and lower drawdowns than buy and hold.  But World Beta readers probably already know that, right?  This is probably the simplest trade (with objective buy and sell decisions).  Long when above the 10-month SMA, in T-bills otherwise:

I am not a gold bug – I follow the same line of thinking of Ray Dalio when he stated in Barron’s, "Gold is horrible sometimes and great other times.  But like any other asset class, everybody always should have a piece of it in their portfolio."

Disclosures:  Some clients and family long GLD and GDX.  No options positions.