For some reason StockCharts keeps breaking my link to make the timing updates public. I have contacted them no less than 20 times phone, email, and fax with no response. If it is accidental, fine. If they are doing it to require people to subscribe to see the charts that is really sh!tty.
Are there any alternatives for public charting that use total return? If this happens again, I am going to start publishing the updates on my own newsletter style (but I really don’t want to).
Both Barron’s and the WSJ penned articles on the endowments sorry performance for 2009 (and neither mentioned my book – FAIL).
Lots of readers have emailed in asking me to comment on the endowment performance, as well as to compare it to the timing model.
Below are asset class returns for June 30th, 2008 to June 30th 2009 (ie the endowment fiscal year).
US Stocks – S&P 500
Foreign Stocks – MSCI EAFE
Bonds – 10 Year US Govt
Commodities – GSCI
REITs – NAREIT
Buy and Hold is an equally-weighted, monthly rebalanced allocation to the above 5 asset classes
Endowments is an approximate return for the largest endowments in 2009 (probably ranging from -25% to -40%)
60/40 is the old 60% stocks, 40% bonds allocation
Timing Model is from my 2007 paper and 2009 book.
The buy and hold allocation would have experienced a 46% drawdown – yikes! How many investors can sit through that? (And if you read the DALBAR study you know they don’t!)
Remember, the timing model is not intended to outperform buy and hold by much over the long run, but is rather intended to manage risk effectively. It did just that with a max drawdown 1/7th the size of buy and hold…
I’m not sure why the timing updates link was broken, but it is now fixed.
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A Complete Toolkit for Fighting Inflation
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Cool new website for tracking hedge fund investor letters
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John Henry Staging a Comeback (PS nice timing Merrill)
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Meet the Man Who Beats Buffett
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I am doing a post that links to what I consider to be some of the top papers and books in modern finance over the past 100 years. Before I do, please leave a comment with your favorites or recommendations. Think Fama, M&M, Markowitz, Graham, etc…
Excerpt from AllAboutAlpha:
Q4: Your “ABCs of Hedge Funds: Alphas, Betas, and Costs” has been a popular research paper on AllAboutAlpha.com. Have you updated it? Have you changed your views?
Peng Chen, Kevin Zhu, and I are in the midst of updating the results. The preliminary results show that hedge fund alphas are still positive, although not as high or significant as before. The results also show that the majority of the returns can be classified as beta, then fees, then net alpha, in that order. Despite the fact that alpha makes up the minority of the return, it is still noteworthy that the net alphas are positive. This is in contrast to the mutual fund industry where there is little evidence of aggregate positive alpha, even on a gross level. On a net level, aggregate mutual fund alpha is usually negative.
Hmmmm, the entry of a FOF into the mutual fund space? Hatteras Funds to Acquire AIP Mutual Funds. Potentially very interesting…
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More on the AQR Momo funds (and here).
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A nice article on the endowments and my alma mater in particular.
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AlphaClone just set up a two-week FREE trial. If you haven’t checked it out, go play around and let me know what you think!
If you don’t believe in the value of the software, check out the World Beta Top 10 Popularity Group that is beating the market by 30% this year.
Hedge Fund Masters – Funds
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In the mail, Finding Alpha by Eric Falkenstein.
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First in a two part interview over on TradingMarkets
I was reading Haugen’s factor paper again the other day and wondered how the real world results have been. The paper states that the co-author Nardin Baker has been running funds based on the factor model for 15 years at his firm Quantitative Equity Management. Anyone have their results or website? I can’t seem to find it. . .
Ok, it is about time I got around to adding the FAQs to the website. If you have a burning question, or anything you want answered regarding the timing paper, the book, AlphaClone, or anything else place it in the comments and I’ll include it in the FAQs.
Have a great 4th!
[If you have already read the book, whether you loved it or hated it please leave a review on Amazon here.]
In celebration of the 4th of July (and my birthday), I’m going to give away a few books.
Head over to Twitter (you can follow me here), and I’ll be giving away some books in the style of The Adderall Diaries.
Namely, you get a free book but you have to pass it on when you’re done.
PS Just finished the very, very good book by Arnott and Hsu, The Fundamental Index. Far exceeded my expectations. Next up is The Myth of the Rational Market - enjoying it so far, seems to be in the same vein as Capital Ideas (Evolving).
