What academic study has the most historical data for momentum? Most studies I see go back to the 1960s at the most.
Good listing of momentum papers here and here.
Edit:
Looks like 1866-1907 is the winner so far, but is there a gap between 1907 and 1960s?
2008 GIRY – by Elroy Dimson, Paul Marsh, and Mike Staunton
“On the Nature and Origins of Trendfollowing“ – Ostgaard
The appendix of Carr’s book.
Greenlight Capital Re (GLRE) hitting new all time highs recently.
Below is an updated equity curve from the global rotation strategy in the book. Trying to decide if this is going to be a new section in my quant GTAA paper, or an entirely separate paper. . .
Long time readers know that I am fantastic with coming up with great ideas but less so at monetizing them. Anyways, here is an obvious idea (Barclay’s/PIMCO are you listening?):
Start a suite of three public mutual funds or ETFs that focus on fat tail hedging including equity, credit, and inflation(deflation) protected funds. One could also design them against other factors but these seem simplest. All they do is buy out of the money options on those asset classes. This is a perfect example of a strategy you should only be paying 50 bps for (Universa and Landmark charge hedge fund style fees). Really, all they are doing at the end of the day is buying out of the money options so why charge alpha fees? (Note: This is not the same thing as 3X inverse funds – rather, this focuses on the optionality of using derivatives so it works almost like insurance.)
PIMCO does this within their Global Multi Asset Fund (PGMAX) but I am talking about someone that breaks it out separately.
Should be tons of demand for a product (ie insurance) like this. Over/under until we see something? I definitely think < one year.
This is pretty cool news. This fellow Marcus (along with Klarman) honed their skills under Heine and Price.
Mr. Marcus’s new firm, Evermore Global Advisors, has launched two mutual funds, Evermore Global Value Fund (ticker symbol: EVGBX) and Evermore European Value Fund (EVEAX). Each fund will hold about 40 securities, he said, and hold onto them for a number of years. The typical holding period will be two to four years, and sometimes longer.
Also here is an article I did for Forbes on Klarman and some of his recent buys and positions.
I spend lots of time thinking about consensus opinion, and how markets can be different going forward. One of my favorite quotes from Klarman:
“I think to take the next step and be a portfolio manager you need both a sense of history and a vivid sense of risk. When Warren Buffett put out a job description for his replacement, he said, “This person will need to be able to imagine things that have never happened before.” I think that’s very, very important.”
Is there any more consensus opinion right now than inflation is coming and interest rates are going up? You don’t see much talk about deflation. The only person talking about it is Pretcher (which of course makes me nervous, he has one of the worst newsletter track records out there via Hulbert).
If you have one, now you have your exchange.
Maybe Ryan Kavanaugh should start a hedge fund?
CXO is definitely one of my top 5 favorite blogs. Where else can you find an analysis of 100+ years of stamp returns?
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Anyone looking to emulate the curator style of blogging should look first to these three blogs that do it best: Kottke, Instapundit, and Abnormal Returns. I mean, simply looking at the last 10 posts on Kottke – ALL of them are fascinating. A few favorites:
Turkish Temple Older than Civilization
Ten Things You Didn’t Know About Orgasms (also more TED here: Teach Every Child About Food, Four Ways to Fix a Broken Legal System)
How to Book a Cheap Airline Flight
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A really interesting interview with Peter Lynch in which he shares some gems I agree with, and a few quotes that make him seem really dated.
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I could watch the Olympics every day, especially downhill skiing. Check out some great photos from The Big Picture Boston.
One of the original reasons I started blogging was to chat more about publicly listed hedge funds. I gave up the topic after realizing no one had any interest in them whatsoever in the US. Recent headlines confirm that the US is still at least 10 years behind the rest of the world here – Paulson considering launching a public fund in Canada.
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10 Years of Maverick Capital Returns
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From a recent WSJ article (the author, Brett Arends has a new book out Storm Proof Your Money: Weather Any Economy, Rebuild Your Portfolio, Protect Your Future):
According to the Rapaport Diamond Index, a respected industry benchmark, prices of top-quality stones have collapsed by as much as 80% in real, inflation-adjusted terms over the last 30 years.
But you’re much better off selling diamonds than buying them. The numbers tell the story. Anyone who invested $1,000 in the Tiffany & Co. IPO in 1987 and just sat back and left their money alone, merely reinvesting the dividends, would have about $26,000 today. Someone who sunk that money into diamonds instead: less than $2,000.
Anglo American, the South African mining company that owns a major stake in De Beers, has been a terrific investment for decades. Investors in the stock more than tripled their money last decade—while diamond prices rose by less than a third.
Diamonds are a marketing gimmick as much as anything else. Most men feel they have to give a diamond ring when they propose—even though, as anyone knows after a moment’s thought, the only woman worth buying a ring for is the one who doesn’t care how much you spent on her ring. (In Shakespeare’s “Merchant of Venice,” I might add, the successful suitor is the one who picks lead over silver or gold.)
The biggest winner in the diamond game is the Oppenheimer family, which runs De Beers, the Standard Oil of the diamond world.
Is an enormous issue, and one of the biggest NO-NOs if you are a quant.
If you are not familiar with survivor bias it is when a backtest, or reported results, exclude companies that have been delisted due to mergers, acquistions, bankruptcies, etc. If you are a long time World Beta reader you would recall the fantastic Blackstar study that shows just how big of a deal this is. Roughly 20% of all public company stocks go to zero. And that is the Russell 3000, not even small and micro penny stocks where it would be much worse.
Anyways, I was reading an article that reported some backtests based on Wealth Lab (Fidelity bought them) and I seem to recall that their tests suffer from survivor bias?
A somewhat befuddled Fidelity rep confirmed that indeed this was the case. Any Wealth Lab Pro users on here?
