A great read. Of particular interest to me was this statistic:
“The percent of firms paying cash dividends falls from 66.5 in 1978 to 20.8 in 1999″ from his paper “Disappearing Dividends”. Long time readers would remember that is one reason I think this paper is so important: “On the Importance of Measuring Payout Yield“.
2009 is Yale’s target allocation rather than actual allocation.
On the last page Mendillo had these two rather odd quotes that seem, at least to me, to be a bit contradictory (not to mention something I would have just followed with “Did I just say that out loud?”):
“Overall, our risk management was adequate.”
“We kept the ship righted in a real-life correction that exceeded our most extreme theoretical stress tests.”
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Hulbert on the 200 day SMA. He never mentions in any of his articles that the main feature of a trendfollowing system is risk reduction (vol and drawdown) and not an increase in absolute return. (HT: GA)
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Listed vs. non-listed from AllAboutAlpha.
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I haven’t read any of these reports yet but they look interesting - from QSG.
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Just got back from giving a speech in Portland – I love that town!
of the six new research papers I’ve been working on are now finished. Question is, what to do with them?
If anyone is going to the Andrew Lo CFA speech today come say hello to the unshaven and disheveled guy in the white shirt.
My first article for Forbes was published about 10 days ago where I profiled how to piggyback Seth Klarman.
The first stock we talked about was Facet Biotech, which just got bought today by Abbott for $27/share or a 67% premium.
My favorite part of the Forbes article is how the only comment was about how “worthless” it was to follow Klarman through 13F filings. Indeed.
is somewhere between $2.8 million and $55.5 million. I’ll get to the math in a minute.
I originally allowed SeekingAlpha to repost my content because I didn’t see any harm in it. Countless headaches later (SA changing the title of my posts, introducing errors into the posts, getting branded as a SA author rather than World Beta) made me grow weary of the relationship. The fact the relationship is totally one-sided (the author receives no compensation for his IP) is a major problem.
However the worst feature of the site was that it has become a noise machine. 185,000 articles have been published on SeekingAlpha from over 3,000 writers (this includes an astonishing 5,500 articles in the past 30 days). Long time readers know this is the direct opposite model I believe in for investing success. Exactly how many of these 200 articles a day are useful for investors? Obviously it makes sense for SA as they get to crank out as much content as possible that then gets reblasted everywhere like Yahoo Finance. After all, if you remember my old post The #1 Key to Investment Blogging is quantity not quality if your goal is traffic.
Anyways, SeekingAlpha gets all their content for free. I think this is a severely broken business model ala Digg (stay tuned here for developments). I asked SeekingAlpha to quit reposting my articles this past December to which they complied. I then asked them to take down my old articles to which they refused. I have a friendly relationship with the founders, and while we had a heated and charged discussion it was always respectful. Their only offer was to make my stream anonymous which of course makes no sense.
I wanted to do the math to ballpark exactly the value of the articles they have reposted. Here is a nice article on Demand Media and the basement fees they pay their authors – $15 per article. On the other end of the spectrum established authors receive around $300 per piece and up (we have a standing offer that would pay North of this).
185,000 x $15 = $2.8mm
185,000 x $300 = $55.5mm
That means they receive somewhere between $80,000 and $1.7 million in free content per month.
The value of the 238 odd posts they republished of mine is likewise valued at somewhere around $72,000 at current market rates. I brought this up and said fellas the least you could do, after getting all of this content for free, is respect the wishes of the author.
Hopefully the world moves away from the bubble-vision, noise-machine, churning, high fees, Google Ads world to something much more useful.
Maybe sooner than you think.
The Hidden Risks of Risk Parity Portfolios – Ben Inker GMO
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Forgotten Lessons of 2008 – Seth Klarman’s Annual Letter
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Interview with James Montier – Simolean Sense
Here is an old post where we took at a look at investing based on the yield curve. I updated the charts here with more and less granularity. From the tables one could infer that stocks and especially REITs love a good ol steep yield curve like we have now. Annualized average monthly returns from 1973-2009 (although it is missing the last two months of 2009). Check out that commodity and gold performance when yield curve is negative.
Nice article about Paolo Pellegrini’s PSQR Fund over on Prag Cap (via Altucher). Paolo is featured heavily in the very good book The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History.
Lots of media on PSQR over on Hedge Fund Letters.
Is anyone going to Andrew Lo’s presentation at the CFA Society here in Los Angeles next week? If so come say hello.
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kaChing is requiring all Geniuses on their platform to register as RIAs – which I think is a great step in the right direction. I still think the killer app for these guys is to morph into a technology/back office provider to outsource RIA duties which I posted about back in October.
But that also only makes sense for RIAs once kaChing has some decent AUM (and by decent I mean > $100mm). Somewhat of a chicken/egg problem, but I like the direction they are moving. Would also like to see them drop the silly “Genius” label. Anyone willing to call themselves a genius in our field needs to go read my last blog post on the Folly of Forecasting and the must read Montier behavioral PDF the Seven Sins of Fund Management.
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This could be interesting but my first reaction is blah. (CSLS Fact Sheet here, Index Fact Sheet here, Brochure here ). If you recall from my book and numerous postings, these indexes are notorious about overstating returns vs. their liquid and investable versions (usually on the order of around 4% a year).
So for this fund you get: no underlying hedge funds (rather a factor based replicator, but you want the ALPHA in hedge funds NOT the BETA), the credit risk of an ETN, possibly overstated hypothetical returns vs. the non-investable version, and active management fees – all for something that doesn’t really add anything to a diversified portfolio anyways. I would much rather see an ETN on the actual foreign listed hedge funds with a bias towards those with the biggest discount to NAV.
Credit Suisse recently announced that for the first time, U.S. investors will be able to access the Credit Suisse/Tremont Long/Short Equity Hedge Fund Index strategy through an exchange-traded product.
The new Credit Suisse Long/Short Liquid Index (Net) ETN (NYSE Arca: CSLS) (the “CSLS ETN”) is designed to provide a more liquid alternative to hedge fund investing with lower fees. The Credit Suisse Long/Short Liquid Index (Net) seeks to replicate the performance of the Credit Suisse/Tremont Long/Short Equity Hedge Fund Index by tracking the performance of non-hedge fund, transparent market measures.
The CSLS ETN is designed to provide lower volatility than traditional asset classes with equity-linked returns. Plus, the CSLS ETN gives investors the freedom to buy and sell openly on an exchange. By providing real-time pricing, intraday liquidity and portfolio transparency, the CSLS ETN represents the next generation of alternative investing.
