World Beta Blog

DC all this week, NYC all next.  Drop me a line if you’re around for a meetup.  And if you have any suggestions for things to do or places to eat please pass them along this gorgeous spring!

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I have nine papers in various stages of completion.  Looking forward to post-June travels and getting them out…

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If the next 200 pages are as good as the first 50, Empire of Wealth: The Epic History of American Economic Power is a must read.

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Morningstar is enlarging their Alternatives category to include the following areas:

Bear Market, Currency, Long/Short Equity, Market Neutral, Multi-alternative, Managed Futures, Volatility, Trading – Leveraged Commodities, Trading – Inverse Commodities, Trading – Leveraged Debt, Trading – Inverse Debt, Trading – Leveraged Equity, Trading – Inverse Equity, Trading – Miscellaneous

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It looks likes MIT has spun off their Billion Price Project into a company.  Simple, but brilliant idea now paired with State Street:  PriceStats.

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70 pages of VIC notes.

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Thoughts on currencies from the Value Restoration Project:

“In the short term, risk appetite drives currency. In times of risk seeking, capital flows to higher inflation, higher yield currencies. In times of risk aversion, CAPITAL COMES HOME. It does not, according to Persaud go to the “safest” currencies, but it comes home. “

As I sit in the Charlotte airport en route to Savannah, I am reminded of two things – 1) why doesn’t every airport/hotel (esp the $400 hotel) have free wifi? and 2) what a wonderful book Being Wrong: Adventures in the Margin of Error by Kathryn Schulz is. It is especially interesting in our field, and as old Maynard says, “When the facts change I change my mind, what do you do sir?”

PPT on how we “think” we remember vivid events – flashbulb memories.

Scientists being wrong.  And famously wrong predictions.

TED talk below:

A couple years ago we did a few studies on gold, examining how gold and gold stocks performed:

Gold Miners / Bullion Ratio

“The ratio is around .86 – near the lowest reading ever. Absolute returns for this decile have been strongly positive at 14%, 20%, and 43% for the following 3,6,12 months, and up 90% of the time a year later.”

Since that time (Jan ’09) gold is up 72% and Barron’s GMI 113%.  Where is the K-Ratio now?  Still in the most favorable bucket for gold stocks…

And here is another post on how gold does using a very simple indicator.

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And since I’m speaking at the NAAIM conference tomorrow here is a great list of the paper (and more) that won the Wagner Award:

Other Submissions

	Optimal Momentum Investing – 2nd Place Gary S. Antonacci Portfolio Management Associates
	Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place Tony Cooper Double-Digit Numerics
	Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk Denzig Anginer and Celim Yidizhan Ross School of Business, University of Michigan
	Why Listed Infrastructure Michael Underhill Capital Innovations
	Fighting the Next War: Redefining the Inflation Protected Portfolio Jon Ruff and Vince Childers Alliance Bernstein
	Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach David R. Aronson Hood River Research Inc.
	Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment David Moenning Heritage Capital Management
	Active Management of the Rydex Series Funds Mark Pankin MDP Associates LLC
	A Multi Objective Approach for Contingent Claim Portfolio Pankaj Kumar Jain and Aditya T. Navale Indian Institute of Finance
	Strategy Market Barometer C. Thomas Howard Professor, University of Denver and Athena Invest
	The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns Neil Stoloff SweetSpot Investments LLC
	Relative Momentum: A New Alternative to Relative Strength Gary Anderson Anderson & Loe, Inc.
	Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios Gaia Serraino, American Optimal Decisions and Stan Uryasev University of Florida

Buying Power – The Overlooked Success Factor Thomas Krawinkel Private Trader

Other Submissions

	Optimal Momentum Investing – 2nd Place Gary S. Antonacci Portfolio Management Associates
	Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place Tony Cooper Double-Digit Numerics
	Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk Denzig Anginer and Celim Yidizhan Ross School of Business, University of Michigan
	Why Listed Infrastructure Michael Underhill Capital Innovations
	Fighting the Next War: Redefining the Inflation Protected Portfolio Jon Ruff and Vince Childers Alliance Bernstein
	Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach David R. Aronson Hood River Research Inc.
	Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment David Moenning Heritage Capital Management
	Active Management of the Rydex Series Funds Mark Pankin MDP Associates LLC
	A Multi Objective Approach for Contingent Claim Portfolio Pankaj Kumar Jain and Aditya T. Navale Indian Institute of Finance
	Strategy Market Barometer C. Thomas Howard Professor, University of Denver and Athena Invest
	The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns Neil Stoloff SweetSpot Investments LLC
	Relative Momentum: A New Alternative to Relative Strength Gary Anderson Anderson & Loe, Inc.
	Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios Gaia Serraino, American Optimal Decisions and Stan Uryasev University of Florida