This new book is a must read: Fooling Some of the People All of the Time: A Long Short Story by Greenlight’s David Einhorn (forward by Joel Greenblatt of “Little Book that Beats the Market” and Gotham).
Quote of the day, “Once we realize that imperfect understanding is the human condition there is no shame in being wrong, only in failing to correct our mistakes.” George Soros
A while back I posted a link to this GTAA paper from Analytic Investors. Bespoke takes a look at global PE Ratios here. Long Italy and Germany, short China and the US?
Has anyone heard of any firms/funds using PSP or PFP to try and isolate pure alpha in private equity? I guess one could use the S&P or Nasdaq almost as effectively.
Need to find the cost basis of that GE you bought 40 years ago? NetBasis can help (for a expensive $20 per stock).
Nice blog – designing better futures.
When you have an hour to spare, “Scientific Frontiers and Technical Analysis” by Kevin Hanley.
With coffee futures trading down, and this news, is it time to get long?
Did you know that if you add &fmt=18 to the end of a Youtube url it comes in high def? Compare these two videos for an example:
Nice rule(s) of thumb:
Individual asset classes have a Sharpe of around .25
A 60/40 allocation has a Sharpe around .35
A balanced allocation, endowment style, has a Sharpe around .55
Overlaying the quant model can take the Sharpe to .85
Individual asset classes have a return/risk ratio of about .5
A 60/40 allocation has a return/risk ratio of about .8
A balanced allocation, endowment style, has a return/risk ratio of about 1
Overlaying the quant model can take the return/risk ratio to about 1.8
Individual asset classes have a MAR ratio of about .25
A 60/40 allocation has a MAR ratio of about .4
A balanced allocation, endowment style, has a MAR ratio of about .6
Overlaying the quant model can take the MAR ratio to about 1.2