Disqus - Latest Comments for AlanPendleton

Re: Lose 72% of your investor’s $, make the cover of Barron’s

AlanPendleton — Sat, 10 Oct 2009 22:42:53 -0000

Wow. Amazing that the investor return can be so radically different than the vanilla total return. It's not completely fair to fault Miller for the fact that his investors chose to buy high and sell low. The difference in the two statistics is due to the fact that on average the net assets of the fund were smaller during the good years and larger during the bad years. Hmm ... maybe the lesson here is to stay away from large funds.

Re: Airplane Reading

AlanPendleton — Wed, 05 Aug 2009 17:18:41 -0000

Typical academics ... they don't tell you who the 1% are. The most depressing line in the paper is this one: "we observe that the proportion of skilled funds decreases from 14.4% in 1990 to 0.6% in 2006." Alpha is becoming increasingly rare.

Re: Top 20 Papers and Books in Modern Finance

AlanPendleton — Sun, 19 Jul 2009 00:15:14 -0000

A good source would be Mark Rubinstein's book A History of the Theory of Investments. It's an annotated bibliography of his 180 or so favorite finance-related papers.

My personal favorite, though perhaps not in the class of those you mention, is more useful to a typical investor: Arnott & Bernstein "What Risk Premium Is Normal?" (FAJ March/April 2002). Summarized in one sentence: just because stocks have returned 8% real for the last 100 years doesn't mean they will continue to do so; 2-4% is more likely.

Re: Case Closed Follow Up

AlanPendleton — Fri, 10 Jul 2009 10:45:08 -0000

The results of Haugen Custom Financial Systems are audited at Investars. Six years of pretty good results shown here: http://investars.com/iip_pr...

Re: Market Efficiency

AlanPendleton — Wed, 24 Jun 2009 15:55:26 -0000

What is the edge? Good question. Haugen has been publishing his methods since 1996 at least. There shouldn't be an edge after this many years. But according to Investars, Haugen's firm is top rated in the Quantitative category for most time periods, including the 3 month period ending yesterday -- up 38% vs 11% for S&P. I suspect the paper describes what he was doing last year, and leaves out a detail or two about what he is doing this year.