Disqus - Latest Comments for WorldBeta

Re: The challenge of being Google

WorldBeta — Mon, 15 Nov 2010 14:24:23 -0000

Arnott has done some wonderful research on how this plays out in big company stocks:

"We find the leader in any sector underperforms the average stock in its own sector by 3.5% in the next year … and the next year … and the next year. As Table 1 shows, the damage doesn’t really slow down for at least a decade, as the top dog in each sector lags its own sector by 3.3% per year for the next decade!"

http://bit.ly/dprQbc

Re: New Risk Parity Mutual Fund Launches

WorldBeta — Tue, 05 Oct 2010 13:31:57 -0000

Russell is putting out some momo and low vol ETFs that I imagine are similar
in scope to Franken's work:

http://www.indexuniverse.co...

Re: Cambria Global Tactical ETF (NYSE:GTAA)

WorldBeta — Mon, 04 Oct 2010 13:35:05 -0000

The expense ratio will decline towards 0.6% as AUM increases. At the same time, there are what we consider to be improvements to the basic model that (we think) are additive and more than make up for the fee.

Re: Cambria Global Tactical ETF (NYSE:GTAA)

WorldBeta — Mon, 04 Oct 2010 13:34:41 -0000

Cash and bonds, yes.

Re: Cambria Global Tactical ETF (NYSE:GTAA)

WorldBeta — Mon, 04 Oct 2010 13:33:28 -0000

No but the general philosophy will remain the same.

Re: Cambria Global Tactical ETF (NYSE:GTAA)

WorldBeta — Mon, 04 Oct 2010 13:31:53 -0000

The expense ratio will decline towards 0.6% as AUM increases.

Re: Too Big to Succeed – Stocks to Avoid (MON, JNJ, PG, MCD, XOM, JPM, GE, MSFT, EXC)

WorldBeta — Thu, 12 Aug 2010 17:00:23 -0000

universe is Rus2k so smallest company there is still > $1b

Re: Country Mean Reversion

WorldBeta — Thu, 10 Jun 2010 01:51:18 -0000

Works in asset classes, industries, and sectors as well.

Re: Suvivor Bias

WorldBeta — Sat, 15 May 2010 12:59:25 -0000

Diana

Re: Hedge Funds With The Biggest Cojones?

WorldBeta — Tue, 27 Apr 2010 17:39:20 -0000

$99 / month

Re: New Paper and Cambria QR

WorldBeta — Fri, 16 Apr 2010 13:37:51 -0000

http://www.mebanefaber.com/...

Re: New Paper and Cambria QR

WorldBeta — Thu, 15 Apr 2010 15:38:12 -0000

I don't disagree, but if I wrote "dynamically hedge the portfolio with
a short S&P futures overlay" I would have received 1000 emails asking
how to do that. At the end of the day results should be similar.

Re: New Paper and Cambria QR

WorldBeta — Thu, 15 Apr 2010 15:11:41 -0000

Lots of potential extensions. Just trying to be simple.

Re: I Think This Would Have Been Funnier If Announced on April 1st

WorldBeta — Thu, 15 Apr 2010 13:56:55 -0000

to be clear, it is now 8!

Re: Pension Funds

WorldBeta — Fri, 09 Apr 2010 16:12:09 -0000

Ordered. Thanks!

Re: Japanese Real Estate Index

WorldBeta — Thu, 08 Apr 2010 22:49:48 -0000

Topix real estate works...

Re: Hedge Fund Letters

WorldBeta — Mon, 05 Apr 2010 12:46:38 -0000

We actually just link to letters mostly and not upload them.

Re: Monthly Newsletter

WorldBeta — Mon, 05 Apr 2010 11:54:34 -0000

Re: New Funds Being Added to AlphaClone

WorldBeta — Sat, 03 Apr 2010 11:29:28 -0000

Are you equal weighting and using a total return database including
delisted?

Re: New Funds Being Added to AlphaClone

WorldBeta — Fri, 02 Apr 2010 14:12:04 -0000

Yep

Re: Harvard & Yale Asset Allocations

WorldBeta — Fri, 19 Mar 2010 11:56:52 -0000

Here is a non-comprehensive list:

http://www.mebanefaber.com/...

Re: Two

WorldBeta — Wed, 10 Mar 2010 18:56:58 -0000

Nothing surprising if you've been reading my research.

Re: Two

WorldBeta — Wed, 10 Mar 2010 18:28:11 -0000

Done. Not written.

Re: The Value In Following The Smart Money

WorldBeta — Wed, 10 Mar 2010 13:00:07 -0000

I agree in touting something after the fact. It is a struggle to talk about some of the clones without sounding snake-oily.

But the point of my post (and I have been writing about him for years) was that Klarman is a good manager to follow. I wrote the article then a couple weeks later the stock got bought out. It just seemed like a timely example, no more no less.

Re: The Value In Following The Smart Money

WorldBeta — Wed, 10 Mar 2010 12:59:52 -0000

Yeah I know but how does one talk about the managers and clones at all? It is difficult to straddle the line w/o sounding sales-ish.

I've talked about Galleon and Baupost, both of which are on AC. I've talked about funds that don't make sense to clone and those that do. I just thought this was a timely example since readers would remember the article from a few weeks ago.