Recent content by bubbrubb

here are just a few quant related: nuclear phynance wilmott futures: trading blox personal investing: bogleheads blogs: world beta seekingalpha big picture kirk report abnormal returns message board: motleyfool

Renaissance Technologies, one of the world's biggest and best performing hedge fund groups, plans to launch a managed futures fund with a capacity of $25bn, an unusual foray into an investment strategy that has been underperforming. . . http://worldbeta.blogspot.com/

This seems to fly in the face of most academic evidence for momentum. 52 Week Highs http://www.cxoadvisory.com/blog/external/blog5-23-07/ Does Trendfollowing Work on Stocks? http://www.trendfollowing.com/whitepaper/Does_trendfollowing_work_on_stocks.pdf

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Recent academic TA paper in the Journal of Wealth Management: "A Quantitative Approach to Tactical Asset Allocation" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461

Here is a systematic method for asset allocation. Obviously you could add other bells and whistles such as risk parity and additional asset classes, etc. . . http://ssrn.com/abstract=962461

Some may find this of interest: http://ssrn.com/abstract=962461 Abstract: The purpose of this paper is to present a simple quantitative method that improves the risk-adjusted returns across various asset classes. A moving-average timing model is tested in-sample on the United...

http://hedgefundclone.blogspot.com/ 30% p.a. just by tracking the 13Fs. . . "Last summer David Einhorn won $659,730 for placing 18th in the World Series of Poker. Thats a pretty nice take for most people, but Einhorn isn't most people. The 37-year old fund manager donated all of the...

does anyone have any hedge funds they suggest I take a look at that would be a good fit for this approach? Currently on my to do list is: Baupost Eminence Greenlight Maverick Tiger Global Private Okumus Blue Ridge

Some may find this of interest - I only post on ET about once a year, but the full post can be found at this site: http://hedgefundclone.blogspot.com/ I backtested the equity holdings of Buffett since 2000 from the 13F filings. I also included all stocks no longer in the database. I first...