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AAAintheBeltway

I have found that one key to longer term investing and swing trading is to vary your equity exposure as market conditions change. It sounds simple, but it is not so easy to get right.

When you're doing well, it's easy to get over-exposed and ignore warning signs. It's also easy to become too pessimistic in downturns and miss the turn.

I've found it helpful over the years to monitor the allocations of a couple of hedge funds whose managers write blogs. Many people are familiar with BetweenTheHedges. I have followed another guy for years, but he must remain unnamed as some bizarre issues have arisen and I am no longer comfortable sending people there.

My question is what other fund manager blogs or sites are you aware of that provide some window into what they are doing?
 
Quote from AAAintheBeltway:

I have found that one key to longer term investing and swing trading is to vary your equity exposure as market conditions change. It sounds simple, but it is not so easy to get right.

When you're doing well, it's easy to get over-exposed and ignore warning signs. It's also easy to become too pessimistic in downturns and miss the turn.

I've found it helpful over the years to monitor the allocations of a couple of hedge funds whose managers write blogs. Many people are familiar with BetweenTheHedges. I have followed another guy for years, but he must remain unnamed as some bizarre issues have arisen and I am no longer comfortable sending people there.

My question is what other fund manager blogs or sites are you aware of that provide some window into what they are doing?
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Check out the Kelly ratio, that's probably what you're looking for.
 
Isn't the Kelly ratio used for trade sizing?

I'm talking about something a bit different, ie relative portfolio exposure to equities, fixed income and cash.
 
Quote from AAAintheBeltway:

Isn't the Kelly ratio used for trade sizing?

I'm talking about something a bit different, ie relative portfolio exposure to equities, fixed income and cash.
More...

Oh see, you refer to the portfolio composition, right? Then I guess you should look closer at portfolio theory, e.g. CAPM etc.
 
You won't get a straight answer as everyone has a different motivation and they fill never explain that. Sac might be overweight equities and underweight currencies because of PM mix.

Other funds might be underweight equities because they are hedging a credit position.

A third fund would be overweight equities and short options because some quant model told them to sell vol but you won't see that because the options won't be disclosed.
 
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