Monthly Archive for: ‘January, 2012’
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Hedge Fund “Charity”
New Hedge Fund Will ‘Do The Right Thing’ | FINalternatives. Here is an interesting concept: set up a hedge fund, market it as helping the world, and then charge the investors 1.5% management and 25% of profits. Oh, and also limit yourself to investing in …
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Turnkey Research Note: The Procter & Gamble Co. (NYS:PG)
Last week, The Procter & Gamble Company (PG) announced that it had a difficult quarter due to a weak economic environment. Although Fortune magazine in 2011 ranked PG in fifth place for its “Most Admired Companies” list, PG shares are down in 2012, even as …
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Finance Porn from Ernie Chan
Ernie Chan has an excellent blog over at http://epchan.blogspot.com. Today he has a great chart related to a simple stat-arb strategy mentioned in his associated post: Not bad for 2011–the year that left us all wondering: WTF.
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Warning: Meddling with Quant Models is Dangerous!
I found the following article compelling: http://news.morningstar.com/articlenet/SubmissionsArticle.aspx?submissionid=134195.xml Here is a quick summary in the author’s words: Gotham Asset Management managing partner and Columbia professor Joel Greenblatt explains why investors who ‘self-managed’ his Magic Formula using pre-approved stocks underperformed the professionally managed systematic accounts. The …
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Maxing out–the Hong Kong Evidence
Almost a year ago we posted about a very interesting paper in the top-tier academic finance literature: http://turnkeyanalyst.com/2011/02/hot-off-the-jfe-press-maxing-out-your-returns/ The basic concept behind the trading strategy is that stocks that act like lotteries tend to be poor performers because people overpay for lottery bets. Here is …