How Can You Avoid the Fat Left Tails?
October 10, 2009 - Big Ideas
Nassim Taleb offers some vague guidance on avoiding wildly bad events. See…
October 10, 2009 - Big Ideas
Nassim Taleb offers some vague guidance on avoiding wildly bad events. See…
October 9, 2009 - Strategic Allocation
…retirees may be able to achieve both higher spending allowances and lower probabilities of portfolio exhaustion by allocating part of their portfolios to a safe core and the balance to a growth-tilted stocks-bonds mix.
October 8, 2009 - Value Premium
…investors may be able to exploit the value premium more efficiently and completely by defining it using the Enterprise Multiple rather than the book-to-market ratio.
October 7, 2009 - Momentum Investing
Best guess is that combining low volatility with high momentum might offer an edge…
September 29, 2009 - Economic Indicators
…allocating funds to stocks and Treasuries according to the relationships between their past returns and these three off-the-beaten-path macroeconomic indicators may produce market-beating results.
September 28, 2009 - Individual Investing
The notion that individuals are at a disadvantage compared to big traders in constructing and maintaining a diversified portfolio of specific stocks seems reasonable.
September 27, 2009 - Equity Options
For the strike-rolling process you describe to enhance returns over the long run, the incrementally accrued time value must more than offset the combined effects of: (1) the incremental trading frictions (principally bid-ask spreads); and, (2) the increased risk of in-the-money expirations.
September 26, 2009 - Equity Options, Short Selling
The net of this research appears to be that only very low-cost traders (such as market makers) can effectively exploit the anomaly.
September 25, 2009 - Technical Trading
It seems reasonable to infer from this analysis that many people “renting” automated trading strategies do not do very well and that they may underperform the broad stock market as a group.
September 24, 2009 - Equity Options
IRS rules involving wash sales and options as described in Publication 550 (2008) are complicated.