tag:blogger.com,1999:blog-70189175303086706102024-03-08T02:28:03.352-05:00The Absolute InvestorDavid Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.comBlogger35125tag:blogger.com,1999:blog-7018917530308670610.post-461776706172561462009-01-12T20:11:00.002-05:002009-01-12T20:29:23.662-05:00Does Trend Following WorkRichard Widows wrote in <a href="http://www.thestreet.com/_yahoo/newsanalysis/ratings/10457176.html?cm_ven=YAHOO&cm_cat=FREE&cm_ite=NA">article</a> in the Street.com about trend following strategies in mutual funds. Basically, he claims that they don't work. For his proof, he listed a group of funds with high returns in 2007 and poor returns this year. I do agree that chasing performance doesn't always work especially with sector, single country & regional funds but I don't think that should keep us away from trend following models that do work. I have back tested many trend and momentum models in stocks, funds and commodities, and if done correctly, they can be quite rewarding.<br /><br />Widow's simple strategy was picking the fund with the highest return. If he had narrowed down his choices to diversified domestic and international funds, I'd take a guess that the returns of those funds would have been fairly OK in relation to the broad market. If you wanted the big returns, the portfolio would need to trade much more frequently, say quarterly or every couple of months (depending on the fund's short term redemption fees). Momentum changes throughout the year and I have found out that by following the momentum through the year you can piggy back on its returns and still perform better than the broad market indexes.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com5tag:blogger.com,1999:blog-7018917530308670610.post-60282176793702006322008-12-18T17:47:00.003-05:002008-12-18T18:21:10.694-05:00A Couple Noteworhy LinksAre <a href="http://money.cnn.com/2008/12/16/magazines/fortune/Where_put_money_Powell.fortune/index.htm?source=yahoo_quote">International Companies</a> the Way to Go?<br /><br />3X Leveraged International <a href="http://www.indexuniverse.com/sections/newsinfocus/5073-direxion-3x-leveraged-etfs-go-international.html">ETFs.</a><br /><br />Yikes. Largest 6 Day Dollar <a href="http://bespokeinvest.typepad.com/bespoke/2008/12/biggest-6day-decline-for-the-dollar-ever.html">Decline</a>.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-83325860305002290662008-12-10T21:04:00.002-05:002008-12-10T21:16:27.533-05:00I'm BackBeen extremely busy over the last two weeks with classes & work projects, but I'm back with a few links to check out:<br /><br /><a href="http://online.wsj.com/article/SB122809294013867881.html">Looks Like Portable Alpha Didn't Work Out As Expected</a><br /><br /><a href="http://www.marketfolly.com/">Market Folly Continues Its Listing of Hedge Fund Holdings</a><br /><br /><a href="http://www.ritholtz.com/blog/2008/12/calculating-the-total-bailout-costs/">Total Bailout Costs From The Big Picture</a><br /><br /><a href="http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/">What is the real Hedge Fund Index</a><br /><br /><a href="http://www.investmentnews.com/apps/pbcs.dll/article?AID=/20081201/REG/812019973/1094/INDaily01">Are we in a recession?</a><br /><br /><a href="http://www.indexuniverse.com/sections/newsinfocus/5016-indexiq-launches-new-hedging-indexes.html">IndexIQ Launches a Hedge Fund Clone SMA</a>. Still waiting on their ETFs...<br /><br /><a href="http://online.wsj.com/article/SB122874872721488127.html">Hedge Fund Performance in November</a>. Compare against The Absolute Investor<a href="http://www.theabsoluteinvestor.com/Returns.html"> returns</a>.<br /><br /><a href="http://online.wsj.com/article/SB122877471245689265.html">Computer Models Are Holding Up</a><br /><br /><a href="http://blogs.wsj.com/wallet/2008/12/08/some-new-tools-for-investing-nerds/">New Investing Tools</a><br /><br /><a href="http://online.wsj.com/article/SB122886123425292617.html">A Fallen Legend</a>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-22962496061938698892008-11-25T20:37:00.001-05:002008-11-25T20:39:15.519-05:00New ProFunds Hit the MarketProFunds <a href="http://www.investmentnews.com/apps/pbcs.dll/article?AID=/20081125/REG/811259907/1094/INDaily01">has launched 12 new leveraged mutual funds</a>, including commodities and currencies (Euro & Yen).David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-57350304980677494802008-11-25T20:32:00.002-05:002008-11-25T20:37:51.479-05:00A New Fund to Keep My Eye on<a href="http://biz.yahoo.com/ts/081125/10449963.html?.v=1">The Dover Long Short Sector Fund</a> (DLSAX). High turnover and 1.75% expense ratio but it seems to be holding up with a basically flat return for the year.<br /><br />We are creating a couple more model portfolios for our subscribers next year, one of which is a Long Short Sector Rotation Model. I wonder how our model will perform compared to this fund. At the very least it could provide a benchmark for the new model.<br /><br />We are also looking into creating a Long Short Country Rotation Model and a Commodity Trading Model (CTA), similar to a manged futures hedge fund.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-32720752158047651482008-11-24T22:25:00.002-05:002008-11-24T22:27:16.232-05:00Hedged Mutual FundsRichard Widows at The Street details a few mutual funds with <a href="http://www.thestreet.com/_yahoo/funds/mutualfundinvesting/10449532.html?cm_ven=YAHOO&cm_cat=FREE&cm_ite=NA">hedge fund strategies</a>. We have our eye on all of them. Hopefully, more and more of these funds will become available as long as there are good managers running the ship.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-23567984254609867522008-11-24T22:22:00.003-05:002008-11-24T22:25:19.901-05:00Another Bailout. Who's NextOy...Here we go <a href="http://www.msnbc.msn.com/id/27877195/">again</a>. But at least the markets up two days in a row.<br /><br />Wondering if Citigroup got the automaker's money?<br /><br />Unfortunately, we don't know if these bailouts will even work.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com1tag:blogger.com,1999:blog-7018917530308670610.post-50849220722828515852008-11-24T22:19:00.002-05:002008-11-24T22:22:12.867-05:00Hedge Funds Lost a Little Money Last Month<a href="http://www.investmentnews.com/apps/pbcs.dll/article?AID=/20081121/REG/811219991/1094/INDaily01">$40 Billion</a>. Ouch.<br /><br />Performance hasn't been great. Our portfolio strategies are greatly performing the hedge fund indexes. I'd be curious to see who the top performers are on a regular basis.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com3tag:blogger.com,1999:blog-7018917530308670610.post-27649390159781696152008-11-17T22:06:00.002-05:002008-11-17T22:10:38.839-05:00New Buffet MovesIn the most recent quarter, Buffet made a few under the radar <a href="http://finance.yahoo.com/news/Filing-Reveals-More-Moves-indie-13592736.html">moves</a>. He bought Eaton (ETN), added to his stake in ConocoPhillips (COP), U.S. Bancorp (USB) and NRG Energy (NRG), while trimming CarMax (KMX), Bank of America (BAC), Lowes (LOW), and Home Depot (HD).<b></b>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-40067737303376402752008-11-17T22:03:00.002-05:002008-11-17T22:06:28.136-05:00New Putnam StrategyPutnam is straying from quantitative investing and moving into more <a href="http://www.marketwatch.com/news/story/putnam-revamps-stock-funds-business/story.aspx?guid=%7B5F26C079-B0A1-4D33-9DDF-A142362064A5%7D&dist=msr_10">fundamental strategies</a> in an effort to combat poor performance.<br /><br />I can't see why they can't just use both. I have done extensive research on quantitative investment models and if done correctly, they can be quite profitable. Even the fundamental portfolios I track are quantitative in nature.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-85921958632028524582008-11-17T21:59:00.001-05:002008-11-17T22:03:10.765-05:00Farrell Thinking DepressionWill we be heading into the next great depression? Paul Farrell <a href="http://www.marketwatch.com/news/story/well-great-depression-2-2011/story.aspx?guid=%7BB28B49B5-EFD1-4941-B57E-A2BA1545BA09%7D&dist=msr_10">thinks so</a>.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-41572579721229349352008-11-17T21:58:00.003-05:002008-11-17T21:59:49.776-05:00Cuban and The SECLooks like the Cuban has a little more on his <a href="http://www.marketwatch.com/news/story/Mark-Cuban-charged-insider-trading/story.aspx?guid=%7BDE258765-828F-4C7F-B0F7-18A318AD837E%7D">plate</a>. Probably doesn't bode well for his interest in the Cubs.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-81410674482912514052008-11-10T21:38:00.002-05:002008-11-10T21:41:15.457-05:00Astrology as an Investment Strategy<a href="http://www.marketwatch.com/news/story/Star-performer-relies-stars/story.aspx?guid=%7B86972C29%2DCF1F%2D4527%2D87B8%2DFCF4D3FC86BC%7D">Arch Crawford</a> uses planetary cycles to dictate his investment philosophy. He is doing quite well I might add.<br /><br />What's next <a href="http://www.remoteviewingproducts.com/financial.cfm">clairvoyance</a>?David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-65069737015764217482008-11-10T21:37:00.001-05:002008-11-10T21:37:48.469-05:00Here's a Fund Manager Who's Holding His own<a href="http://www.marketwatch.com/news/story/meet-one-stock-fund-manager-almost/story.aspx?guid=%7BC0887ACD-8A36-4A5C-AE5D-52D2D33F05C6%7D&siteid=yhoof">http://www.marketwatch.com/news/story/meet-one-stock-fund-manager-almost/story.aspx?guid={C0887ACD-8A36-4A5C-AE5D-52D2D33F05C6}&siteid=yhoof</a>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-37170803639177445792008-11-10T21:12:00.002-05:002008-11-10T21:36:52.216-05:00Hedge Fund Replication<a href="http://allaboutalpha.com/blog/2008/11/09/comment-the-problem-of-missing-factors-in-hedge-fund-replication/">All About Alpha</a> had a good post about Hedge Fund replication strategies missing factors. I was never a big fan of hedge fund replication strategies. I just don't see the point in investing in a hedge fund index when their returns tend to have a high correlation to the market anyway. You could do better following your own alternative strategy as our model portfolios are beating the pants off some well known hedge fund indexes.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-5290303998372364402008-11-04T20:33:00.002-05:002008-11-04T20:42:23.290-05:00ETFs With Even More LeverageHere we go. As the financial system is in the process of de-leveraging, Direxion is coming out with eight ETFs that offer <a href="http://www.indexuniverse.com/sections/newsinfocus/4779-etfs-with-300-leverage-inverse-power-set-to-launch.html">even more leverage</a>. Previously, if you wanted to add leverage to your portfolio you could invest in an ETF from ProShares or Rydex that offer twice the daily performance of each index. Now you can get three times the daily performance.<br /><br />The eight ETFs include:<br /><br />Direxion Large Cap Bull 3x (BGU)<br />Direxion Small Cap Bull 3x (TNA)<br />Direxion Energy Bull 3x (ERX)<br />Direxion Financial Bull 3x (FAS)<br />Direxion Large Cap Bear 3x (BGZ)<br />Direxion Small Cap Bear 3x (TZA)<br />Direxion Energy Bear 3x (ERY)<br />Direxion Financial Bear 3x (FAZ)<br /><table class="greyBorders" border="0" cellpadding="0" cellspacing="0" width="450"><tbody><tr><td valign="top" width="151"><br /></td><td valign="top" width="72"><br /></td><td valign="top" width="180"><br /></td><td valign="top" width="108"><br /></td></tr><tr><td valign="top" width="151"><br /></td><td valign="top" width="72"><br /></td><td valign="top" width="180"><br /></td><td valign="top" width="108"><br /></td></tr><tr><td valign="top" width="151"><br /></td><td valign="top" width="72"><br /></td><td valign="top" width="180"><br /></td><td valign="top" width="108"><br /></td></tr><tr><td valign="top" width="151"><br /></td><td valign="top" width="72"><br /></td><td valign="top" width="180"><br /></td><td valign="top" width="108"><br /></td></tr><tr><td valign="top" width="151"><br /></td><td valign="top" width="72"><br /></td><td valign="top" width="180"><br /></td><td valign="top" width="108"><br /></td></tr></tbody></table><table class="greyBorders" border="0" cellpadding="0" cellspacing="0" width="450"><tbody><tr> <td valign="top" width="152"><br /></td> <td valign="top" width="72"></td> <td valign="top" width="180"></td> <td valign="top" width="108"></td> </tr> <tr> <td valign="top" width="152"></td> <td valign="top" width="72"></td> <td valign="top" width="180"></td> <td valign="top" width="108"></td> </tr> <tr> <td valign="top" width="152"></td> <td valign="top" width="72"></td> <td valign="top" width="180"></td> <td valign="top" width="108"></td> </tr> <tr> <td valign="top" width="152"></td> <td valign="top" width="72"></td> <td valign="top" width="180"></td> <td valign="top" width="108"></td> </tr> <tr> <td valign="top" width="152"></td> <td valign="top" width="72"></td> <td valign="top" width="180"></td> <td valign="top" width="108"></td></tr></tbody></table>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-4272251106371034322008-11-01T13:24:00.002-04:002008-11-01T13:34:07.646-04:00What a Month...Not the greatest month in the markets. The S&P was down 16.8% while the MS EAFE was down 20.2%.<br /><span style="font-size:130%;color:#010610;"><strong><br /></strong></span>It wasn't so bad for those of us following The Absolute Investor Model portfolios. Here are the portfolio returns for the month:<br /><br /><strong><span style="color:#060000;">Mutual Fund Portfolios <br /></span></strong><span style="color:#0a0000;">Fund of Funds Model</span> <span style="color:#fc0707;">-0.5</span><br /><span style="color:#070000;">Market Timing Model 0.0</span><br /><span style="color:#090000;">S&P 500</span> <span style="color:#fc0808;">-16.8</span><br /><br /><strong><span style="color:#030000;">ETF Portfolios <br /></span></strong><span style="color:#090000;">Multi-Strategy Model <span style="color:#068b2a;">3.4</span><br />Leveraged Allocation Model <span style="color:#068b2a;">1.5</span><br />Market Timing Model 0.0<br />S&P 500 -<span style="color:#fc0808;">16.8</span></span><br /><br /><strong><span style="color:#090000;">Stock Portfolio <br /></span></strong><span style="color:#090000;">Long-Short Model <span style="color:#068b2a;">9.6</span><br />S&P 500 <span style="color:#fc0808;"> -16.8</span></span>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-22721182554669471932008-10-21T18:53:00.002-04:002008-10-21T18:54:48.663-04:00Putnam Funds & The Separation of Alpha & BetaLooks like Putnam is launching a few absolute return funds.<br /><a href="http://allaboutalpha.com/blog/2008/10/06/new-putnam-funds-separate-alpha-and-beta-nearly/">http://allaboutalpha.com/blog/2008/10/06/new-putnam-funds-separate-alpha-and-beta-nearly/</a>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-80316203949533562522008-10-21T18:49:00.001-04:002008-10-21T18:52:52.679-04:00Wow: Hedge Fund Manager Closes Shop with a MouthfulAndrew Lade of Lahde Capital Management has closed his fund but he left us with a very interesting <a href="http://www.ft.com/cms/s/0/128d399a-9c75-11dd-a42e-000077b07658.html?nclick_check=1">letter</a>.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-18031466105364627472008-09-29T22:16:00.003-04:002008-09-30T10:42:04.542-04:00What a Day....Final Damage:<br />Dow Drops 777.68 (-6.98%)<br />S&P 500 Drops 106.62 (-8.79%)<br />Nasdaq Drops 199.61 (-9.14%)<br /><br />If you were invested in our ETF Leveraged Allocation Model you would have been flat today or you could have been up over 2% in our Long Short Stock Model.<br /><br />The Markets<br />I guess you could say the market didn't like the House rejection of the "bailout" package. The credit markets have also frozen up even more. Maybe its time our leaders in Washington start looking into other options that may involve a little more balance sheet analysis. No one seems to have a clue.<br /><br />This brilliant bailout plan was flawed from the start. I really can't see how taxpayers can make money from this plan.<br /><br />What we should do is let these assets (& Real Estate Prices) devalue and make insolvent companies go into receivership by following the model set forth by Washington Mutual...David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-91720670678731199722008-09-23T21:38:00.003-04:002008-09-23T21:44:04.318-04:00A Couple Economic Suggestions...John Hussman's Letter to US Congress<br /><a href="http://www.hussmanfunds.com/wmc/wmc080922.htm">http://www.hussmanfunds.com/wmc/wmc080922.htm</a><br /><br />Barry L. Ritholtz's 30/20/10 Proposal<br /><a href="http://bigpicture.typepad.com/comments/2008/09/fixing-housing.html">http://bigpicture.typepad.com/comments/2008/09/fixing-housing.html</a>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-86732410414084427242008-09-23T21:32:00.000-04:002008-09-23T21:38:02.734-04:00Morningstar To Take Over MSCI Hedge Fund IndexesMSCI will now have Morningstar <a href="http://www.indexuniverse.com/sections/newsinfocus/10-news-in-focus/4547-msci-taps-morningstar-for-hedge-fund-indexes-.html">calculate and distribute their hedge fund indexes</a>. The indexes will still utilize the MSCI Barra methodology.<br /><br />Many Hedge Fund Indexes have not fared much better than the market and many are down for the year. On the other hand, The Absolute Investor portfolios have been able to do what the indexes haven't; hedge the market.David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-15516266219140573262008-09-23T20:50:00.000-04:002008-09-23T21:32:28.142-04:00New PowerShares Commodity ETFs<span style="font-weight: bold;">4 New Commodity ETFs from PowerShares</span><br /><br />PowerShares Global Agriculture (PAGG)<br />PowerShares Global Gold and Precious Metals (PSAU)<br />PowerShares Global Coal (PKOL)<br />PowerShares Global Steel (PSTL)David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com1tag:blogger.com,1999:blog-7018917530308670610.post-1840143328659960832008-09-15T20:43:00.000-04:002008-09-15T20:56:22.344-04:00Black Monday-Free IssueWow. Not a great day in the markets<a href="http://www.bloomberg.com/apps/news?pid=20601087&sid=aiRCWtEfO4Wk&refer=home"> today</a>. That's an understatement.<br /><br />This is the great time to learn how to add hedge fund strategies to your portfolio. For a limited time, we are offering a free copy of this month's The Absolute Trader: ETF Edition.<br /><br />Please sign up here: <a href="http://www.theabsoluteinvestor.com/Free_Sample.html">http://www.theabsoluteinvestor.com/Free_Sample.html</a>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0tag:blogger.com,1999:blog-7018917530308670610.post-28101750543956818622008-09-15T20:33:00.000-04:002008-09-23T20:52:07.451-04:00What Happens With Lehman ETNs?<span style=";font-family:georgia;font-size:100%;" >As some of you may know, An exchange traded note (ETN) works differently then an exchange traded fund (ETF). If you buy an ETF, you are owning shares of a physical asset, whereas if you buy an ETN, you are purchasing a debt note; therefore making you suseptiple to credit risk. Now that Lehman has filed for </span><span style=";font-family:arial;font-size:100%;" ><a href="http://www.reuters.com/article/marketsNews/idINN1546989720080915?rpc=44">bankruptcy</a></span><span style=";font-family:georgia;font-size:100%;" >, what happens to investors that have purchased any of the </span><span style=";font-family:arial;font-size:100%;" ><a href="http://www.optaetn.com/offerings/overview.asp">Lehman Opta ETNs</a></span><span style=";font-family:georgia;font-size:100%;" >? If these notes are included in the bankruptcy, investors will most likely lose out unless a buyer purchases that unit. There was a good </span><span style=";font-family:arial;font-size:100%;" ><a href="http://www.indexuniverse.com/sections/features/12/4517-lehman-meltdown-poses-problems-for-opta-etns.html">article</a></span><span style=";font-family:georgia;font-size:100%;" > on indexuniverse.com about this.</span>David Cohnehttp://www.blogger.com/profile/03951784346373999196noreply@blogger.com0