April 21, 2016


If you’re going to allocate to an active manager, they better be different. Bonus piece on microcap factors that work. Chart then download: —- —- Download PDF Alpha or Assets A True Microcap Strategy Website http://www.osam.com/ Get a Free Subscription! […]
January 2, 2016

Should You Rebal? How?

Two fun articles on asset allocation.  The first is on risk parity, the second on when and how to rebal. (Quick summary – yearly is fine.) Charts then downloads….and Happy New Years! —- —- DOWNLOAD PDFs Strategic Asset Allocation Putting […]
December 1, 2015

Dissecting Investment Strategies in the Cross Section and Time Series

Quite a mouthful that title.  Great paper from folks at AHL/Man on combining carry, value, and momentum. Graph then link: —- DOWNLOAD Dissecting Investment Strategies in the Cross Section and Time Series LINK http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695101 Get a Free Subscription! If you […]
October 8, 2015

Risky Business

Good article on risk parity from the good folks at Bridgewater.  Though their opening paragraph is pretty funny.  See if you can decide if the quote in the first paragraph sounds more like a XXX script or hedge fund letter… […]
September 29, 2015

My Nightmare

I know a lot of institutions are big fans of illiquid assets, but honestly they are my nightmare. One quote then the link: —- “We have evaluated the common view that investors should be able to harvest a liquidity premium […]
August 30, 2015

Timing the Market with Valuation

I did a fun pice on the blog outlining how to time the stock market using top down valuation and trend.  GMO also recently came out with a paper that looks at a super simple valuation timing method and not surprisingly, […]
June 21, 2015

Navigating Stock Price Crashes

What stocks are more likely to experience crashes? Quote then download: —- “We then turn to the central topic of forecasting stock price crashes. Previous research has identified a number of characteristics that forecast stock price crashes, including abnormally high […]
June 15, 2015

A Simple System to Thump the Market

Three assets: stocks, long bonds, and gold. Equal weight whatever is above the long term trend (10 month SMA). That’s it.  Similar to our old QTAA paper, and so very basic (which is good). Picture, no download. Copyright 2015 Ned […]
January 17, 2015

You Had One Job…

Mauboussin had a nice piece a few months ago on capital allocation in the United States.  Below is a version applied to the international markets. What an intro to the paper in the below quote! —- “Capital allocation is a […]
December 31, 2014

All Weather of Your Own

Happy New Years to all – as a reminder for all of your friends an colleagues, prices go up tomorrow so let them know they can still subscribe at the lower rate for one more day!  Below is a fun […]
December 12, 2014

5 Years

It is easy to get caught up in short term results in markets (just look at zero coupon bonds this year!), and 5 years can feel like a lifetime.  Below Cliff looks at a basic three fund portfolio, short but […]
October 23, 2014

Sharpe Sweet Spot

I like reading Niels Jensen’s Absolute Return letter.  He’s been absent for awhile due to a bike accident (get better Niels!), and below is his October piece.  I have seen the below chart with real returns but never Sharpe Ratio […]
October 2, 2014

Ivy Portfolios

This is the last report of the Mendillo era at Harvard.  I have to think the institutional stampede into, and now out of, commodities could signal a good long term buying opportunity at some point.  But if you know me, […]
September 16, 2014

DB on Valuations, Real Rates, and the Bond Bubble

I was going to write that this was a “must read”, but by definition the whole point of The Idea Farm is to send only ‘must reads”, so maybe this is extra musty.  Read all 100+ pages, it is worth […]
September 14, 2014

US & Europe

We featured some publications from Pantheon Macro a year or so ago, here are four more. First, a US and Euro Economic Monitor, followed by a Chartbook for each. Chart then downloads: —- —- Download PDFs US Chartbook, Monitor Euro Chartbook, Montior  Website http://www.pantheonmacro.com/