January 26, 2017

It may not be my money, but it is my job.

—Charles Ellis in Investment Policy: How to Win the Loser’s Game Fun one on career risk from Research Affiliates… —- —- Downloads How Not to Get Fired with Smart Beta Investing Website https://www.researchaffiliates.com
January 1, 2017


Here are three pieces to start out the new year!  Three charts then three downloads…best wishes for a prosperous 2017! —- Downloads PIMCO Value and Carry in FX Salient The Free Lunch Effect Blackrock Robos Come of Age
December 2, 2016

Century City

Duration, 100 year bonds, Mnuchin, and “will France blow up the Euro?”. All in one three-pager from Dillian’s Dirtnap. Chart and download: —- —- Link Century City Website http://www.dailydirtnap.com/
November 23, 2016


This might but a little too academic or wonky for many, but a fun skim for me… A table then download… —- —- Download Equity Risk Premium Website https://www.nbim.no/en/transparency/discussion-notes/2016/the-equity-risk-premium/
October 6, 2016

Real Drawdowns

Added local real drawdown %: Real Local Drawdown % Australia -7.89 Austria -52.43 Belgium -4.45 Brazil -43.78 Canada -6.15 Chile -39.5 China -35.51 Colombia -36.25 Czech Republic -45.18 Denmark -11.25 Egypt -62.63 Finland -53.49 France -10.96 Germany -13.36 Greece -97.43 […]
September 22, 2016

Two Great Interviews

Read both of these, they’re great….Bernstein (Bill) and Tetlock. Quote then download: —- CR: Is it also why you emphasize saving, which is to avoid the worst-case scenario of running out of money? WB: Exactly. The other way of looking at Pascal’s […]
July 25, 2016

Dynamic Risk Parity

You may know them as the Butler & Philbrick crew, but their company name is ReSolve.  They launched a new ETF in Canada, and put out a really nice white paper with it.  I included another paper from SSRN too […]
June 24, 2016

The Price is Right

Part II in Research Affiliates series on smart beta and valuations.  And Cliff’s response. Chart then download: —- —- Download “To Win With “Smart Beta” Ask If the Price Is Right” “My Factor Philippic” Website http://www.researchaffiliates.com/ https://www.aqr.com/ Get a Free Subscription! […]
May 12, 2016

Yield vs Duration

Short but sweet article here on the yield vs duration of bonds in 2000 vs now.  The search for yield continues….(and you know my opinion here.) Chart then download: —- —- Article Link Negative Interest Rates Website Home Get a Free […]
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 […]
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 […]
July 14, 2015


Below is the first piece of research I am sending that rewards readers for passing on good research ($100). This piece talks about diversification across CTAs (and stocks) from Kaminski (who happens to have a new book out on trendfollowing and […]
April 21, 2015


I sat in on a session with Paul Desmond and Tracy Knudsen at a conference recently and asked them if I could share some of their work.  Below you will find two pieces worthy of a read. Table then download: […]
April 17, 2015

Carry and Trend

Carry and trend piece from PIMCO.  Chart then download: —- —- Download PDF Carry and Trend Website www.pimco.com/