WorldBeta

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    • Thu Oct 9th 14:57 PM
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      Rating: 0 0
      Commented on:
      100% Cash and Out of Sample Returns
      Read the link to the paper from the Journal of Wealth Management before you make an uninformed post.

      papers.ssrn.com/sol3/p...
      View article »
    • Thu Aug 21st 15:13 PM
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      Rating: 0 0
      Commented on:
      15 Value Hedge Funds - Portfolio Update
      valueinvestor123 & Jake2 - please visit my blog and read a few posts before making such statements.

      Fox - I simply picked 10 funds that have historically been considered value investors - and I define that as buying something for less than it is worth.

      User 164258 - you are correct and the glitch is fixed on my blog. . .
      View article »
    • Wed Jul 2nd 15:06 PM
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      Rating: 0 0
      Commented on:
      Tracking Mean Reversion After Bad Months
      worldbeta.blogspot.com...
      View article »
    • Wed Jul 2nd 14:21 PM
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      Rating: 0 0
      Commented on:
      Tracking Mean Reversion After Bad Months
      Thanks Smart ETF - your comments are some of the few that are worthwhile and intelligent.

      I agree with you for the most part, and I examined a similar vol clustering in an old post on World Beta. Shoot me an email when you get the chance.
      View article »
    • Sun Jun 22nd 19:52 PM
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      Rating: 0 0
      Commented on:
      Top 10 Payout Yield Stocks
      The problem with Seeking Alpha pulling content from a blog is that is is often taken out of context from what long time readers are aware of. To alleviate all of the confusion regarding my post, here is some history.

      Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".

      Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.

      The authors of the above paper examined the payout yield and net payout yield, whose formula is:

      Payout Yield = $ spent on dividends + $ spent on share repurchases
      (Net payout is simply subtracting the $ raised through new share issues to the above formula)

      The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.

      About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.

      My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens.
      View article »
    • Fri Feb 29th 10:54 AM
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      Rating: 0 0
      Commented on:
      Warren Buffett - Portfolio Holdings
      Seeking Alpha chopped up my post - you can view the full post on my blog which is more fluent.
      View article »
    • Thu Feb 28th 13:55 PM
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      Rating: 0 0
      Commented on:
      Leading Hedge Funds' Best Ideas for 2008
      Astute observation PAD. It sure seems like the value hedge funds are finding more "value" in growth stocks right now. . .I examined that property last May here:

      tinyurl.com/37wufg
      View article »
    • Sun Feb 24th 22:48 PM
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      Rating: 0 0
      Commented on:
      Following Asset Class Returns
      The original post on my blog is more descriptive. SA picks and chooses what to post, which is a bit annoying.

      It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.
      View article »
    • Sat Oct 27th 19:36 PM
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      Rating: 0 0
      Commented on:
      Warren Buffett's Stake in Rockies' Victory; Hedging The Series
      Now the bet is half of that at +700. :)
      View article »
    • Mon Oct 1st 10:49 AM
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      Rating: 0 0
      Commented on:
      Replicate The Yale Endowment With These ETFs
      Thanks for all the comments. SA only posts some of my articles here, but there has been enough interest that I will post a monthly update on my blog World Beta (there is one today). For more info on the specifics of the timing model, please reference my paper "A Quantitative Approach to Tactical Asset Allocation."

      I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.
      View article »
    • Fri Jun 1st 18:26 PM
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      Rating: 0 0
      Commented on:
      An Endowment Portfolio From Publicly-Traded Vehicles
      If you have a broker that trades foreign like IB or ETrade.

      www.londonstockexchang...
      View article »
    • Tue May 29th 14:44 PM
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      Rating: 0 0
      Commented on:
      An Endowment Portfolio From Publicly-Traded Vehicles
      Here it is since 1983, but only with the 5 asset classes mentioned:

      worldbeta.blogspot.com...
      View article »
    • Tue May 29th 14:43 PM
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      Rating: 0 0
      Commented on:
      An Endowment Portfolio From Publicly-Traded Vehicles
      Check out my post here:

      worldbeta.blogspot.com...
      View article »
    • Thu Feb 22nd 12:21 PM
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      Rating: 0 0
      Commented on:
      Lazy ETF Portfolios Inspired By The Gurus
      Sorry, I am aware of the exact allocation, but to compare apples to apples (some of the time series dont go back to 1972), I had to lump some together. . .
      View article »
    • Thu Feb 22nd 12:20 PM
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      Rating: 0 0
      Commented on:
      Lazy ETF Portfolios Inspired By The Gurus
      Here:

      papers.ssrn.com/sol3/p...
      View article »