Geoff, What is the lowest holding weighting one should have in a portfolio? I notice for example that in Buffet's Top 20 that some are .4%, .6% etc. with...
... Search the group's message board. I believe I posted a link to a white paper detailing the breakdown of commodity returns by style during different stages...
mentesseg@...
Feb 1, 2008 5:01 pm
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Hi All. I'm new to Quantext, having been using it for a few weeks now. I just noticed that Average Annual Return column has values that seem way out of line...
This may help. For startes enter the closing stock price for CAG on 1/5/07 on page one of QPP the into as the "Current Portfolio Value." Eliminate all other...
Note: forwarded message attached. ... From: Amy Sent: Tuesday, October 02, 2007 7:18 PM I HATE BOYS VS. I HATE GIRLS (Hilarious) BOYS A heart is not a playing...
Note: forwarded message attached. ... From: Amy Sent: Tuesday, October 02, 2007 7:18 PM True friends always pop up to say Hello..... True friends don't care if...
In recent years, a passive investment in commodities provided high, equity-like average returns, negative return correlations with traditional asset classes,...
mentesseg@...
Feb 2, 2008 8:33 am
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Conclusion Long-only strategies that dominate the commodity index market do not best serve investors as investment vehicles or as benchmarks. Since futures...
mentesseg@...
Feb 2, 2008 9:29 am
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Abstract: This paper investigates potential sources of return to speculators in the commodity futures market. Initially, we focus on the classic arbitrage...
mentesseg@...
Feb 2, 2008 9:48 am
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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=981436 Conclusions Using a unique and comprehensive data set, we analyze the asset allocation practices and...
mentesseg@...
Feb 2, 2008 10:28 am
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Thanks very much for this reference. It looks like it will help answer some the the uncertainty I've had about commodity ETFs and ETNs. ... will ... asset ......
There is a generally accepted notion that the accuracy of portfolio price projections is more reliable, on average, if you have more history to draw on. For...
The financial section of MSN.COM has a very useful stock ranking tool named Stockscouter. Using a variety of sophisticated technical and fundamental...
James, You will want to review Geoff's white paper on MontpelierRe on this strategy at http://www.quantext.com/MontpelierRe.pdf . Ken ... on ... Value." ... in...
Interesting research. I've been using this service myself and trading with a tiny portfolio to see how they work. My criteria combines IBD type criteria with...
Thanks for posting this article. I went to Morningstar to find more about their long/short index and found this interesting performance chart that seems to...
Two things. You are comparing apples and oranges. The article reports geometric returns (CAGR) from 1/91 to 12/07, whereas the table reports average annual...
Once a substitute for traditional mutual funds, ETFs now span a wider range of asset classes and provide investors with the flexibility to manage portfolios at...
Using a proprietary stock selection of my own invention, I have found a way to easily build portfolios that seem to far exceed the 1 to 1 typical long-term...
Thanks for the explanation. I'm not sure I would have picked up on the difference between CAGR and Average Annual Returns on my own! Your comment about...
"Based on this test it sure looks like the extreme ends of the stock performance spectrum are ruled by highly volatile stocks with high betas and low...
Let me guess...high volatility...low correlation???..so volatility cancels out across the issues... Question..have you tried using a smaller portfolio...maybe...
I think choosing only five stocks selected randomly would greatly lessen the ability of diversification to smooth out the volatility bumps. My confidence in...
As an experiment, I wanted to see how much portfolio power there is in aiming simply and purely for a zero-beta portfolio, paying no attention whatever to...
Hmmm... This is very interesting. Thanks for sharing this. I do have a question. Is doing something like this any different from optimizing allocations using...
Hello.. Where is the the Beta function in MSN Stockscouter. I could not find it. Thanks. ... from ... exclude ... $5 ... capital ... that ... using ... build ...
