WorldBeta

Tracking Mean Reversion After Bad Months

worldbeta.blogspot.com...

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.

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.

An Endowment Portfolio From Publicly-Traded Vehicles

If you have a broker that trades foreign like IB or ETrade.

www.londonstockexchang...

An Endowment Portfolio From Publicly-Traded Vehicles

Here it is since 1983, but only with the 5 asset classes mentioned:

worldbeta.blogspot.com...

An Endowment Portfolio From Publicly-Traded Vehicles

Check out my post here:

worldbeta.blogspot.com...

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. . .

Lazy ETF Portfolios Inspired By The Gurus

Here:

papers.ssrn.com/sol3/p...