Justin Sibears

Using replication to understand performance of equity long/short. blog.thinknewfound.com/2018/…

Our first strategy brief, a carry/trend/hedge approach to timing duration. Carry and trend would be short today while hedge is long. blog.thinknewfound.com/2018/…

Strategic diversification with bonds alone is akin to an uncertain insurance policy whose price and ultimate payoff in the event of a market crash is highly dependent on the level and path of interest rates. blog.thinknewfound.com/2018/…

Risk tolerance vs. Risk Capacity vs. Risk Need blog.thinknewfound.com/2018/…

First time since $AGG launch in 2003 that it's down three quarters in a row.

Using a simple blend of two signals: value (buy for the long-term when spreads 1 std above mean) and momentum (buy for short-term when spreads 1 std below mean), works pretty well on SPY - 3.2% return with 5.8% vol.

Cash isn't riskless. #failingslow

A primer on trend-following with equities. blog.thinknewfound.com/2018/…

How do the largest U.S. momentum ETFs go about measuring momentum? $MTUM, $PDP, $ONEO, $FDMO, $QMOM

"Adding uncertainty to a certain past creates more certainty about an uncertain future."

So good.

Roughly 1/3 of iShares ETF revenue comes from 10 names: $EFA, $EEM, $IWM, $IWF, $HYG, $EWJ, $PFF, $IWD, $DVY, $IEMG. 50% of revenue comes from 21 names. $EEM and $EFA alone make up almost 14%.

James Grant: To suppose that the value of a stock is determined purely by a corporation’s earnings is to forget that people have burned witches, gone to war on a whim, risen to the defense of Joseph Stalin, and believed Orson Welles when he told them that the Martians had landed.

Really enjoying David Dreman's "Contrarian Investment Strategies." Interesting discussion of behavioral biases leading to negatively correlated risk/return expectations.

I could be wrong, but seems to me it might be helpful if these types of numbers were put in context of overall balance sheet valuations. 2x more loans may not be so worrying if equity value of those companies is 10x (just an example, not fact)