Friday, December 19, 2014

The efficient frontier works ... in the long run.

Wonderful post by Cliff Asness that shows in the short run the basic tenets of risk and return seem to get all jumbled up (bonds earning more than stocks, etc), but in the long run it all works out.

That's the point.   In the long run it all works out.   Trashing finance theories because they didn't work this week is stupid.  As is basing asset allocation decisions on short term performance and market conditions.  

Here's the conclusion it all of its finance theory supporting beauty.


Wednesday, December 17, 2014

ESOP at a grocery store

Apparently the employees of the Winco grocery chain are doing very well in the retirement department, thanks to an ESOP (employee share ownership plan).  

This Forbes article gushes about awesome this all is, but makes no mention of the elephant in the room.   I'll give you a hint:  Nobody at Enron ever thought that their retirement plans would become worthless overnight!!  

So while the ESOP makes a lot of sense in some ways, in other ways, the employees are horribly un-diversified.  They are one very bad salmonella outbreak away from loosing their jobs and their savings.

Wednesday, December 3, 2014

AQR puts data library online

AQR - the investment firm, has published the data sets used in its research papers.   A great resource for those interested in testing out momentum and other strategies!

https://www.aqr.com/cliffs-perspective/introducing-the-aqr-data-library