Asness' methods are not so obvious, from what I know.
He is using the average re-sale home prices. OFHEO is also using the same method but applies it to a much smaller data sample (comforming loans).
Housing has been part of the income (think of a ATM machine) until recently, so the out of balance is not too strange.
I would guess the coupon payout is not re-invested.
Thanks. Excellent explanation.
There is a piece in WSJ that DOJ is becoming softer.
what about the max draw down?
there are two kind of stops. (1) stop loss (2) time stop. Personally I found time stop more useful.
two peak market: exit after the second peak. positive autocorrelation: in a down trending market, exit whenever the market is lower, as its...
Vow. Yearly return of more than 200% with Sharpe ratio of 5. Is this for single-strategy or a portfolio of strategies?
The real estate market researchers in my company have become very bearish recently. Until early this year, they were still bullish. According...
I am wondering too.
no, I mean the book "the little book that beats the market". Actually the back-testing of his magic formula on a different data set (bloomberg...
But he probably used his magic formula as part of the screening process.
Please explain more.
I am always wondering if the compensation of "Chai Qian" depends on location, i.e . different city may have different policy. I have a friend who...
I was in China last year and I think people do get compensated if their houses are taken for development. The compensation works this way. Say...
Thanks. Anyway, this guy has a proven record and should be taken seriously.
Interesting. I guess he was (as always) a bit too earlier.
I remember someone said that opinion is like asshole, everyone get one.
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