Research Affiliates (RAFI) suggests that you can dominate simple low volatility portfolios by blending them with some fundamental metrics.  Specifically, value, cash-flow, dividends, and sales, combined into a 'fundamental value' metric, generates a 200 basis point return premium that can carry over into the low beta portfolio, all while generating 25% lower volatility. These are reasonable expectations.I'm skeptical that dividends and sales add to the Sharpe ratio of this approach, but hey, at least it's four factors, not 40.  One of the bigger opportunities here is that...

Jon Vol sent me a little email saying he has a blog post on Taleb, and that it got picked up by a Taleb fansite, where at the bottom it is classified as "Filed Haters || Tagged Falkenstein." I'm not just a Hater, but rather, a type that can be applied to others! I wonder what our distinguishing characteristic is in their eyes?************************************************** “Pride gets no pleasure out of having something, only out of having more of it than the next man.” C S Lewis, Mere Christianity **************************************** Now that wrestling is trying to get...

If any of you are puzzled by the low inflation rate, consider that in 2005, the Fed convinced themselves that house prices weren't in a bubble because a hedonically adjusted housing price index showed little movement. Sort of like our consumer price indices.  From a Federal Reserve meeting that focused on home price appreciation circa 2005:For example, over the four years from 2000 to 2004, the OFHEO index increased at a compound annual rate of 8.2 percent, while the constant-quality index increased at a 5.4 percent annual rate. As shown in exhibit 4, the current ratio of price over...