Quantitative Value Book released
Today is the first day our book is available via all outlets where books are sold. Toby, a co-author, has a great post on the [...]
Merry Christmas with Mean-Variance-Analysis
We are going to try and post a video once every month. The intent is to democratize quant and train our audience to harness basic [...]
Good Timing, Meb
I spent a few hours writing up a post mapping out the likelihood of 2-3% real returns over the next 15 years... Then Meb posts [...]
Projected 15-year S&P 500 Returns
Prediction stock market returns--a fascinating concept. A true magical talent. Of course, we've put some of our brainpower (a limited resource!) on the subject [...]
News and Google Hits: A Path to 20% Alpha?
Media and Google: The Impact of Information Supply and Demand on Stock Returns by Yanbo Wang Yanbo identifies information into two buckets: News releases (supply) and [...]
CEO Voice Pitch–Deeper Voice; deeper pockets
Just when you thought academics were not wasting their time doing incredibly useless research, along comes this intriguing research: Voice Pitch Predicts Labor Market Success [...]
Low Beta/Vol Outperformance
There are many blogs/funds/research promoting low beta stocks as a way to get rich: A blog example --Falken A fund example --AQR Defensive Fund A [...]
January 8-9 Investor Conference: Systematic Value Investing Discussion
Readers, The manual of ideas has a great concept cooking--web-based investor conferences. The same value as the expensive conferences at a fraction of the costs. [...]
Tactical Asset Allocation Series: Part 3 (Equal-Weight with Moving Averages)
This is the third part in our series on tactical asset allocation. In the series we highlight the equal-weight with moving average tactical asset allocation [...]
Predicted 10-Year returns from the Shiller P/E
A quick update on the Shiller P/E predictions--been a slew of articles/research on this recently: CXO Advisory Summary http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172164 We've written fairly extensively on the [...]
Make 24bps a week trading skewness?
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Tactical Asset Allocation Series: Part 2 (Equal-Weight)
This is the second part in our series on tactical asset allocation. Our initial pieces outlined the basics of tactical asset allocation and offered some [...]
Dividing Value into “Priced” and “Mispriced”
Gerakos and Linnainmaa have a new paper out: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2083166 and http://www.asb.unsw.edu.au/schools/bankingandfinance/Documents/J.Gerakos,%20J.T.%20Linnainmaa%20-%20The%20Unpriced%20Side%20of%20Value.pdf Here is code to perform the decomposition: http://faculty.chicagobooth.edu/juhani.linnainmaa/ValueDecomposition.do Summary Book-to-market (BE/ME) ratios explain variation [...]
Tactical Asset Allocation Series: Part 1 (Introduction)
Anyone who has spent time pondering how to invest is undoubtedly familiar with the concept of diversification, which is a fundamental concept underlying modern portfolio [...]
Do Fund Managers Manipulate Prices? Say it ain’t so!
Bob Pisani was on CNBC this morning chatting about whether or not the NYSE will open tomorrow. One of the biggest concerns on Wall Street [...]
What happens when you think about finance too much
My uncle, who happens to a professional fisherman down in Mexico, just sent me a link to an article on sportfishing. http://www.bdoutdoors.com/article/fishing-cabo-san-lucas-mexico/ The article actually has [...]
Tactical Asset Allocation for Dummies
I was having lunch the other day with the Turnkey PhD and another business school professor, when the conversation turned to Tactical Asset Allocation (TAA). [...]
Natural Gas and Oil Spread: Opportunity or a Pain Trade?
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes [...]
Share Repurchases and Market Efficiency–Dang!
The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings Fangjian Fu, Sheng Huang, and Hu Lin A version of the paper [...]
Applied Quantitative Value (Part 4 of 4)
I sat down with Wes Gray--who also contributes frequently on this blog under the title Wesley Gray, Ph.D.--and Toby Carlisle--who runs the great blog over [...]