Indian Rupee in Freefall!
As the Indian Rupee hit a fresh all-time low today against the US dollar, we wondered about the factors that could have caused this recent [...]
Bond ETF Trading Profits?
Predictability in Bond ETF Returns Jon A. Fulkerson, Susan D. Jordan, and Timothy B. Riley A version of the paper can be found here. Want a [...]
Does Jeremy Siegel Trust the Shiller P/E?
In early August, Wharton finance professor Jeremy Siegel went on CNBC’s “Futures Now” and announced, "my target [for the DOW] is 16,000 to 17,000 for [...]
Should we all hire dart-throwing monkeys or investment managers peddling tactical asset allocation models?
Looks like dart-throwing monkeys are a viable alternative... Boot out the 2008 Financial Crisis (a sample of n=1) and you have pretty "blah" returns... Are [...]
Thoughts on Low Vol Investing
A Survey of Low Volatility Strategies Tzee-man Chow, Jason C. Hsu, Li-Ian Kuo, and Feifei Li A version of the paper can be found here. Want [...]
Distress and Issuance equals Portfolio Pain
Equity Issuance and Returns to Distressed Firms James L Park A version of the paper can be found here. Want a summary of academic papers with [...]
The Best Hedge Fund You’ve Never Heard of
The graphic below highlights the performance of the biggest names in the hedge fund business. Their historical survivor-bias-filled track record is amazing. Source: Alpha [...]
Clayton Cohn is a Con.
I can't believe a Marine would do this (or is accused of doing this). He claims to be a grunt and to be an honor [...]
Models vs. Experts #10: Lung Function tests
Comparison of reports on lung function tests made by chest physicians with those made by a simple computer program Geddes, D. M., Green, M., & [...]
Stock/Bond Equity Doesn’t Signal much…
Do-It-Yourself tactical macro modules for August are posted. Create a free account here if you want to access the site directly. Macro Chart of the Month: Equity/bond risk [...]
Quantitative Value Cracks the Amazon Top 10 Investing Books.
Looking good. Thanks for all the support from all our readers out there. We get comments and questions everyday--keep them coming. Purchase here Thanks to http://www.stansberryresearch.com/dailywealth/2467/guide-for-selling-stocks-from-the-father-of-value-investing for [...]
Happy days for Momentum; Sad days for Risk Parity
Do-It-Yourself tactical asset allocation weights for August are posted. Create a free account here if you want to access the site directly. Exposure Highlights: No Commodities; no bonds; [...]
Trading on Insider Scoop Works–Who Would have Guessed?
The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors? Switzer and Keushgerian A [...]
Value Versus Growth Flashback: Microsoft and Wal-Mart were High-Flying Growth Stocks?
Jack and I were reading a classic academic paper on value investing the other day: Contrarian Investment Extrapolation and Risk. In this paper Lakonishok, Schleifer [...]
Sadness Screws up Financial Decisions–Be Happy!
The Financial Costs of Sadness Lerner JS, Li Y, Weber EU A version of the paper can be found here. Want a summary of academic papers [...]
Family Office Trends Event: Sept. 12th NYC
TKA readers: I'd love to link up and shake hands if you are in NYC at the beginning of September. I am speaking at the [...]
October 1987 crash in the coming months?
The chart looks scary... Green : 11/01/2012 to 7/29/2013 (despite the fact the chart says 8/29/2013--technical detail to get the chart to match up on [...]
Quant Robots Draw Blood and the “Human Touch” Bias
It is hard enough to let a computer take control of your investment decisions. I think there is an innate comfort to human interaction. Let's [...]
SAC Capital Advisors: What You See is All There Is
The Justice Department filed criminal charges yesterday against SAC Capital Advisors, accusing the multi-billion dollar hedge fund of securities and wire fraud. What's interesting is [...]
Apple moves Higher–Quant Value Pleasure!
On July 19th we highlighted the quant value pain associated with Microsoft. Today we have some good news from a quantitative value type stock--Apple! A low [...]