Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: For Passive Funds, a Stronger Link Between Fees and Performance (Morningstar) A Revelation For Small-Cap Investing Strategies (The Capital [...]
Manliness implies Misreporting?
Masculinity, Testosterone, and Financial Misreporting Jia, Van Lent and Zeng A version of the paper can be found here. Want a summary of academic papers with [...]
Where are the Cheap Firms?
Energy (mostly oil-related) and consumer discretionary (brick & mortar retailers). Cheap--or at least relatively cheap--based on enterprise multiples.
Predict Stock Returns Using the TREND of Profitability
The Trend in Firm Profitability and the Cross Section of Stock Returns Akbas, Jiang and Koch A version of the paper can be found here. Want [...]
Does “Sharpe Parity” work better than “Risk Parity?”
Strategies employing risk parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies are [...]
Insights on ETMFs and ETFs from an ETF Service Provider
Our firm mission is to empower investors through education. One area of the marketplace where education is lacking is in the ETF, or exchange-traded-fund arena. [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: And the Winner Is.... (Dual Momentum) Do Any Sector ETFs Reliably Lead or Lag the Market? (CXO Advisory) [...]
Weekend Geekout: The History of Low Volatility Investing
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since [...]
Humble Pie Prevents 99.8% Drawdowns
It’s not every day you hear news of a 99.8% drawdown, but it looks like today is one of those days. Owen Li of Canarsie [...]
Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers [...]
Have Hedge Funds Been a Disappointment? Cliff Asness Weighs In
Fortune published a great interview with Cliff Asness a few months ago, in which he breaks down hedge funds, recent performance, and why the critics [...]
Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations!
Stock Duration, Analysts Recommendations, and Misvaluation Cremers, Pareek and Sautner A version of the paper can be found here. A blog on an older version of [...]
A Real Life Quant Finance Geek Blog Romance
The blogosphere is great for meeting new people with similar interests. Unfortunately, we rarely get to shake hands and meet people in person--we only connect [...]
Quantitative Value @ $19.99 is Back On!!!
Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 [...]
The Amazing Unbeatable Poker Algorithm
Everyone remembers when Deep Blue first defeated Gary Kasparov, but recently computers have begun quietly edging past humans in another human game: poker. The journal [...]
Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
“And…it’s GONE”: Tuesday Fun w/ SouthPark
South Park highlighting the importance of saving money!
Global Economic Perspectives from a Pragmatic Capitalist
Cullen Roche, who runs the finance and economics blog, Pragmatic Capitalism, is the ultimate "top-down" investor, and recommends that investors think globally, rather than locally when [...]
The One Factor To Save Them All–Leverage
Financial Intermediaries and the Cross-Section of Asset Returns Adrian, Etula and Muir A version of the paper can be found here. Want a summary of academic [...]
Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]