Monthly Archives: August 2020

Effects of Portfolio Construction on the Performance of Style Factor ETFs

This article discusses the research surrounding style factor ETFs, specifically the effects of portfolio construction on their performance. The Effects of Portfolio Construction on the [...]

How to Measure and Understand Portfolio Tail Risk Events

Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance [...]

Does Gold do What it is Supposed to do?

Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want [...]

How A Great Team, and 2 Quant Geeks with no Clue, Survived The Leadville 100 Trail Run.

Editor's Note: this post has nothing to do with finance. Skipping this post costs you nothing. We encourage you to not read this post if [...]

Even Great Investments Experience Massive Drawdowns

Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through [...]

Value Investing: An Examination of the 1,000 Largest Firms

Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relatively cheaper on price/fundamental ratios. Is Value investing dead? The [...]

Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns

When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper [...]

An Introduction to Digital Signal Processing for Trend Following

Original: August, 2020 Updated: September, 2023 Overview Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical [...]

What is Sequence Risk and Can Trend Following Help Reduce It?

Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of [...]

Cross-Asset Signals and Time-Series Momentum

In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse [...]

DIY Asset Allocation Weights: August 2020

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]

CEOs Formative Years and the Gender Gap

The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A [...]