DIY Trend-Following Allocations: June 2023
Partial exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Can ChatGPT Help You Read Financial Statements? Yes.
Can chatbots, like ChatGPT, be used to interpret and condense lengthy financial disclosures into shorter but relevant documents?
Intangible-Adjusted Profitability Factor
Not accounting for intangibles affects not just value metrics but other measures (such as profitability) that often scale by book value or total assets, both of which are affected by intangibles—and investors recognize at least some of their value.
2023 Democratize Quant Conference Recap and Materials
We recently hosted our 6th Annual Democratize Quant Conference. This post is a recap of what we heard and some resources we can make available to the public.
Submergence: A Tool to Assess Drawdowns and Recoveries
According to research by the authors, stocks and bonds have been submerged for about 75% of the time since 1980; and treasuries have been submerged 80% of the time. Submergences are therefore both commonplace and significant, which means that handling them is very important for investors and their investing strategies.
Gold as a Safe-Haven Asset
I’ve received calls from clients inquiring about moving assets to gold. When I asked them why, three reasons dominated.
Reducing the Impact of Momentum Crashes
Momentum crashes are a blight on the performance of momentum strategies. Although there has been a fair amount of research on the topic, few practical solutions have emerged to mitigate the impact on portfolios. In this study, the authors document the outperformance of stocks, in terms of momentum, far away from their peak position relative to stocks very near their peaks. Turns out the outperformance is very large. It also accounts for the majority of negative momentum performance.
Pursuing Factor Premiums at the Industry and Country Level
This article examines the research conducted by Dimensional to determine the efficacy of an industry or country approach to factor investing.
Box Spreads: An Alternative to Treasury Bills?
Box spreads represent an opportunity to borrow and lend via the options market, at similar (and often better) rates than those that are available in the treasury bill market.
Global Factor Performance: May 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads