We've covered momentum investing extensively over the years, to include 94 posts, a book on the subject, and numerous discussions on various podcast outlets. There are a few things one notices after thinking about a [...]
Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting [...]
The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting [...]
The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]
What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
You can watch the video via the link below: Video Summary Ryan Kirlin walks through his experience growing up in smart beta. He was there in the beginning and has seen it to the [...]
What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original definition (from a great piece attempting to bring sanity to [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]
Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance [...]
U.S. Companies bought back $217 Billion of their $1.3bn in overseas cash in the first quarter helping fuel a record $189 billion in stock buybacks. More are expected throughout the year. Even Warren Buffett is [...]
Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management A version of this paper can be found here Want to [...]
You can listen to the podcast via the link below: Here is a link to our podcast on the Stansberry Investor Hour. Show Summary It’s the 10-year anniversary of this extraordinary bull market, officially – [...]
We are 5 weeks away and the March for the Fallen living memorial is about to begin. Here are the links to prior updates if you'd like to review: Minimalist Training Program Training Rules Workout Plans Footwear and [...]
Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a problem: compound $1,000,000. The goal: compound your extraterrestrial face off. [...]
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic [...]
Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for (1) revenue that has been earned but not received and [...]
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a [...]
King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version of this paper can be found here Want to read our [...]
The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets — it is a cousin to the value factor, which is the tendency for relatively cheap assets to outperform [...]
