Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, [...]
Title: GENDER AND CONNECTIONS AMONG WALL STREET ANALYSTS Authors: LILY FANG AND STERLING HUANG Publication: THE REVIEW OF FINANCIAL STUDIES, V.30, SEPTEMBER 2017 (version here) What are the research questions? By studying a sample of Wall Street analysts [...]
This weekend around 70 of us from the finance community (many from "finance twitter") will be meeting at the National Guard Training Center in the middle of nowhere in Pennsylvania. A picture from the [...]
The passive investing revolution is truly upon us. Ever since 1975, when Jack Bogle introduced the first index mutual fund, passive indexing has marched on relentlessly. Jack Bogle is everywhere. He was on TV this [...]
As we have mentioned before, here, here and here, there is overwhelming evidence that the number of stock anomalies in the universe is much lower than originally thought. Most of the previous research papers attempt to [...]
Prof. Richard Price, an old friend, co-author, and Alpha Architect advisory board member, is working on some cool new co-authored research that requires audience participation! Dr. Price, alongside Professors Dipankar Ghosh, and Atul Rai, are [...]
Title: WHAT DIFFERENCE DO DIVIDENDS MAKE? Authors: C. Mitchell Conover, CFA, CIPM, Gerald R. Jensen, CFA and Marc W. Simpson, CFA Publication: Financial Analysts Journal, Volume 72, Number 6, 2016 (version here) What are the [...]
In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. [...]
Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use ETFs as trading vehicles. Either way, ETF assets continue to [...]
Our firm is growing rapidly and we're looking to hire new teammates (one initially, possibly another down the road). If you are passionate about investor education and helping us deliver affordable alpha, please reach out! [...]
Title: RETAIL FINANCIAL ADVICE: DOES ONE SIZE FITS ALL? Authors: FOERSTER S., LINNAINMAA J.T., MELZER B.T., PREVITERO A. Publication: JOURNAL OF FINANCE, V.72, AUGUST 2017 (version here ) What are the research questions? By studying a unique data set [...]
Readers: A few of us on the team will be on the road this week. Ryan Kirlin, Yang Xu, and I will all be attending the Morningstar ETF Conference in Chicago Wed - Friday. I'll be [...]
The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a [...]
Team: This post is part six in the training series for those participants in this year's March for the Fallen event. We are about 2 weeks out from the event and Dave Babulak is helping educate March for [...]
In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns to buying winners and selling losers in the U.S. equity [...]
Title: OVERREACTION AND THE CROSS-SECTION OF RETURNS: INTERNATIONAL EVIDENCE Authors: Douglas W. Blackburn, Nusret Cakici Publication: Journal of Empirical Finance 42 (2017) 1-14 https://ssrn.com/abstract=2800188 What are the research questions? Is there a consistent and reliable [...]
The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. Specifically, any trading rule considered in Part 3 has at [...]
Team: This post is part five in the training series for those participants in this year's March for the Fallen event. Dave Babulak, Dave Taggart, and I hit a 16.5miler in the Tetons this week -- [...]
A common question asked in the factor investing field is the following -- "how much of the model's performance is driven by sector allocations, and how much is driven by security selection?" Our answer is to simply buy Value stocks or Momentum stocks, regardless of sector constraints. Why? Well a nice anecdote (but not data) is that investing in "cheap" technology stocks was not a great idea in the internet bubble crash.
Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? By studying the trading data (provided by a German brokerage [...]
