Loading...

Academic Research Insight: Abusing ETFs

By | 2017-08-21T11:08:06+00:00 August 21st, 2017|Basilico, Academic Research Insight|

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 [...]

MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: UNIFORM/GEAR

By | 2017-08-19T11:31:51+00:00 August 19th, 2017|MFTF Training Series, Business Updates|

Team: This post is part four in the training series for those participants in this year's March for the Fallen event. We are about 4 weeks out from the event and Dave Babulak is helping educate March for [...]

Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)

By | 2017-08-19T13:33:08+00:00 August 18th, 2017|Trend-Following Course, Investor Education, Introduction Course|

We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a risky asset is an investable stock market index. [...]

Academic Research Insight: Can Bond Portfolios Be “Factorized”?

By | 2017-08-18T17:11:05+00:00 August 14th, 2017|Factor Investing, Basilico, Research Insights|

Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts Journal, Vol. 3 No. 2, 2017 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322) What are the research questions? Can the concepts contained in equity [...]

MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: FOOTWEAR & FOOT CARE

By | 2017-08-18T17:01:08+00:00 August 13th, 2017|MFTF Training Series|

Team: This post is part three in the training series for those participants in this year's March for the Fallen event. We are about 5 weeks out from the event and Dave Babulak is helping educate March for [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By | 2017-08-18T16:54:23+00:00 August 13th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]

TREND-FOLLOWING WITH VALERIY ZAKAMULIN: TECHNICAL TRADING RULES (PART 3)

By | 2017-08-18T16:54:21+00:00 August 11th, 2017|Trend-Following Course, Introduction Course|

A trend following strategy is based on switching between a financial asset and cash depending on whether the asset prices trend upward or downward. Specifically, when the strategy identifies that prices trend upward (downward), it [...]

Diversification Benefits of Time Series Momentum

By | 2017-08-18T17:06:44+00:00 August 10th, 2017|Trend Following, Larry Swedroe, Research Insights|

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Volatility Premium, Covered Call Selling, and Knowing What You Own

By | 2017-08-18T16:52:54+00:00 August 8th, 2017|Research Insights, Guest Posts|

The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value and Momentum Everywhere A Century of Evidence on Trend Following [...]

Academic Research Insight: Diagonal Models versus 1/N Diversification

By | 2017-08-18T17:11:04+00:00 August 7th, 2017|Academic Research Insight|

Title: MITIGATING ESTIMATION RISK IN ASSET ALLOCATION: DIAGONAL MODELS VERSUS 1/N DIVERSIFICATION Authors:       CHRIS STIVERS, LICHENG SUN Publication: THE FINANCIAL REVIEW,  2016 (version here) What are the research questions? In spite of several efforts by researchers [...]

March for the Fallen Weekly Training Series: Workout Plan

By | 2017-08-18T17:01:06+00:00 August 4th, 2017|MFTF Training Series|

Team: This post is part two in the training series for those participants in this year's March for the Fallen event. You are reading this for the following reasons: You're probably insane. You are already signed up [...]

Avoiding Traumatic ESOP 1042 Election Distress

By | 2017-08-18T17:09:49+00:00 August 1st, 2017|1042 QRP Solutions|

Medical scientists have identified a disorder, known as Traumatic 1042 Election Distress, that can afflict business owners who pursue Section 1042 sales of their company stock to an ESOP. The researchers recently concluded their clinical study, based on observations of hundreds patients over the past 30 years. Their newly published findings identify common stress patterns observed among business owner patients. The disorder is curable if diagnosed early.

Academic Research Insight: Digging into ETF Trading Spreads

By | 2017-08-18T17:11:03+00:00 July 31st, 2017|Basilico, Academic Research Insight|

Title: INEFFICIENCIES IN THE PRICING OF EXCHANGE TRADED FUNDS Authors:        ANTTI PETAJISTO Publication: FINANCIAL ANALYST JOURNAL, I Q 2017  (version here) What are the research questions? The article provides new empirical evidence on the state of market efficiencies in [...]

March for the Fallen Weekly Training Series: Training Rules

By | 2017-08-18T17:01:07+00:00 July 28th, 2017|MFTF Training Series|

This post is part one in the training series for those participants in this year's March for the Fallen event. You are on reading this for the following reasons: You're probably insane. You are already signed [...]

My “Repackaging” Pet Peeve: Do Other Advisors See This As Well?

By | 2017-08-18T16:59:59+00:00 July 27th, 2017|Guest Posts|

Like many advisors, I often find myself reviewing accounts and historical performance for clients and prospects with investments at other firms. Of course I see all the usual suspects like annuities, mutual funds with loads, [...]

Trick Question: How is the Momentum Factor Performing YTD?

By | 2017-08-18T16:54:19+00:00 July 24th, 2017|Research Insights, Momentum Investing Research|

If you ask your typical long-only investor (or financial advisor) how momentum is doing this year they'll likely say, "Amazing!" This statement will almost surely be based on the fact they own (or know about) the [...]

Academic Research Insight: When Does International Investing Make Sense?

By | 2017-08-18T17:10:57+00:00 July 24th, 2017|Basilico, Academic Research Insight|

Title: MONONATIONALS: THE DIVERSIFICATION BENEFITS OF INVESTING IN COMPANIES WITH NO FOREIGN SALES Authors:        CORMAC MULLEN AND JENNY BERRILL Publication: FINANCIAL ANALYST JOURNAL, II Q 2017  (version here) What are the research questions? Market globalization is said to be [...]

Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)

By | 2017-08-18T16:54:20+00:00 July 21st, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages.

Elisabetta and Tommi Are Helping us Empower Investors Through Education

By | 2017-08-18T17:05:28+00:00 July 20th, 2017|Basilico, Guest Posts, Business Updates|

Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But we can't fulfill our mission alone. We need help and our two newest teammates, Elisabetta [...]