Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our [...]
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art Johnson for mentioning this paper![/ref] What are the research questions? [...]
R is a programming language that owes it's lineage to S, a language designed in it's own developers words, "to turn ideas into software, quickly and faithfully."[ref]Chambers, John M (1998). Programming with Data: A Guide [...]
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]
Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz MikutowskiA version of this paper can be found here. What are the research questions? As the asset pricing research on the "very long-run" has been [...]
There are different investment approaches to identify sector winners and losers, such as price momentum strategies, top down approach based on specific macroeconomic indicators or bottom-up approaches to identify sectors with improving fundamentals. One widely [...]
Financial planning and specifically portfolio "safe" withdrawal rates are often viewed and analyzed from the perspective of rigid rules that can't be broken - i.e., you will take an inflation adjusted 4% of starting portfolio [...]
Day of the Week and the Cross-Section of Returns Justin BirruJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index areposted here.[ref] [/ref] Create a free account here if you want to access the site directly. The link is here. Exposure Highlights (bold implies a month [...]
After a record breaking year for ETF flows in 2017 ($462 Billion), 2018 was a relative slowdown. But at $314 Billion in inflows, 2018 was still the second largest amount of inflows ever into ETFs. [...]
My last article used Warren Buffett’s pre-crisis sale of put options to highlight the risk of getting over our financial skis. In both temperament and negotiation, Warren can outlast most bear markets. Many of us [...]
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]
In today's video, we examine three articles from last week. The first article examines the (under) performance of trend-following over the last decade. The second article by Valeriy Zakamulin examines common questions, and Valeriy's responses, [...]
The topic of this blog post was inspired by Wes, who said the following: Valeriy, you have done more formal academic research on trend-following than anyone I know...Skepticism aside, let's I forced you to pick [...]
Everyone in finance remembers 2008--the Global Financial Crisis. Yes, I know, the final downward movement in the stock market was in early 2009. However, many remember 2008 as the year of the crisis. So now [...]
Readers: We'll be visiting the following locations in the near future: 2/26 to 3/1: Portland/Calgary area Wes/Ryan/BrandonWes is speaking at a small conference:Sign up here: https://www.talluscapital.com/events3/4 to 3/6: Kansas City and ChicagoJack/Ryan As a reminder, you [...]
In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by Tommi examining the distribution of Size and Value returns over [...]
Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]
One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in the WSJ.[/ref] Warren Buffett, speaking at the 2013 Berkshire Hathaway [...]
In today’s video, we examine three posts. First, we examine Elisabetta Basilico's post on Manager Sentiment and Stock Returns. Second, we examine a paper by Rich Shaner examining whether financial education actually improve outcomes. Last, [...]
