We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]
Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]
Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]
The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]
Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A 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 are [...]
Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out [...]
Editor's Note: this post has nothing to do with finance. Skipping this post costs you nothing. We encourage you to not read this post if you are only here to "geek out." This post is [...]
Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]
Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]
When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper can be found hereWant to read our summaries of academic finance [...]
Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other [...]
Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of this paper can be found hereWant to read our summaries of [...]
In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A version of this paper can be found hereWant to read our [...]
