Board leadership positions elude diverse directors Laura Casares Field, Matthew Souther, and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month [...]
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 [...]
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications Valeriy Zakamulin and Javier GinerWorking paper, University of Agder and University of La LagunaA version of this paper can be found here [...]
Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning a humbling lesson right now that Mr. Market has taught [...]
Interested in starting an ETF? Simply want to learn more about the process of launching an ETF? This piece is an introduction to ETF white label services, which is the industry term for a firm [...]
Campbell Harvey and Yan LiuJournal of Finance, 2020A 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 Research Questions? Whether they [...]
In the course of some research on costs and constraints on momentum strategies, I came across a couple of dueling talks by Wesley Gray and Gary Antonacci, hosted by QuantCon NYC in 2017. During his [...]
In perfectly efficient markets, option prices should not convey any new information or contribute to the price discovery of underlying assets. However, if markets are not perfectly efficient, traders with private information might prefer to [...]
At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at the close of the market, then selling it at the [...]
Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance [...]
We recently added a monster correlation matrix to our factor library data sheet that maps out the correlation of all the factors against every other factor. Here is a sample output that highlights the difference [...]
Lu Zhang and his colleagues made some waves with their new paper, “Replicating Anomalies.” (now published in the RFS -- congrats!). We have a summary of the paper here. Lu Zhang, and his colleagues, Kewei [...]
" It is often said there are two types of forecasts ... lucky or wrong!!!! "-"Control" magazine published by Institute of Operations Management There is little question that the stock market has been acting a [...]
Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, 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 Research Questions The [...]
Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: Struggles in [...]
From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]
Diversification. It looks great on paper, but for the past ten years, being globally and “Factor” diversified has been anything but great. Understandably, many diversified investors are looking at their returns and wondering why they [...]
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 [...]
