Left Tail Risk and Left Tail Momentum
By Larry Swedroe|July 14th, 2020|Larry Swedroe, Research Insights, Academic Research Insight, Momentum Investing Research|
The positive trade-off between risk and expected return is the [...]
Reducing Estimation Error in Mean-Variance Optimization
By Tommi Johnsen, PhD|July 13th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|
Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari [...]
Do Treasuries Have a Place in a Modern Portfolio?
By Jonathan Seed|July 9th, 2020|Research Insights, Academic Research Insight, Fixed Income, Macroeconomics Research|
Do treasuries, most yielding well south of 1%, have a [...]
March for the Fallen 2020: Sign-Up for The Virtual Version!
By Wesley Gray, PhD|July 8th, 2020|Training Section, MFTF Training Series|
We are going to help make March for the Fallen [...]
Market Return Around the Clock
By Dmitriy Muravyev|July 7th, 2020|Overnight Returns Research, Factor Investing, Research Insights, Academic Research Insight, Guest Posts, Tactical Asset Allocation Research|
Market Return Around the Clock: A Puzzle Oleg Bondarenko and [...]
Board Diversity: When Will We Break Through the Glass Ceiling?
By Wesley Gray, PhD|July 6th, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|
Board leadership positions elude diverse directors Laura Casares Field, Matthew [...]
Combining Momentum with Long-Term Reversal
By Larry Swedroe|July 3rd, 2020|Research Insights, Larry Swedroe, Factor Investing, Trend Following, Academic Research Insight, Momentum Investing Research|
Two of most documented anomalies in the asset pricing literature [...]
DIY Asset Allocation Weights: July 2020
By Ryan Kirlin|July 2nd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation [...]
Time Series Momentum: Theory and Evidence
By Valeriy Zakamulin|June 30th, 2020|Trend-Following Course, Trend Following, Introduction Course|
Time Series Momentum in the US Stock Market: Empirical Evidence [...]
How Trend Following Strategies Shape Return Distributions
By Tommi Johnsen, PhD|June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|
Some Observations on Trend Following: A Binomial Perspective David M. [...]