Institutional investors largely behave in line with rational asset pricing models. Yet at the same time, they strongly disagree with each other, and this disagreement has important implications for markets.
1. Introduction Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) [...]
Portfolio choices are not driven by preferences alone, they are also shaped by frictions, small costs, inertia, and default options. The result is a subtle but powerful mechanism. What investors hold is not always what they want.
What happens to market prices when millions of investors simultaneously follow the same mechanical rules to rebalance the same portfolios? If you allocate to factor strategies, this paper has interesting findings as to where your returns are actually coming from.
Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to influence other investors. The result is a subtle but powerful mechanism.
The 351 exchange seems to be gaining real traction. A section 351 exchange allows investors to exchange property for shares of a new company. In the case of ETFs, investors are able to exchange their appreciated holdings for shares of a new exchange-traded fund without immediately triggering capital gains, if rules and tests are met. Still, many are wondering what the basis is for using a century-old tax rule and applying it to a modern investment wrapper. More importantly, if 351 exchanges are not tools for achieving portfolio diversification, why are they being used to seed ETFs?
Funds that reallocate attention toward macro news when volatility rises perform better. Funds also pay more attention to the stocks they own, and that attention helps them make more valuable position and trading decisions.
A look at recent academic research connecting market volatility spikes to the underperformance of momentum strategies (especially for long/short versions of the strategy) The Big [...]
For most investors, private equity may not deliver the promised edge. There is a simpler, more liquid way to access the same economic exposure.
Most trend-following research focuses on signal construction: how to detect trends better, faster, or earlier. The paper asks a different question, and arguably a more [...]
This research shows that when banks closely track how projects evolve and act on new information, they can significantly reduce losses. Even more importantly, the mere presence of monitoring encourages borrowers to behave more responsibly, improving outcomes before problems even arise.
New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed [...]
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like [...]
Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market. But predicting which [...]
Some investment edge still depends on trust, nuance, and soft information that does not travel as well through screens.
Why is carry doing so well? How did this convergent strategy end up benefiting from one of the biggest geopolitical shocks in modern times? By examining this question, investors will be better informed about how to build better portfolios and whether carry should have a strategic slice of the portfolio pie.
Congress created the Small Business Investment Company (SBIC) program in 1958, allowing private funds to invest in small firms using leverage supported by the U.S. Small Business Administration (SBA). The natural concern is whether a government-supported structure sacrifices returns in pursuit of policy goals. This research suggests the opposite.
The wealth of information contained in daily stock returns has been hiding in plain sight—and when properly extracted, it generates remarkable predictive power for future performance.
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