One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they are fictitious and highly fanciful tales of legendary deeds and [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]
I'd argue that a typical investor believes the following--In the past and over the long run, stocks outperformed bonds.[ref]and definitely beat cash![/ref] However, as highlighted here, an academic paper last year shows that the majority [...]
Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. TrevinoJournal of Investing, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance sheet and no debt. I don’t ever want to fully [...]
One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in stocks with lower volatility, either measured by Beta or standard [...]
Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
In this week's post, we discuss two articles. The first article examines the financial performance of collectibles, such as Cars, Wine, and Art. The second article examines PMI and its impact on factor performance. [...]
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 [...]
I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong). I better realize now [...]
My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]
Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and here. Want to read our summaries of academic finance papers? [...]
In this week's post, we discuss three articles. The first article examines the effect of concentration (i.e. how many stocks does one own) within a Value portfolio. The second paper, summarized by Larry Swedroe, examines [...]
We are 8-weeks out. In theory, participants should have already been training, but we recognize that some people like to procrastinate and wait until the last minute. Fear not, your procrastination is actually a benefit. [...]
A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]
When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
In this week's post, we discuss four articles. The size, written by the folks at AQR, is titled "Fact, Fiction, and the Size Effect" and is a deep dive into the Size effect--I highly recommend [...]
Here is a link to our podcast on "The Bogleheads on Investing Podcast": Dr. Wesley R. "Wes" Gray is my guest in Episode 9, and our focus is on "factor" investing. Dr. Gray is the [...]
As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) has underperformed (1) the market and (2) Growth stocks. So [...]
