Trend Following the S&P 500? Some Practical Advice
BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, [...]
Discussion: Managing the Costs of Passively Investing in Active Strategies
We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and [...]
Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements [...]
Skulls, Financial Turbulence and Risk Management
Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Why Passively Investing in Active Methods May Not Work.
Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
Ways to Measure Extreme Downside Risk
Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be [...]
How to Compute Active Share
In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start [...]
Estimating Pandemic Economic Costs for “Face-to-Face” Businesses
Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read [...]
Trend Following Reality: You Need Trends to Trend-Follow
You Can't Always Trend When You Want Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos The Journal of Portfolio Management, March 2020A version of this [...]
The Economic Consequences of Pandemics: A Guide from History
Pandemics: Long-Run Effects Òscar Jordà, Sanjay R. Singh, Alan M. TaylorCEPR PressA version of this paper can be found here Want to read our summaries of academic finance [...]
Pandemics and Factor Investing: A Glimpse into the Past
Equity Styles and the Spanish Flu Guido Baltussen, Pim van VlietA version of this paper can be found hereWant to read our summaries of academic finance [...]
An Empirical Challenge for Trend-Following
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify [...]
Corporate Governance, ESG, and Stock Returns around the World
Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
The Use and Value of Financial Advice for Retirement Planning: Part 1/2
The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper [...]
Do Insider Trades Provide Insights into Future Returns?
The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several [...]
What to Do When Alpha Becomes Beta
Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read [...]
Macroeconomic Risks in Equity Factor Investing: Part 2/2
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Case Against REIT’s
Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional [...]
Book Review: Smart(er) Investing by Elisabetta and Tommi
It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta [...]