Math Is Magic: A Weekend Brain Teaser
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 [...]
Order Flow Correlation May Imply Momentum Factor Crowding
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 [...]
Counterpoint: ETF Activity May Make the Stock Market MORE Efficient
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 [...]
Is value dead? Has the story changed? No.
Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read [...]
Smart(er) Investing – The Easy Way
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic [...]
Tactically Adjusting Everything in a Financial Crisis? Bad Idea.
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here [...]
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 [...]