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.
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.
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.
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.
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 [...]
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.
CAPE has long been a cornerstone of long-horizon return forecasting. Critics argue that its predictive power has faded in recent decades. This paper pushes back.
Trend following is finally moving while U.S. stocks are flat. And so—like with most assets or strategies that post strong returns—investors may be eyeing this particular strategy and asking: Is it time to get in? The answer, while not surprising, is definitely nuanced.
Intangible assets—things like brand reputation, proprietary knowledge, and organizational capabilities—have become more valuable than physical factories and equipment with many studies estimating that intangibles now [...]
Which defensive strategies have actually worked, and do the conclusions survive when we evaluate them over multiple centuries rather than a few decades?
Markets are often assumed to be efficient across horizons, with prices reflecting fundamentals regardless of who holds the asset or for how long. Recent research challenges this assumption by showing that the investment horizon of shareholders itself shapes prices and future returns.
Institutional investors are frequently spoken of in the finance literature as “smart money” while retail investors are considered “noise traders” who suffer from a variety [...]
Long volatility should be considered a factor that earns positive returns over the long term. At least that's what One River Asset Management’s Patrick Kazley suggests in his piece "Heretical Thinking: The Long Volatility Premium"
Past returns often include non-repeatable revaluation alpha. Since structural alpha is the only component likely to persist, it’s essential for investors to distinguish this from one-off valuation windfalls before placing trust—or capital—in any factor or fund.
After years in what can be now called one of the worst (if not the worst) period for value investing, many investors have packed their bags and called it quits. We’ve heard this be said over and over again; and yet, many of their arguments look extremely compelling. So are they in the right? Let's examine.
This paper shows 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.
ChatGPT and similar large language models can enhance traditional investment strategies through superior interpretation of financial news. The improvements are economically meaningful, statistically robust, and persist under realistic implementation constraints.
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