Dissecting Net-Net Returns over the past 6-months
Paul Sepulveda has an interesting guest post for us today. Paul dissects the recent performance of net-nets and identifies some interesting tidbits. Below I have [...]
Exploiting Option Information in the Equity Market
Exploiting Option Information in the Equity Market Guido Baltussen, Bart Van Der Grient, Wilma De Groot, Erik Hennink and Weili Zhou http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2001461 Key Points: Long/Short [...]
Are stock pickers better than Computers?
Empiritrage has a detailed research piece on the question of whether or not quantitative value can beat fundamental stock-pickers. http://empiritrage.com/2012/03/24/man-vs-machine-quantitative-value-or-fundamental-value/ Here are a few highlights: [...]
How to Arbitrage the Oil/Natural Gas BTU Spread
The Turnkey PhD is always on the lookout for arbitrage opportunities, so when I showed him the below chart, which depicts the $/BTU spread between [...]
Doing well by doing good? Employee satisfaction update
A while ago we highlighted a very interesting paper by Alex Edmans: https://alphaarchitect.com/2011/04/satisfying-employees-a-satisfying-investment-strategy/ Alex has published a version of the paper that looks at the [...]
Gain and Loss Learning: Effects on Life Financial Outcomes
“From shirtsleeves to shirtsleeves in three generations.” - Andrew Carnegie Since time immemorial, humans have wondered at the factors that give rise to the accumulation [...]
MF Global: a Post-Mortem
I was stunned last year when MF Global, a major commodity futures and derivatives broker, declared bankruptcy. At the time, I had an account at [...]
How to calculate 3-factor (Fama-French) and 1-factor (CAPM) alpha
Wow, Turnkey Analyst and I have been buried at Turnkey Analyst working on a variety of research projects and hanging out with our families over [...]
Academic Alpha: Value Creation: Hedge Funds as Activists.
In “Value Creation or Destruction? Hedge Funds as Shareholder Activists,” by Chris Clifford, the author examines and measures the powerful effects created by hedge fund activists. [...]
Academic Alpha: Real Estate and Stock Returns
The following summary is from our academic alpha database at http://alpha.turnkeyanalyst.com/ideas/55. Title: Corporate Real Estate Holdings and the Cross Section of Stock Returns Authors: Selale Tuzel [...]
Magic score: Long-Term vs. Short-Term
Security Analysis, by Graham and Dodd, is a classic text on value investing. We love it. And despite our outward "quant" appearance, everything thing we [...]
The Framing Effect and Your Portfolio
When individuals try to understand or explain an event, they sometimes employ “frames,” which are interpretive structures or filters that help them make sense of [...]
Magic Formula and MA Rules: A Bad Combo!
Recently, I've been investigating various risk management systems. A lot of the work we've done is beyond the scope of the blog and/or is related [...]
Volcker Rule and Muni-Bond Liquidity–back of the envelope opinion.
Volcker Rule May Adversely Impact Munis http://www.bondbuyer.com/issues/120_225/volcker-rule-impact-munis-1033412-1.html The municipal bond market makers are making the case that eliminating prop desks will somehow decrease liquidity and screw up [...]
Long-Term Market Return Projections
John Hussman has an interesting piece on predicting long-term market returns:http://hussmanfunds.com/wmc/wmc050222.htmThe article is a bit dated (2005), but still fascinating.In the short piece Hussman suggests [...]
Investigating Equity and Bond Allocation Models
We've been toying with models that will predict the stock market: better known as "cold fusion." There is an incredible amount of research on the [...]
Insider Trading–Congress loves it!
60 Minutes has a great segment explaining the lack of insider trading rules for Congressmen. http://www.cbsnews.com/video/watch/?id=7388130n&tag=contentBody;storyMediaBox Amazing, isn't it? You can sit on the healthcare [...]
Risk-Managed Momentum
Last week we discussed the possibility that "momentum is finished." Astute readers of the blog generally agreed with the concept, but also pointed out that [...]
Momentum Finished?
CXO Advisory highlights an interesting paper with the tagline: "Momentum Not Working?" Here's the link: http://www.cxoadvisory.com/subscription-options/?wlfrom=%2F17440%2Fmomentum-investing%2Fmomentum-not-working%2F Here is the link to the source: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1951137 This [...]
How to Use Our Dual Class Share Arbitrage Module
Recent market volatility is generating an anxiety in the investing public that is almost palpable, and many are searching for ways to generate returns while [...]