Listing Domicile Driving Valuations
The listing domicile explained about 50% of the valuation gap. In other words, US-listed stocks are substantially more expensive than internationally listed stocks for no reason other than the place of listing.
The Ability to NAV Time Interval Funds
NAV timing investors could potentially create trading strategies which would systematically transfer wealth from buy-and-hold investors to themselves.
A Navy SEAL says Making Better Decisions is SIMPLE.
The following guest piece outlines the SIMPLE framework (SIMPLE) for making better decisions. SIMPLE was developed by a Navy SEAL with combat and business experience. An application of the SIMPLE framework, applied to financial advisors, is at the end of the piece.
Local IPOs and Household Stock Market Participation
This paper seeks to address three pivotal questions that explore the broader economic and social impacts of IPO activity, particularly its role in influencing stock market participation through localized attention and wealth effects.
Is There A Bubble In Private Credit?
While the media headlines are preaching doom, the fundamentals are telling a very different story—credit spreads have widened, and EBITDA multiples are the lowest they have been in a decade. The bottom line is that for investors able to accept its limited liquidity, private, senior, secured and sponsored by private equity direct lending continues to be a compelling component of a diversified portfolio deliver what has always attracted investors: high current income, resilience through market cycles, and a disciplined approach to risk management. We are far from a bubble.
Is It Time to Ditch International Stocks?
Since 2010, the S&P 500 has beaten the International Developed market in all but three years. This led the U.S. market to outperform International Developed by an astounding 8.14% compounded per year. Wowza! Talk about pain if you’re a global investor.
DIY Trend-Following Allocations: February 2025
International equity moving from full hedge to no hedge. Commodities moving from full hedge to partial hedge. Real estate moving from partial hedge to no hedge. Intermediate bonds moving from full hedge to partial hedge.
Nine Lessons the Market Taught in 2024
In 2024 investors were provided with nine lessons. Many of them are repeats from prior years. Unfortunately, too many investors fail to learn them—they keep making the same errors.
The Impact of Impact Investing
Divestment, a commonly used strategy, involves withdrawing support from companies that contribute to these issues, with the intention of creating positive societal change. Despite its appeal, the connection between divestment actions and their actual impact on society remains unclear.
Growth Predictions, Growth Surprises, and Equity Returns
What matters is not the expectation of future growth, but the deviation between projected growth and realized growth, which, by definition is a surprise, and, thus, is not forecastable.
Artificial Intelligence and the Risks of Harking (Hypothesizing After-the-Fact)
Because AI systems can produce hundreds of seemingly coherent theoretical explanations for mined empirical results, investors need to establish high hurdles before allocating to anomaly-based strategies.
Training Machine Learning Models For Return Prediction
This paper investigates how modeling choices impact MLM outcomes such as cross-sectional return predictability.
Private Credit: Upper Versus Lower Middle Market Lending
Given the similar net returns that UMM and LMM loans have delivered, allocators should consider diversifying across borrower size cohorts. Since LLM loans are somewhat riskier, careful due diligence should be performed in terms of a lender’s credit loss history, fees/expenses, and use of leverage.
Global Factor Performance: January 2025
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Factor Performance Factor Premiums Factor Data Downloads
Stocks aren’t always the best in the long-run
Advisors and managers will have to adopt a more nuanced view of risk as recognition of the frequency of equity underperformance becomes widespread.
Investigating Simple Formulaic Investing
Simple, easy-to-implement, systematic formula-based investing can still generate market outperformance, providing investors with efficient exposure to well-documented factor premiums.
DIY Trend-Following Allocations: January 2025
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
What the Index Effect’s Disappearance means for Market Efficiency
One critical, yet often overlooked, choice is how stocks are weighted in the objective function during training, with equally weighted (EW) approaches being the norm. This paper investigates how such choices impact cross-sectional return predictability and the performance of trading strategies derived from these predictions, focusing on the interplay between objective function design and model outcomes.
Forecasting Earnings, Artificial Intelligence (AI) Versus Equity Analysts
A critical task in stock selection is identifying a firm’s true profitability. Given the potential of AI to deal with large data, an important question is: Can AI outsmart seasoned analysts?
Do sell-side analysts say “buy” while whispering “sell”?
Managers are more likely to vote for analysts who exhibit greater “say-buy/whisper-sell” behavior toward these man agers. This suggests that analysts reduce the accuracy of their public recommendations, thereby maintaining the value of their private advice to funds.