Face-to-Face Social Interactions and Local Informational Advantage
Some investment edge still depends on trust, nuance, and soft information that does not travel as well through screens.
Mean Reversion in Play: Carry is BACK?!
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.
The Performance of Small Business Investment Companies
Congress created the Small Business Investment Company (SBIC) program in 1958, allowing private funds to invest in small firms using leverage supported by the U.S. Small Business Administration (SBA). The natural concern is whether a government-supported structure sacrifices returns in pursuit of policy goals. This research suggests the opposite.
Unlocking Hidden Patterns: How Daily Returns Predict Future Stock Performance
The wealth of information contained in daily stock returns has been hiding in plain sight—and when properly extracted, it generates remarkable predictive power for future performance.
Increases CAPE Ratio Predictability with a Simple Adjustment
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.
The Return of the King: Trend Following Is Back – But Will It Last?
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.
Unlocking Hidden Value: How Corporate Language Reveals the Future of Intangible Investment
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 [...]
The Best Defensive Strategies: Two Centuries of Evidence
Which defensive strategies have actually worked, and do the conclusions survive when we evaluate them over multiple centuries rather than a few decades?
Fund Selection When Borrowing Is Restricted
Once borrowing is realistically restricted, the Sharpe ratio can stop lining up with what investors actually care about: utility. This paper argues that in this constrained world, the geometric mean is a better compass.
How AI Can Help Find the Needle in the Haystack
Artificial intelligence is rapidly transforming the investment landscape in ways that extend far beyond algorithmic trading and robo-advisors. One of AI's most promising applications lies [...]
Exploiting Myopia: The Returns to Long-Term Investing
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.
The Stock Market and Bank Risk-Taking
While public listings are often viewed as a sign of strength, scale, or access to capital, recent research suggests a more subtle consequence: going public changes how banks take risk.
Retail Investors and the Mispricing Puzzle
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 [...]
Financial Regulation and AI: A Faustian Bargain?
Financial regulation has always faced a trade-off between simplicity and precision. Simple rules are transparent and robust, but often miss where risks actually build up. More sophisticated tools can be more precise, but they are harder to understand, harder to explain, and sometimes change behavior in unexpected ways.
The Long Volatility Premium: Short the Market, Get Paid?
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"
The Secular Decline in Interest Rates and the Rise of Shadow Banks
Over the last 20 years, a massive shift has occurred, with "shadow banks"- non-depository institutions like Quicken Loans -capturing nearly half of all originations. While many attribute this to new technology or post-crisis rules, recent research reveals a deeper economic catalyst: the secular decline in interest rates..
Revaluation Alpha: Why Past Factor Returns May Be Misleading
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.
Low-Cost Financing via Short Box Spreads: A Primer for Financial Advisors
It is well-known that box spreads offer investors the ability to lend via the options market at similar rates to Treasury Bills. But there is another, less popular side of the box spread market – borrowing money. This articles dives into the mechanics of how to use box spreads to borrow at low costs.
Retired Investors Should Stop Trading So Much
Retirement creates a sudden jump in leisure time. That should reduce information-processing barriers. The question is: does having more time change how people trade, and does it improve outcomes?
Is Value Investing Dead?
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.