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.
The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following
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 [...]
Some investment edge still depends on trust, nuance, and soft information that does not travel as well through screens.
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.
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.
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.
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?
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.
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 [...]
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.
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.
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 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.
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"
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