Book Review: Smart(er) Investing by Elisabetta and Tommi
It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta [...]
DIY Asset Allocation Weights: February 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Conflict of Interest and Mutual Fund Sales
Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary [...]
The predictability of crowding on factor strategy performance
The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to [...]
Visualization Sector Trends with R Code
Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]
Timing Low Volatility with Factor Valuations
INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data [...]
Top 5 Most Interesting Papers from the Annual Finance Geek Fest
The American Finance Association Annual Meetings have now come and gone (here is information on the broader conference). The conference was in sunny San Diego this [...]
How ESG Affects Valuation, Risk, and Performance
Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio [...]
The Idiosyncratic Volatility Puzzle: Then and Now
One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This [...]
Forecasting US Equity Market Returns with Machine Learning
Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng [...]
Quant Tools for Private Equity and Real Assets
The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries [...]
Is Passive Investing Better than Active Investing?A Critical Review.
The broad thrust of this paper is that Sharpe’s proposition is not water-tight upon closer examination, and certainly should not be received as gospel.
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper [...]
International Evidence on Factor Premiums
Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, “Another Look on Choosing Factors: The International Evidence.” Using bootstrap [...]
Compound Your Knowledge Ep 21: Christmas Special
In today's episode, we had Wes join the show and decided to have Wes and myself answer questions from Ryan on two research summaries we [...]
The market impact of rebalancing factor investing strategies
Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read [...]
An Analysis of “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”
Authors: Ying Xiao and Glen C. Arnold A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]