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 [...]
Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Improving the Performance of Deep Value Strategies
A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher [...]
Protecting the Downside of Trend When It Is Not Your Friend : Part 1
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Global Impact of Investor Home Country Bias
A large body of research demonstrates that “familiarity breeds investment.” For example, a study by Gur Huberman found that shortly after AT&T was broken up [...]
DIY Asset Allocation Weights: December 2019
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 [...]
Myth-busting: Fed Actions and Stock Prices
Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019A version of this paper can be found hereWant to read our summaries [...]
Forbidden Knowledge: Long-Only Academic Factors are Also Cool
When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our [...]
Are Earnings Forecasts of Sell-side Analysts Biased?
There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be [...]
Enterprise Multiples and Equity Country Allocations
And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper [...]
The Investor’s Podcast: Factor Investing (Jack)
Recently I was invited to talk with Stig and Preston on The Investor's Podcast. I thank them for the opportunity and enjoyed the conversation! Below [...]
Are Value, Carry and Momentum Regime Dependent?
Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. [...]