The Truth About the Panic of 2008 (And the Botched Regulatory Response)
Ask 100 Americans what caused the 2008 financial crisis, and 99 will supply some version of the “Standard Narrative.” That is, they will say that [...]
DIY Asset Allocation Weights: November 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 [...]
Costs and Benefits of ESG investing
Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can [...]
Quantitative Investing: The Solution to Human Bias (Wes Gray)
Here is a link to our podcast on "Rational Reminder": Today we are joined by Wesley Gray who is the CEO of Alpha Architect, a [...]
Can Anomalies Survive Insider Disagreements
What is the relationship between insider trades and anomalies? Anginer, Hoberg and SeyhunA version of the paper can be found here. Want to read our summaries [...]
System Trader Podcast (Jack Vogel)
Here is a link to the podcast on Jacek Lampert's System Trader Show. On the podcast, we discuss a few topics (among others): Market Anomalies [...]
Liquidity might be a better proxy for Size in equity markets
The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version [...]
Core Earnings: New Data and Evidence
Researchers love novel datasets--it gives them a new set of information to conduct studies and test theories. That brings us to this paper, titled "Core [...]
Superstar Investors
Superstar Investors Brooks, Tsuji and VillalonJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
The Quality Factor—What Exactly Is It?
While the quality factor has been identified in the literature (including papers such as “Buffett’s Alpha,” “Global Return Premiums on Earnings Quality, Value, and Size,” [...]
Active Share: Predictor of Future Performance or Urban Legend?
The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming [...]
Boutique ETF Issuers Finally Get a Break!
Lingchi is the Chinese term for the form of torture we know as “death by 1000 cuts” that was reportedly used from 900 CE until [...]
Crowded trades, asset centrality and predicting equity bubbles
Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be [...]
Using Firm Characteristics to Enhance Momentum Strategies
Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to [...]
An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”
James MontierA full version of this paper can be found in this bookWant to read our summaries of academic finance papers? Check out our Academic Research [...]
A Framework for Creating Model Portfolios
Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries [...]
Alternative Investments – A Field Manual
It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. [...]
ETFs vs Mutual Funds: Who wins? Investors. (Ryan Kirlin)
Here is a link to our podcast on Taylor Schulte's "Stay Wealthy" show. Without question, you have heard of Exchange Traded Funds, also commonly referred [...]
DIY Asset Allocation Weights: October 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 [...]
Short-Duration Stock Anomaly: Risk or Mispricing
Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of [...]