Passive Sustainable Funds
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our [...]
Equity Compensation Planning in a TCJA World
Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a [...]
The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]
DIY Asset Allocation Weights: June 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 [...]
Is factor momentum really everywhere?
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
Compound Your Knowledge Ep. 14: Sentiment and Bonds, Volatility, & ESG
In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The [...]
News Sentiment and Bonds
Investing in US 10-year Yields with News Sentiment Nina Gotthelf and Matthias W. UhlJournal of Investing, Winter 2018A version of this paper can be found hereWant to read [...]
Volatility Targeting Improves Risk-Adjusted Returns
There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates [...]
Compound Your Knowledge Ep. 13: Opp. Zone Investments, Hiring Losers, & Short Selling w/Insider Buying
In this week's video, we examine three articles. The first article, written by Adam Tkaczuk, covers a method to make an opportunity zone (equity) investment behave [...]
Volatility Anomalies: IVOL and Vol-of-Vol
Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high [...]
Things to Consider for ESG Portfolio Construction
A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
Structuring Lower Risk Opportunity Zone Investments
The tax benefits of the new Opportunity Zone program are potentially phenomenal. However, when you dig into the details of the program you quickly realize [...]
The Folly of Hiring Winners and Firing Losers
One of the mistakes that prevent investors from achieving their goals is that when it comes to evaluating investments and investment strategies most think that [...]
Compound Your Knowledge Ep. 12: Tax-Managed Strategies & Stocks Above 10x Sales
In this week's episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines [...]
Short Selling + Insider Selling = Profitable Strategy?
When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul, and Kainan WangJournal of Portfolio ManagementA version of this [...]
Buying Stocks Trading Above 10x Sales–A Good Idea?
Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea [...]
Democratize Quant 2019 Recap
We did it. We democratized quant for one more year. Last year, we suffered through a 50% drawdown in attendance due to a perfectly timed [...]
Tax-Managed Factor Strategies
Tax-Managed Factor Strategies Lisa R. Goldberg , Pete Hand , and Taotao CaiFinancial Analysts JournalA version of this paper can be found hereWant to read our [...]
Compound Your Knowledge Ep. 11: ETFs, Manager Wealth, TLH, Value
In this week's episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs [...]
Deep Dive into the Value Factor
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to [...]