Worried about extreme down markets? Consider formal portfolio risk models.
Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be [...]
Macroeconomic factors and Tactical Asset Allocation
Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of [...]
Retail Short Sellers: Trading Skill or Insider Trading?
Informed retail investors: Evidence from retail short sales Keith Jacks Gamble and Wei Xu Journal of Empirical Finance A version of this paper can be [...]
Are Factors Better and More Diversifying Than Asset Classes?
Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low [...]
Explaining the Value Effect in Emerging Markets
Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. [...]
How to Evaluate Multi-Asset Strategies
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries of [...]
Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements
Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research A version of this paper [...]
Time Series Momentum (aka Trend-Following): A Good Time for a Refresh
Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called [...]
The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures
Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper can be found here Want to [...]
An Inside Look at How ETF Firms are Competing. Hint: Price Isn’t Everything
Morgan Housel had a post on the idea of conflicting skill sets. Morgan makes the following comment: F. Scott Fitzgerald said intelligence is "the ability [...]
Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility
Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be [...]
A Quantitative Strategy for Enhancing Merger Arbitrage
Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, [...]
Academic Research Insight: Results on Financial Misconduct Depend on the Database One Uses
Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on [...]
The Mother of All Momentum Research Reports. A Must Read!
J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is [...]
Academic Research Insight: Surprise! Seeking Alpha Opinions Have Investment Value
Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, Byoung Hyoun Hwang Review of [...]
The History of ETFs: Perspectives from ETF Legends, Reggie Browne and Arlene Rockefeller
ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past [...]
The Value Effect and Macroeconomic Risk
It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of [...]
Academic Research Insight: Yes, Departing Outside Directors Are Aware of Fraud Before They Resign
Go Before the Whistle Blows: An Empirical Analysis of Director Turnover and Financial Fraud Yanmin Gao, Jeong-Bon Kim, Desmond Tsang, Haibin Wu Review of Accounting [...]
Predicting Stock Returns Using Firm Characteristics
A few weeks ago, we did a deep dive into the factors versus characteristics debate. One of the reasons we've brought up this debate is [...]