Treasury Bills Outperform Most Stocks — Say What???
Each morning we peruse a variety of research sites to see if there is anything exciting, new, and intriguing. Rarely does one find something that [...]
1042 QRP: Weighing the High Cost of Floating Rate Notes
This cost-benefit analysis of floating rate notes as a 1042 QRP asset class will open your eyes to their high costs, ongoing fees and sub-optimal attributes
A Tactical Asset Allocation Researcher You Should Know
I'm a huge fan of hard-core academics that produce incredible research, and yet, very few are familiar with their research. I call these folks, "undiscovered gems." [...]
Book Review — Loaded: Money, Psychology, and How to Get Ahead…
A few months ago I had the pleasure of hearing Sarah Newcomb speak at a recent Morningstar ETF conference. She was extraordinary. Although I only [...]
How to Reduce Taxes through Negotiation
Since this is my first post, I'll make a quick introduction before getting to the content: I love science and learning. In college, I majored in [...]
The January Effect: An Evidence-Based Perspective
January is here again and market commentators are already telling stories about the so-called January Effect. Some articles (examples here and here) are saying the [...]
Go Skew Yourself with Managed Futures
Skewness is a statistical measure of how returns behave in the tails of a probability distribution. Wikipedia has a more robust definition of skewness with [...]
Factor ETF Due Diligence: A New Challenge for Some Investors
Factor investing seems to be everywhere, but the topic is still misunderstood by large swaths of the investing public. Tommi Johnsen and I would like [...]
Using Trend-Following Rules to Enhance Factor Performance
After reviewing the 2016 performance of trend-following (-18.15%), its unclear why anyone would mention the word "trend following" in a public forum. But we'll give it [...]
Are you Ready to Witness Finance Research on Steroids?
Have you ever dreamed of meeting Ben Bernanke face-to-face? Would you love the chance to bump into Larry Summers in the hallway? Or better yet, [...]
1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies
Executive Summary Employee Stock Ownership Plans (“ESOP”) offer a variety of liquidity, tax and operating benefits to business owners who are contemplating a sale or [...]
Time Series Momentum, Volatility Scaling, and Crisis Alpha
If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and [...]
Commodity Futures Investing: Complex and Unique
Commodity futures investing is arguably the most misunderstood asset class in the financial marketplace. We want to change that state of affairs. Commodity futures strategies are [...]
An Interview with a Leading Academic Expert on ETFs
We spend a lot of our time thinking and learning about ETFs, since they are a critical new investor weapon in the war for after-tax [...]
Interest Rates and Value Investing
There is still no value in bonds today. The typical knee-jerk reaction to bold bond statements (such as the one above) is as follows: This guy is [...]
A really cool paper (and graphic) on ETFs
Zahi Ben-David has an excellent new summary paper on the state of academic research on exchange traded funds with colleagues Rabih Moussawi and Francesco Fanzoni.[ref]We focused on Zahi [...]
Is the Low Volatility Anomaly driven by Lottery Demand?
A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still [...]
Active Fee Over Time: Retail and Institutional Trends Over Time
We've been focused on understanding how to communicate the concept of active fee to the broader investment community. Active fee is an important concept because it [...]
Great Minds Agree to Disagree on the Source of the Value Investing Premium
Active investing sounds so easy. But we all know it is extremely difficult. Ask any deep value investor how they have felt over the past [...]
In Calm Markets Should We Buy “Cheap” Put Protection?
Time for a little myth busting. Recently, the Motley Fool posted an article that argued the following: when market volatility is low, protective put options are cheap. From the [...]