A critical element of being a good investor is understanding human behavior. In this piece we take our focus away from quantitative finance and focus on understanding the [...]
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Eugene Fama, the 2014 co-recipient of the Nobel Prize in Economics and father of the efficient market hypothesis, and his equally well-credentialed co-author, Ken French, [...]
Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
The Enterprise Multiple Investment Strategy: International Evidence Walkshäusl and Lobe A version of the paper can be found here. Want a summary of academic papers with [...]
Frog in the Pan: Continuous Information and Momentum Da, Gurun and Warachka A version of the paper can be found here. Want a summary of academic [...]
Jason Hsu of Research Affiliates has some easily accessible research on the so-called investor return gap (we refer to this as the Behavioral Investor Gap and have [...]
Trend Following and Momentum Strategies for Global REITs Moss, Clare, Thomas and Seaton A version of the paper can be found here. Want a summary of [...]
The prediction of higher interest rates has been ongoing since the government went all-in on a variety of so-called "inflationary" efforts. Inflation hasn't happened and rates are [...]
David Dreman is a personal hero of mine. Years ago, I stumbled on his book, “Psychology and the Stock Market: Investment Strategy Beyond Random Walk,” [...]
We have already documented the returns to generic momentum investing strategies. Within the fund marketplace, many investors focus on fees and less on process. For example, Morningstar highlights the fees [...]
Carl's secret to "real money:" You gotta buy 'em when nobody wants them...when everyone hates 'em you buy 'em. When everyone wants 'em you sell [...]
Were in the middle of an academic research project and we ran a simple long-term trend-following model from January 1, 1801 to September 30, 2015. Recently, [...]
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so [...]
We like to use rules of thumb, or heuristics, when facing choices. We often default to rules of thumb because when finding the optimal choice [...]
Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for [...]
Marisa Mayer’s recent announcement that she is again pregnant, and does not plan to take maternity leave after her twins arrive, has once again raised [...]
What is the optimal method to weigh an index? Everyone seems to have a story these days for the "best" way to weigh an index. In this study we look at simple ways to weigh a large-cap stock index using prices only. Bottom-line up front: Low volatility worked the best on a risk-adjusted basis over the past 87 years. However, low volatility, was close followed by momentum, equal-weighting, and value-weighting, respectively. Across the board, results are similar.
Investors are probably unaware of the price they are paying for the "active" piece of Smart Beta. Using a simple framework, we show that buying a Smart Beta product at 45bps is equivalent to paying 5bps for a generic passive exposure and 138.33 bps for the active exposure! How many investors are aware that "low-cost" smart beta products might be implicitly charging fees that are equivalent to many active mutual fund fees?
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