A Stunning New Finding: Return Seasonalities are Everywhere
We've discussed return seasonalities in the past, especially as they pertain to our approach to momentum. Turns out seasonality effects aren't confined to momentum -- they [...]
Not so Simple: Valuations and Low Volatility Strategies
Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldn't want to own something with the label "low volatility" andRecent performance [...]
Replicating Private Equity Returns with Small Value Stocks…3min video
We discussed private equity replication with public equities here and here. Erik Stafford just won the "honorable mention" award from AQR for his work on [...]
How Portfolio Construction Affects Value Funds
Value investing is an investment philosophy that has been extensively discussed and examined at least since the days of Ben Graham, who popularized it as [...]
Book Review — The Drunkard’s Walk: How Randomness Rules Our Lives
Although randomness is all around us, we often fail to recognize the profound role it plays in our lives. Evolutionary biology and faulty intuition lead [...]
Alternative Beta can be Great: But Beware of Data-Mining!
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez A version of the paper can be found here. Want a summary [...]
The Academic Finance Papers That Changed My Mind
What does it mean to be the "best" research? For me, this means the most influential in changing my view on the world. So the [...]
Does Buffett Have Lessons for Systematic Value Investors?
We are fundamentals-based value investors, just like Warren and Charlie, but have chosen to pursue the art of value investing in a slightly different way [...]
How Testosterone and Stress Affect Financial Decision-Making
Decision Making, Financial Risk Aversion and Behavioral Biases: The Role of Testosterone and Stress Nofsinger, Patterson and Daigler A version of the paper can be [...]
Facts, Fiction, and Merger Arbitrage
Investors love to chase after the "next big thing," as investment strategies and styles come in and go out of vogue. The latest object of investor [...]
How the day of the week affects stock market anomalies
Day of the Week and the Cross-Section of Returns Justin Birru A version of the paper can be found here. Want a summary of academic papers [...]
The Moving Average Research King: Valeriy Zakamulin
Some weekend reading for trend-followers who want to question their beliefs. Valeriy Zakamulin is an animal when it comes to generating research on moving averages. [...]
Computers Still Beat Humans? We Ask, Will Grove Responds.
Overconfidence is the death of everything in investing. I suffer from the problem just like everyone else because last time I checked...I'm human. As humans, we [...]
Can Twitter Predict the Market’s Reaction to Fed FOMC Decisions?
Twitter seems to be a favorite dataset for financial researchers. Researchers keep trying to map tweets to profits. For example, we covered an idea related [...]
Smart Beta: Data Mining, Arbitraged Away, Or Here To Stay?
Large institutional investors have had access to low-cost "smart beta" for many years. But for retail investors and their financial advisors, "smart beta" ETFs are a welcome innovation. [...]
Update on the Valuation Metric Horserace: 2011-2015
Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a [...]
Recreating Asset Bubbles in the Laboratory
Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted [...]
Have benchmarks made us bad active investors?
Curse of the Benchmarks Vayano and Woolley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Can Losing Lead to Winning?
Can Losing Lead to Winning Berger and Pope A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]