Tactical Asset Allocation: Beware of Geeks Bearing Formulas
How Should I Tactically Allocate my Assets? A lot of investors ask this question as their wealth grows and the number of financial products grows exponentially. [...]
What Drives the S&P 500 Equal-Weight Return Premium?
A recent academic paper, Equal or Value Weighting? Implications for Asset-Pricing Tests, highlights two methods of weighting: Equal-weight and Value weight. As the paper states: With monthly rebalancing, an equal-weighted [...]
Performance Attribution for Active ETFs and Active Mutual Funds
Peter Hecht, Ph.D., a fellow Chicago Finance PhD, and vice president of Evanston Capital Management, recently posted an article introducing a practical solution for active portfolios return attribution: [...]
Currency Investing Research: Good Carry, Bad Carry
Good Carry, Bad Carry Bekaert and Panayotov A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Book Review – Competition Demystified: a Radically Simplified Approach to Business Strategy
We've spent a lot of time these days thinking about how to identify economic moat, or a firm's ability to defend against competitive forces in [...]
Momentum Investing: Skewness-enhanced Momentum Yields Double Alpha
Expected Skewness and Momentum Jacobs, Regele and Weber A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Value Investing Research: Simple Methods to Improve the Piotroski F-Score
Executive Summary In this article, we identify how we can improve the performance of the F-Score and enhance a generic value investing approach. In a [...]
Daily Academic Alpha: Credit Spreads and Stock Returns
The Term Structure of Credit Spreads and the Cross-Section of Stock Returns We explore the link between credit and equity markets by considering the informational [...]
A Unique Insider Trading Signal that Generates Alpha
Insider Trading Patterns Cicero and Wintoki A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Is Passive Perfect? High Active Share Long-Term Investing Works Better
Patient Capital Outperformance Cremers and Pareek A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Traders, Guns, and Money
Traders, Guns, and Money Gopal and Greenwood A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
How Smart are “Smart Beta” ETFs?
Many consider smart beta to be a revolution in the asset management industry. For example, Bloomberg ran an article, "Funds Run by Robots Now Accounts for $400 [...]
International Value Investing: Looks Like a Reasonable Bet
A Value Investing Premium, Everywhere? A rich body of literature has shown that value investing, or buying stocks that are "cheap" based on a variety of valuation [...]
The Most Important Decision When Selecting a Value Investing Fund
The Best Investment with the Worst Performance We are huge believers in value investing. I personally started off as a fundamental value guy, spending twenty-plus [...]
Momentum Investing: A Simple Bond Momentum Strategy
Quick Summary For a bond momentum strategy, it makes sense to select the top 3 or top 6 funds.The starting universe matters.One must consider the taxes and [...]
Are Value Investing and Momentum Investing Robust Anomalies?
Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and [...]
Attention Value Investors: How to Predict Accounting Trickery
Predicting Material Accounting Misstatements Dechow, Ge, Larson and Sloan A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Top 10 Bank Lobbyist Rebuttals to Fiduciary Standard
It's tough being a Wall Street Financial Advisor these days... On April 14th, Department of Labor (DOL) Secretary Tom Perez issued a press release outlining the DOL's [...]
Sports Analytics: Remember, Statistics aren’t Perfect!
We came across an interesting article in the Wharton Magazine blog titled "The Dangerous Data Fetishes of Sports Analytics" by Ian Cooper. The main point of [...]
Tactical Asset Allocation with Market Valuations: Magic of Myth?
Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as [...]