A Remarkable View of China’s Official GDP — It’s Not What You Think
A few weeks ago, the WSJ announced that in the third quarter the growth rate of China’s economy had declined to 6.9% -- the lowest [...]
Value Investing Requires Patience…a LOT of Patience–Ask Cliff Asness
Value investing was a lot easier in 2012 and 2013 when our value approach beat the market by a substantial margin and we had a reasonable [...]
Expanding the Efficient Frontier with Value and Momentum Strategies
Awww...modern portfolio theory...that feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and [...]
The Secrets of Social Influence: An Interview With Digg and Wharton Professor Jonah Berger
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 [...]
DIY Asset Allocation Weights: December 2015
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 [...]
The Quantitative Momentum Investing Philosophy
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, [...]
Momentum Investing: Why Does Seasonality Matter for Momentum?
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 [...]
International Evidence for our favorite Value metric: Enterprise Multiples
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: Identifying the Highest Quality Momentum Stocks
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 [...]
Beware of the Value Investing Return Gap
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
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 [...]
Bond Performance when Interest Rates Spike
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 on Value Investing and Investor Overreaction
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,” [...]
How Portfolio Construction Affects Momentum Funds
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 [...]
A classic value investor–Carl Icahn
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 [...]
The World’s Longest Trend-Following Backtest
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, [...]
DIY Asset Allocation Weights: November 2015
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 [...]
An interesting look at the size anomaly
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 [...]
Beware of Target Date Funds – Their Aim May be Way Off
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 [...]
Why I Don’t Invest in Momentum Stocks…Yet!
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 [...]