Humble Pie Prevents 99.8% Drawdowns
It’s not every day you hear news of a 99.8% drawdown, but it looks like today is one of those days. Owen Li of Canarsie [...]
Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers [...]
Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations!
Stock Duration, Analysts Recommendations, and Misvaluation Cremers, Pareek and Sautner A version of the paper can be found here. A blog on an older version of [...]
Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
The One Factor To Save Them All–Leverage
Financial Intermediaries and the Cross-Section of Asset Returns Adrian, Etula and Muir A version of the paper can be found here. Want a summary of academic [...]
Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Quantitative Momentum Research: Intermediate-Term Momentum
Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Jegadeesh and Titman A version of the paper can be found here. Want a [...]
An Introduction to Investing and How to Use Our Site
What We Do? We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures, as opposed to "closet-index" factor exposures. More [...]
The Hated. The Feared. The Amazing. The US Treasury Bond.
As "everyone" seems to know, the US 10-year Treasury bond has a low relative yield and is "inevitably going to rise at some point in [...]
Value Investing: 2014 Value Stock Research Recap
The success and failure of value investing can be boiled down into two components: Buy Cheap Stuff Avoid Behavioral Bias Buy Cheap Stuff Ben Graham outlined [...]
The 2014 Asset Allocation Research Recap
Tactical asset allocation is always a hot topic in the blogosphere. A few fun concepts that hit the wires in 2014: GestaltU had an interesting series [...]
Odd Finding: Pro Investors sell undervalued stocks
Institutional Investors and Stock Return Anomalies Edelen, Ince and KadlecA version of the paper can be found here.Want a summary of academic papers with alpha? Check [...]
How to Calculate Volatility in Excel
Wild-swinging oil prices have caused some chaos, or "volatility," in the financial markets recently. We've also heard a lot in the financial media regarding the [...]
Hard to Fire Yourself; Easy to Fire Your Manager
Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect Chang, Solomon, Westerfield A version of the paper can be found here. Want a [...]
Value Investing: Digging Manager Graveyards Since 1963.
Following value strategies can be hazardous to one's wealth in the short run. Oil stocks are a great example of the challenge value investors face: The stocks [...]
Oil Stocks: A Real-Time Case Study in Value Investing
I just took a snapshot of the front page of Yahoo Finance, CNBC.com, and Bloomberg.com: Bloomberg.com @ 1725 EST CNBC.com @ 1725 [...]
Investor Attention: Advertising Targets Customers and Investors?
Is Investor Attention for Sale? The Role of Advertising in Financial Markets Madsen and Niessner A version of the paper can be found here. Want a [...]
Stop Paying Attention to Your Brokerage Statements
The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior Hartzmark A version of the paper can be found here. Want a [...]
Where are the Focused Active Managers?
We highlighted a few weeks ago that Smart Beta is More Expensive Than You Think. Smart Beta and other closet-indexers are everywhere, but what happened to [...]
Avoid the Experts: A Lesson in CFO Overconfidence
Managerial Miscalibration Ben-David, Graham and Harvey A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]