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 [...]
A Modification to the Flexible Asset Allocation Model
This topic is about Flexible Asset Allocation, a concept I first got wind of thanks to this blog.[ref] Ilya Kipnis is the author of QuantStrat [...]
Understanding How ETFs Trade in the Secondary Market
An ETF's liquidity has everything to do with the underlying liquidity of the positions the ETF holds. This has a few implications: Pay attention to the liquidity on the holdings of your ETF--this will explain the spreads in the secondary market; Trade ETFs when the underlyings are liquid--avoid trading ETFs at the open or when overall market volume is lackluster; Avoid huge market orders, and stick to limit orders; Moreover, for huge trades, communicate directly with the market maker or your ETF trading desk.
The Robust Asset Allocation (RAA) Index
Robust asset allocation solutions should be relatively simple, minimize complexity, and be robust across different market regimes. Simultaneous to these requirements, the solution must be affordable, liquid, simple, tax-efficient, and transparent, otherwise, many of the benefits of the solution will flow to the croupiers and Uncle Sam. We recommend that investors explore our robust asset allocation framework and go for the do-it-yourself solution. You'll be paying yourself 1%+ a year via saved RIA fees. Is this the only solution? No. But any solution must be robust, simple, tax-manageable, and low-cost. This is our best effort to develop a simple model. Developing a complicated model is easy; simple is difficult.
Thanksgiving Day NFL Gamblers–Take Notes!
Efficiency and the Disposition Effect in NFL Prediction Markets Hartzmark and Solomon A version of the paper can be found here. Want a summary of academic [...]
Quant Value $19.99 Book Deal is Over
Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! [...]
An Educational Piece on the Appraisal Ratio…
Peter Hecht, Ph.D., a fellow Chicago Finance PhD and vice president of Evanston Capital Management, recently published an interesting white paper: How to evaluate hedge [...]