Models vs. Experts #2: Rorschach interpretation
Unsuccessful differential diagnosis from the Rorschach Armitage, S. G., & Pearl, D. Journal of Consulting Psychology, 21. 479-484 A version of the paper can be [...]
Models vs. Experts #1: College GPA predictions
Predictive efficiency of two multivariate statistical techniques in comparison with clinical predictions Alexakos, C.E. Journal of Educational Psychology, 57, 207-306 A version of the paper can [...]
Sell in May and Go Away Results
We did a study of this a while ago using the data from Ken French's website. All of the results below are through December 2010. [...]
Can We Make Money off of Investors’ Limited Attention?
Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies Click to get the pdf. Steve Crawford, Wesley Gray (me!), and Shastri Sandy [...]
S&P 500 10-Year Nominal Return Forecasts
We've outlined the fundamentals of long-term return projection models in a recent post: https://alphaarchitect.com/2012/12/projected-15-year-sp-500-returns/ Butler|Philbrick|Gordillo and Associates have a great post that focuses on the [...]
Clone Endowment Asset Allocations
Getting access to what the top asset allocation brains are thinking is easy-- "Google it." For example, I googled "yale endowment asset allocation filetype:pdf" and [...]
More Information=More Confidence=More Problems
Effects of amount of information on judgment accuracy and confidence Claire I. Tsai, Joshua Klayman, Reid Hastie A version of the paper can be found here. [...]
Are Stocks Expensive? Yes, but…
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Go Long…Make Money. Go Short…Make Money. All Good.
Limited Attention and the Earnings Announcement Returns of Past Stock Market Winners David Aboody, Reuven Lehavy, and Brett Trueman A version of the paper can [...]
Don’t Follow the Institutional Herds over the Long-Term?
Institutional Trade Persistence and Long-term Equity Returns Amil Dasgupta, Andrea Prat, and Michela Verardo A version of the paper can be found here. Want a summary [...]
Random Tactical Asset Allocation–A Gut Check!
I spend way too much time thinking about tactical asset allocation (TAA). I estimate we have tested around a 1000 perturbations of TAA models (maybe [...]
Follow the Trend AND the Sell-Side!
Large Price Changes and Subsequent Returns Suresh Govindaraj, Joshua Livnet, Pavel G. Savor, and Chen Zhao A version of the paper can be found here. Want [...]
Which Risk-Parity-Based Pension will Blow up First?
A real basic question: Is risk parity driven by the long-bond? Yes. Another real basic question: Which pension following risk parity will blow up first? [...]
Insider Trading via Sell-Side Analysts? Welcome to the Jungle!
Tipping Paul Irvine, Marc Lipson, and Andy Puckett A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
More Thoughts on Investing in Gold–includes chart porn!
We've chattered a bit on gold recently: https://alphaarchitect.com/2013/03/thinking-about-gold-investments/ Cam Harvey and Claude Erb have chattered a lot more on gold: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2078535 http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2148691 We went ahead [...]
Dean Williams: Maybe you’re “Trying Too Hard”
Matt Zuck, a Turnkey Analyst reader and long-time investment professional, sent a wonderful speech by Dean Williams (with notes and all!). The speech is 30+ [...]
Graham Quantitative Value Tool–New FREE Feature
Our goal is to democratize quant and help retail investors utilize quantitative tools to make better investment decisions. To this end, we have added our [...]
Straddle Earnings Announcements and Win!
Anticipating Uncertainty: Straddles Around Earnings Announcements Yuhang Xing and Xiaoyan Zhang A version of the paper can be found here. Want a summary of academic papers [...]
Private Equity–Where Has All the Alpha Gone?
Limited Partner Performance and the Maturing of the Private Equity Industry Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach A version of the paper [...]
Troy Shu is the man: A Free TAA Tool!
I've followed Troy's blog for a while now--it is excellent! http://troyshu.wordpress.com/2013/02/24/adaptivwealth-the-new-web-app-that-i-made-to-bring-adaptive-asset-allocation-to-the-masses/ Troy is a student at my alma mater--The University of Pennsylvania--so I am naturally [...]