Should Diamonds be in Your Portfolio?
The Return Characteristics of Diamonds Kenneth Small, Jeffrey Smith, and Erika Engel Small A version of the paper can be found here. Want a summary of [...]
Improving Commodity Strategies with Momentum and Term Structure
Tactical allocation in commodity futures markets: Combining momentum and term structure signals Ana-Maria Fuertes, Joelle Miffre, and Georgios Rallis A version of the paper can [...]
Do Speculators Create Buying Opportunities?
Stock Duration and Misvaluation Martijn Cremers, Ankur Pareek, and Zacharias Sautner A version of the paper can be found here. Abstract: We study whether the presence [...]
Correlation-Based Allocation Review
Sanz Prophet has a very detailed and interesting review of an idea we proposed recently: Correlation-Based Allocation. We propose a model that is designed to [...]
Short Selling Bans Generally Don’t Work!
Public Service Announcement: To all the free-market pro-competition haters of the world that believe government regulation solves all our problems, please read the following paper. Short-Selling [...]
Quantitative Value is now available on Kindle–finally!
Sorry about the delay!
Herbalife (HLF): Is it a Fraud? Not likely.
Herbalife is currently a highly debated stock. On one side you have Bill Ackman claiming the firm is a ponzi scheme. On the other side [...]
Reviews of Volatility-Based Allocation
My research team at Empiritrage, LLC posted an interesting idea--very new and in need of further R&D--on volatility-based allocation: When Empiritrage released the initial report [...]
Simple Models Beat Experts: Even in Investment!
One of the more fascinating findings from psychology research is the empirical finding that simple models often beat experts. In other words, insights from your [...]
Flexible Asset Allocation
Generalized Momentum and Flexible Asset Allocation (FAA) An Heuristic Approach Wouter J. Keller and Hugo S.van Putten A recent version of the paper can be [...]
Merry Christmas with Mean-Variance-Analysis
We are going to try and post a video once every month. The intent is to democratize quant and train our audience to harness basic [...]
Projected 15-year S&P 500 Returns
Prediction stock market returns--a fascinating concept. A true magical talent. Of course, we've put some of our brainpower (a limited resource!) on the subject [...]
News and Google Hits: A Path to 20% Alpha?
Media and Google: The Impact of Information Supply and Demand on Stock Returns by Yanbo Wang Yanbo identifies information into two buckets: News releases (supply) and [...]
CEO Voice Pitch–Deeper Voice; deeper pockets
Just when you thought academics were not wasting their time doing incredibly useless research, along comes this intriguing research: Voice Pitch Predicts Labor Market Success [...]
Low Beta/Vol Outperformance
There are many blogs/funds/research promoting low beta stocks as a way to get rich: A blog example --Falken A fund example --AQR Defensive Fund A [...]
Tactical Asset Allocation Series: Part 3 (Equal-Weight with Moving Averages)
This is the third part in our series on tactical asset allocation. In the series we highlight the equal-weight with moving average tactical asset allocation [...]
Predicted 10-Year returns from the Shiller P/E
A quick update on the Shiller P/E predictions--been a slew of articles/research on this recently: CXO Advisory Summary http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172164 We've written fairly extensively on the [...]
Make 24bps a week trading skewness?
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Tactical Asset Allocation Series: Part 2 (Equal-Weight)
This is the second part in our series on tactical asset allocation. Our initial pieces outlined the basics of tactical asset allocation and offered some [...]
Dividing Value into “Priced” and “Mispriced”
Gerakos and Linnainmaa have a new paper out: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2083166 and http://www.asb.unsw.edu.au/schools/bankingandfinance/Documents/J.Gerakos,%20J.T.%20Linnainmaa%20-%20The%20Unpriced%20Side%20of%20Value.pdf Here is code to perform the decomposition: http://faculty.chicagobooth.edu/juhani.linnainmaa/ValueDecomposition.do Summary Book-to-market (BE/ME) ratios explain variation [...]