DIY Asset Allocation Weights: August 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Relative Skewness: A New Risk Factor?
Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Reducing Estimation Error in Mean-Variance Optimization
Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari LevineWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of [...]
Market Return Around the Clock
Market Return Around the Clock: A Puzzle Oleg Bondarenko and Dmitriy MuravyevWorking PaperA version of this paper can be found hereWant to read our summaries of [...]
DIY Asset Allocation Weights: July 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Do Interest Rates Explain Value’s Underperformance?
From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks [...]
DIY Asset Allocation Weights: June 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Tactically Adjusting Everything in a Financial Crisis? Bad Idea.
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here [...]
DIY Asset Allocation Weights: May 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
How Cheap (or Expensive) Are Value Stocks?
What are the two most annoying words in forecasting? IT DEPENDS. In this piece we look at the "value" of value, which has been beaten [...]
The Economic Consequences of Pandemics: A Guide from History
Pandemics: Long-Run Effects Òscar Jordà, Sanjay R. Singh, Alan M. TaylorCEPR PressA version of this paper can be found here Want to read our summaries of academic finance [...]
DIY Asset Allocation Weights: April 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
An Empirical Challenge for Trend-Following
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify [...]
What to Do When Alpha Becomes Beta
Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read [...]
DIY Asset Allocation Weights: March 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Smart Money Indicator Rebuttal
In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the [...]
DIY Asset Allocation Weights: February 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Forecasting US Equity Market Returns with Machine Learning
Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng [...]
Quant Tools for Private Equity and Real Assets
The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries [...]
DIY Asset Allocation Weights: December 2019
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]