Peter Hecht, Ph.D., a fellow Chicago Finance PhD, and vice president of Evanston Capital Management, recently posted an article introducing a practical solution for active portfolios return attribution: [...]
Over the past 10+ years I've cultivated a laundry list of websites associated with financial economics. My primary focus has been identifying sources for new ideas that [...]
Money Doctors Gennaioli, Shleifer, and Vishny (2015) A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
Our DO-IT-YOURSELF Investing Tool is Live! You can build your own stock selection and asset allocation models using our DIY Investing tools. How to Access the Tool? [...]
Our Asset Allocation Backtesting Tool is Live! You can build and backest your own asset allocation portfolio using our "Allocation Architect" tool. How to Access [...]
Our firm mission is to empower investors through education. One area of the marketplace where education is lacking is in the ETF, or exchange-traded-fund arena. [...]
Recently Discovered Research You Might Have Missed: And the Winner Is.... (Dual Momentum) Do Any Sector ETFs Reliably Lead or Lag the Market? (CXO Advisory) [...]
Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since [...]
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 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 [...]
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 [...]
Uncle Sam and affiliates have the greatest fee structure in the world: 23.8% to 43.40%+ carried interest, or a "performance" fee on all positive performance: [...]
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.
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.
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 [...]
Have you ever wondered how ETF trading actually works? Most people think ETFs trade "just like stocks." These people are wrong. While there are similarities between individual [...]
Quant Blogs Check Out List Last week, we shared bunch lists of Quant Blogs from TheWholeStreet.com (Click here). The full list contains over 100 blogs, [...]
Benjamin Graham, who first established the idea of purchasing stocks at a discount to their intrinsic value more than 80 years ago, is known today as the father of value investing. Since Graham’s time, academic research has shown that low price to fundamentals stocks have historically outperformed the market. In the investing world, Graham’s most famous student, Warren Buffett, has inspired legions of investors to adopt the value philosophy. Despite the widespread knowledge that value investing generates higher returns over the long-haul, value-based strategies continue to outperform the market. How is this possible? The answer relates to a fundamental truth: human beings behave irrationally. We are influenced by an evolutionary history that preserved traits fitted for keeping us alive in the jungle, not for optimizing our portfolio decision-making ability. While we will never eliminate our subconscious biases, we can minimize their effects by employing quantitative tools.
We've had a few questions related to 3-Factor Fama-French and 1-Factor (CAPM) alpha calculations recently (maybe it is midterm season?). Here is a deeper dive [...]
A short discussion I had with Sam Lee over at Morningstar. Transcript below: Sam Lee: Hi, I'm Sam Lee, ETF strategist with Morningstar, here at theMorningstar [...]
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