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 [...]
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 [...]
Time Series Momentum: Theory and Evidence
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications Valeriy Zakamulin and Javier GinerWorking paper, University of Agder and University of [...]
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 [...]
Free Tool Announcement: Visualizing Unemployment Claims
Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us [...]
Academic Finance Research Galore. WFA Sessions Announced
Attention all finance geeks. The latest and greatest from academic researchers is available for all to review. The WFA recently released their sessions. WFA is [...]
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 to Compute Active Share
In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start [...]
Attention Data Geeks: Our Factor Investing Data Library is Open
Are you doing independent factor research? Have you spent countless hours on Ken French's website? Do you run factor regressions for "fun"? Congrats -- you [...]
Daily vs. Monthly Trend-Following Rules…Plus Some DIY Tools!
Trend-following strategies are a lot like stock-picking strategies -- there are endless approaches and varying levels of complexity. In this short piece, we explore the [...]
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 [...]
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 [...]
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 [...]
Visualization Sector Trends with R Code
Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha [...]
Top 5 Most Interesting Papers from the Annual Finance Geek Fest
The American Finance Association Annual Meetings have now come and gone (here is information on the broader conference). The conference was in sunny San Diego this [...]
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 [...]
DIY Asset Allocation Weights: November 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 [...]
DIY Asset Allocation Weights: October 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 [...]
Do Investors Focus Too Much on Price-Only Returns?
Reconsidering Returns Samuel M Hartzmark, David H. SolomonA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
DIY Asset Allocation Weights: September 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 [...]