Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
Global Low Volatility and Momentum Factor Investing Portfolios
Betting on Boring Winners
“Price”, ETFs, and Bond Market Liquidity
Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public market balked at the price the private market (ok, manly [...]
The Case Against REIT’s
Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary or structural issues and are usually rated “Sell” by brokers, [...]
Timing Low Volatility with Factor Valuations
INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data availability as few market participants disclose their holdings as well [...]
Dividends are Different
There has been abundant discussion regarding the utility of dividends.Here are a few examples: dividends, dividends, and more dividends...and Jon See'ds piece on buybacks, if you'd like to go down that rabbit hole. Many [...]
Basel: Faulty
The Truth About the Panic of 2008 (And the Botched Regulatory Response) Ask 100 Americans what caused the 2008 financial crisis, and 99 will supply some version of the “Standard Narrative.” That is, they will [...]
Alternative Investments – A Field Manual
It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It's my hope that I can forewarn you of the [...]
The Perils (and Inevitability) of Forecasting
I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong). I better realize now [...]
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which is to be replied with "But rises again harder and [...]
Equity Compensation Planning in a TCJA World
Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a search for the best approach to managing your equity opens [...]
The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to conclude that value investing is dead. From 2009 through March [...]
Structuring Lower Risk Opportunity Zone Investments
The tax benefits of the new Opportunity Zone program are potentially phenomenal. However, when you dig into the details of the program you quickly realize that many of the investment options are typically higher-risk and [...]
Buyer Beware: The Reality of Tax-Loss Harvesting Benefits
Executive Summary • Tax loss harvesting is widely promoted, but we think the benefits are generally misunderstood and often overstated.a recent paper highlighted by Wes on twitter comes to a similar conclusion. Here is a [...]
Using Flexible Spending to Achieve Financial Goals
Financial planning and specifically portfolio "safe" withdrawal rates are often viewed and analyzed from the perspective of rigid rules that can't be broken - i.e., you will take an inflation adjusted 4% of starting portfolio [...]
The Smart Money Indicator: A New Risk Management Tool
We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu YuanJournal of Financial EconomicsA version of this paper can be found here What are the research questions? China represents the world's second largest stock market [...]
Discipline: A Necessary Condition for Successful Investing
A good friend, Sherman Doll, related the following story. Sherman has been a two-line sport kite flier for years. While not a pro, he has learned a few tricks from observing the flying behavior of [...]
Warren Buffett is Wrong About Options (Except)
Warren Buffett sold long-dated, deep out of the money puts in the years leading up to the financial crisis. In his 2008 Annual Letter to Shareholders, he explained: I believe each contract we own was [...]