Market Timing Using Aggregate Equity Allocation Signals

By |April 29th, 2021|Research Insights, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without [...]

Trend-Following Filters – Part 3

By |April 8th, 2021|Research Insights, Trend Following, Guest Posts, Other Insights|

Introduction This is the third article in a series of three, the first two are available here and here. Those articles focus on examining from a digital signal processing (DSP) perspectiveFor background information on DSP, [...]

Fixed Income when you’re Between a Rock and a Hard Place – Part 1/2

By |March 31st, 2021|Research Insights, Factor Investing, Guest Posts, Other Insights, Fixed Income|

Figure 1: Investors are between a rock and a hard place.Source: Getty Images. Invesco. Investors are stuck between a rock and a hard place. On one hand, it is painful to buy bonds that deliver [...]

A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”

By |January 26th, 2021|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than their “current-asset value”, “a rough index of the liquidating value”. [...]

Trend-Following Filters: Part 1/2

By |December 29th, 2020|Empirical Methods, Research Insights, Trend Following, Guest Posts|

1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order to “buy low” and “sell high”. A trend is considered [...]

A Curious Combination: Momentum Investing, Tesla, and November 9th

By |December 23rd, 2020|Research Insights, Factor Investing, Guest Posts, Other Insights, Momentum Investing Research|

“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]

Buying Quality: Is the Juice Worth the Squeeze?

By |December 10th, 2020|Quality Investing, Research Insights, Factor Investing, Guest Posts, ETF Investing|

Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]

Building Factor Portfolios Based with the Lowest Correlations

By |October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.

By |October 8th, 2020|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]

How To Design Machine Learning Models – A Market Timing Example

By |September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

How to Optimize Fixed Annuity Tax Deferral

By |September 3rd, 2020|Financial Planning, Guest Posts, Tax Efficient Investing|

Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]

How to Measure and Understand Portfolio Tail Risk Events

By |August 27th, 2020|Crisis Alpha, Research Insights, Factor Investing, Guest Posts, Academic Research Insight|

Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

An Introduction to Digital Signal Processing for Trend Following

By |August 13th, 2020|Research Insights, Trend Following, Guest Posts|

Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other [...]

Planning Opportunities: Why Gift It, If You Can Loan It?

By |July 16th, 2020|Financial Planning, Research Insights, Guest Posts, Investment Advisor Education|

The coincidence of historically low-interest rates and the increased gift tax exemption under the 2017 Tax Cuts and Jobs Act has temporarily created an opportunity for high net worth families to tax-efficiently transfer wealth from generation to generation. Of course, families can use their [...]

Market Return Around the Clock

By |July 7th, 2020|Overnight Returns Research, Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

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 academic finance papers? Check out our Academic Research Insight category [...]

Trading Costs Wipe Out the Overnight Return Anomaly

By |June 16th, 2020|Overnight Returns Research, Research Insights, Guest Posts|

At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at the close of the market, then selling it at the [...]

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