Sorry for the clickbait, but Hoover Institute fellow and “Grumpy Economist" John Cochrane's answers to the seemingly benign question, "How should long-term investors form portfolios," is too important to both advisors and academics to overlook. [...]
I’m constantly hearing from financial advisors who are getting nowhere on LinkedIn, despite having invested considerable time and money. In this post, I'll provide some guidance on how to avoid sounding like the typical (boring) [...]
When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment [...]
This time is different. --John Templeton "This time is different," is a sentiment that leads many investors to stray from using data analysis in their investment decision process and more towards discretionary judgment. The logic [...]
I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and Stan Perlmeter. The research question I seek to address is [...]
I spent some time on Google, but could not ascertain the origins of the term fixed income. Presumably, it was created to describe investments where cash flows are dictated via a contractual obligation. A simple [...]
Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s problem. Below, we extend the discussion by walking through a [...]
Part 1: The End of Accounting This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital. The Factor Zoo As readers of Alpha Architect’s [...]
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 [...]
A few years ago, before launching our freedom-weighted emerging markets index, I was in a coffee shop where I overheard a group of students talking at the next table. They were anxious about an upcoming [...]
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, [...]
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 [...]
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”. [...]
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 [...]
“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, [...]
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 [...]
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 [...]
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 [...]
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 [...]
