Guest Posts

A Quantitative Strategy for Enhancing Merger Arbitrage

By |2018-01-25T21:31:25-04:00January 25th, 2018|Research Insights, Guest Posts|

Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, shares of the target tend to trade below the offered [...]

Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?

By |2018-01-19T17:34:43-04:00January 19th, 2018|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research|

 Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architect's take AQR's take [...]

The Value Effect and Macroeconomic Risk

By |2018-01-09T09:26:25-04:00January 9th, 2018|Research Insights, Larry Swedroe, Guest Posts, Value Investing Research|

It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of that premium: Is it risk-based or is it related to [...]

Myth Busting: Stocks Correlations and Active Investment Opportunities

By |2017-11-29T08:55:30-04:00November 29th, 2017|Guest Posts|

Many investors, investment professionals, and pundits make comments regarding the relationship between stock correlations and opportunities for active stock pickers. For example, here is a recent example from the Financial Times: Correlation crash clears way [...]

Can asset bubbles be mathematically quantified before they burst?

By |2017-11-13T13:08:42-04:00November 14th, 2017|Research Insights, Guest Posts, Low Volatility Investing, Macroeconomics Research|

The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market maker for Susquehanna International Group ("SIG"), extreme price movements were a daily source of concern. I [...]

A Potential Winner: Buying Lottery Stocks with Low Short Interest

By |2017-10-19T09:12:40-04:00October 20th, 2017|Research Insights, Guest Posts, Academic Research Insight|

Short Interest and Lottery Stocks Kelley Bergsma & Jitendra Tayal A version of this paper can be found here Want to read our short summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]

Dividend Capture Strategy: Trade Execution Matters

By |2017-10-09T20:38:51-04:00October 12th, 2017|Research Insights, Guest Posts, $dtd|

One area in investing that is often overlooked by investors is trade execution, which relates primarily to commissions, bid-ask spreads, and price impact. Yet sometimes it is trade-execution alone that can make the difference between [...]

Assessing the Potential Market Impact of Passive, Short-volatility, and Low-volatility Strategies

By |2017-09-29T11:59:50-04:00September 29th, 2017|Research Insights, Guest Posts, Active and Passive Investing, ETF Investing|

The market has recently experienced record low levels of realized volatility and the VIX™ (volatility index) has fallen to historic lows. Moreover, the incredibly popular FAAMG stocks[ref]FAAMG is an abbreviation referring to the stocks of [...]

Machine Learning for Investors: A Primer

By |2017-10-05T11:14:33-04:00September 27th, 2017|Research Insights, Guest Posts, Machine Learning|

If you are out to describe the truth, leave elegance to the tailor. — Albert Einstein Machine learning is everywhere now, from self-driving cars to Siri and Google Translate, to news recommendation systems and, of [...]

Factor Timing Investigation: Interest Rates, Value Spreads, and Factor Premiums

By |2017-09-22T09:34:38-04:00September 22nd, 2017|Research Insights, Factor Investing, Larry Swedroe, Guest Posts|

Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By |2018-10-08T15:49:36-04:00August 13th, 2017|Trend Following, Trend-Following Course, Introduction Course, Guest Posts, Investor Education|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]

Volatility Premium, Covered Call Selling, and Knowing What You Own

By |2017-08-18T16:52:54-04:00August 8th, 2017|Research Insights, Guest Posts|

The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value and Momentum Everywhere A Century of Evidence on Trend Following [...]

My “Repackaging” Pet Peeve: Do Other Advisors See This As Well?

By |2017-08-18T16:59:59-04:00July 27th, 2017|Guest Posts|

Like many advisors, I often find myself reviewing accounts and historical performance for clients and prospects with investments at other firms. Of course I see all the usual suspects like annuities, mutual funds with loads, [...]

Trend-Following with Valeriy Zakamulin: Types of Moving Averages (Part 2)

By |2018-10-08T15:49:38-04:00July 21st, 2017|Trend Following, Trend-Following Course, Introduction Course, Guest Posts, Investor Education|

In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages.

Elisabetta and Tommi Are Helping us Empower Investors Through Education

By |2017-08-18T17:05:28-04:00July 20th, 2017|Basilico and Johnsen, Guest Posts, Business Updates|

Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But we can't fulfill our mission alone. We need help and our two newest teammates, Elisabetta [...]

Trend-Following with Valeriy Zakamulin: Moving Average Basics (Part 1)

By |2018-10-08T15:49:39-04:00July 14th, 2017|Trend Following, Trend-Following Course, Introduction Course, Guest Posts, Investor Education|

One of the basic principles of technical analysis is that ``prices move in trends". Traders firmly believe that these trends can be identified in a timely manner and used to generate profits and limit losses. Consequently, trend following is the most widespread market timing strategy; it tries to jump on a trend and ride it. Specifically, when stock prices are trending upward (downward), it's time to buy (sell) the stock. Even though trend following is very simple in concept, its practical realization is complicated. One of the major difficulties is that stock prices fluctuate wildly due to imbalances between supply and demand and due to constant arrival of new information about company fundamentals. These up-and-down fluctuations make it hard to identify turning points in a trend. Moving averages are used to ``smooth" the stock price in order to highlight the underlying trend.

Tactical Asset Allocation: Does the Day of the Month Matter?

By |2017-08-18T16:56:14-04:00June 29th, 2017|Guest Posts, Tactical Asset Allocation Research|

Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces [...]

Academic Research Insight: The Value of Crowsourced Earnings Forecasts

By |2018-02-20T07:42:13-04:00June 26th, 2017|Basilico and Johnsen, Guest Posts, Academic Research Insight|

Title: THE VALUE OF CROWDSOURCED EARNINGS FORECASTS Authors:  RUSSELL JAME, RICK JOHNSTON, STANIMIR MARKOV, AND MICHAEL C. WOLFE Publication: JOURNAL OF ACCOUNTING RESEARCH, SEPTEMBER 2016 (version here) What are the research questions? Are crowdsourced earnings forecasts from a [...]

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