Fixed Income when you’re Between a Rock and a Hard Place – Part 1/2
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 [...]
A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
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 [...]
Trend-Following Filters: Part 1/2
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 [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
“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 [...]
Buying Quality: Is the Juice Worth the Squeeze?
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 [...]
Using “Quality” to Separate Good and Bad Value Stocks
Trying to avoid value traps.
Building Factor Portfolios Based with the Lowest Correlations
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 [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
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 [...]
How To Design Machine Learning Models – A Market Timing Example
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 [...]
How to Optimize Fixed Annuity Tax Deferral
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 [...]
How to Measure and Understand Portfolio Tail Risk Events
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 [...]
An Introduction to Digital Signal Processing for Trend Following
Original: August, 2020 Updated: September, 2023 Overview Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical [...]
Planning Opportunities: Why Gift It, If You Can Loan It?
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 [...]
Market Return Around the Clock
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 [...]
Trading Costs Wipe Out the Overnight Return Anomaly
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 [...]
Foreign Dividend Withholding Tax Refunds: A Practical Walkthrough
The world of withholding tax recovery on foreign dividends and interest is woven with intricacies, challenges, and a general lack of transparency. This is mainly [...]
Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements [...]
Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging [...]
Dividends, Stock Prices, and Inflation.
Building on the concepts presented in my Dividends Are Different article, here we present data and observations highlighting the relationship between inflation and 1) company [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners