Is Financial Advice Conflicted…Or is it Simply Misguided?
The Misguided Beliefs of Financial Advisers Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero Kelley School of Business Research Paper No. 18-9 A version of [...]
Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments
If you have a large "low-basis stock problem," or an "embedded capital gain problem," the Opportunity Zone (OZ) program could possibly be the single largest [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]
Illustrating the Value of Retirement Accounts
What do most people consider to be the biggest benefit of retirement accounts? Many investors and advisors will say, "tax deferral." But a recent article (pdf [...]
Warning: Stock and Bond Correlation Assumptions are Regime Dependent!
It ain't what you don't know that gets you into trouble. It's what you know for sure that just ain't so. -- attributed to Mark [...]
What to do with Underperforming Investments? Assessment via Bayesian Inference
Assume you made a decision to invest in an active strategy based on, say, a backtest of the underlying process (to be clear, active means NOT [...]
Value Investing Portfolios are Not Dead, But Some Have Done Better than Others
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
Quantifying the Value of Retirement Accounts
Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when [...]
Tail Risk Hedging: An Alternative Approach to Risk Management
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant [...]
Who’s Afraid of a Big Bad Bear? Many Investors Shouldn’t be that Concerned
Watching stock prices drop quickly can be terrifying. In late January, every big decline in stock prices was greeted with lots of media coverage, cable [...]
Are Factors Better and More Diversifying Than Asset Classes?
Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low [...]
Value and Momentum Factors in Fixed Income
Smart beta (or factor investing) seems to be the product du jour in ETFs. There are so many different factor products available that just about [...]
A Quantitative Strategy for Enhancing Merger Arbitrage
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, [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
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 Value Effect and Macroeconomic Risk
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 [...]
Stock Misplacement in Sized-Based Indices
There has been much discussion of the small-cap premium recently. Has its popularity cannibalized its utility? Are large firms preventing a level playing field? Will [...]
Myth Busting: Stocks Correlations and Active Investment Opportunities
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 [...]
A Potential Winner: Buying Lottery Stocks with Low Short Interest
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 [...]
Dividend Capture Strategy: Trade Execution Matters
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 [...]
Assessing the Potential Market Impact of Passive, Short-volatility, and Low-volatility Strategies
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 [...]