When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be [...]
Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity [...]
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]
In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or [...]
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to [...]
Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]
According to Christian mythology, the Holy Grail was the dish, plate or cup with miraculous powers that were used by Jesus at the Last Supper. [...]
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
We can define popularity as the condition of being admired, sought after, well-known, and/or accepted. One would think popularity is a good thing. However, when [...]
Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer, and Margaret StumppJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, [...]
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our [...]
Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a [...]
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
Investing in US 10-year Yields with News Sentiment Nina Gotthelf and Matthias W. UhlJournal of Investing, Winter 2018A version of this paper can be found hereWant to read [...]
Today, we are interviewing Perth Tolle, Founder and CEO of Life and Liberty Indexes, a provider of the world's first freedom-weighted Indices. I met Perth [...]
There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates [...]
Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high [...]
A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
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