How Leverage Constraints Effect Mutual Fund Risk Taking
The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies [...]
What’s in Your Benchmark?
What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of [...]
Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence
Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can [...]
Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices
Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management [...]
Looking at Alternatives? Avoid Complexity and Magical Backtests
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper [...]
Macro Conditions May Enhance Short-term Predictability of the Shiller P/E
King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version [...]
The Carry Factor and Global Risks
The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets — it is a cousin to the value factor, [...]
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 [...]
An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges
Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read [...]
A Q&A Discussion with Vanguard Researchers on the “Fair Value CAPE Ratio”
As everyone who's been invested for the last ten years knows, post-financial crisis stock returns have been incredible. The chart below highlights the total returns [...]
Finance Journals Rarely Publish Articles with low T-stats
Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper [...]
Investment Performance of Female CEOs
Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our [...]
Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.
Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be [...]
Artificial Intelligence and Value Investing
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries [...]
#Women in Finance Know Stuff: A Conversation with Lauren Simmons
After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, [...]
For Consistency Across Market Conditions, Try a Quant Manager
The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper [...]
Financial Constraints Generate a 6.5% 5-Factor Fama-French Alpha?
Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here [...]
Fund of Funds Selection of Mutual Funds: Are Managers Skilled At It?
Fund of Funds Selection of Mutual Funds Edwin Elton, Martin Gruber and Andre de SouzaCritical Finance Review, forthcomingA version of this paper can be found hereWant to [...]
A Smarter CAPE Ratio to Better Forecast Expected Stock Returns
Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of [...]
Commodities for the Long Run
Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here [...]