Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities. Full exposure to [...]
We did a summary post for the Wall Street Journal on an interesting new paper related to risk taking and your environment. http://blogs.wsj.com/experts/2016/04/04/parents-beware-your-children-will-invest-like-you-do/ Here is a link to the original paper and the abstract if [...]
Curse of the Benchmarks Vayano and Woolley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. h.t., J. Zaccardi. Abstract: Obsession with [...]
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Weight stays the same for all [...]
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: No exposure to domestic equities or international equities. [...]
Hi Friends/Readers, Good news: We've got some excess inventory of DIY Financial Advisor! We're selling 50 copies at the special price $9.99 + shipping. First come, first serve. Limit 3 copy per person. Click here to buy the [...]
Meb Faber's twitter feed is a great source to find new research ideas -- his followers are very curious. Today, someone asked about the P/E of mega-cap firms relative to the broader market. Yang fired [...]
A really interesting paper hit the NBER wires recently. The central argument of the paper is that "rock star" thought leaders dominate a field, but when they die, new thought leaders are able to emerge. [...]
Stock prices under pressure: How tax and interest rates drive seasonal variation in expected returns Kang, Pekkala, and et al. A version of the paper can be found here. Want a summary of academic papers [...]
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities and [...]
An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo -- Liquidity as well...size, not so much. But size only matters [...]
Having been a full-time academic financial economist in a former life (still dabble, when able), I became accustomed to my annual pilgrimage to the annual American Finance Association (AFA) meeting. For the uninitiated, the AFA annual meeting [...]
Kewei Hou and Roger Loh have a fun paper on the idiosyncratic volatility puzzle, which is set to be published in the Journal of Financial Economics. The idiosyncratic volatility puzzle is associated with the empirical [...]
Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so much we considered it one of our Top 5 Geeky, [...]
Ben Carlson had a great post on Sunday, covering a part of an interview with Cliff Asness in which he discusses a key difference between academic and a practitioner approaches. I wanted to focus on [...]
I'll be discussing robo-advisors tomorrow via an Interactive Brokers webinar. Details below: Wednesday, October 28, 2015 12:00 pm, Eastern Daylight Time (New York) Event Number: 718 610 108 Event Entrance for Attendees: https://interactivebrokers.webex.com/interactivebrokers/onstage/g.php?MTID=e42f3112554c5252697cdfe5d84c3a880 Teleconference: Call-in [...]
Financial market unicorns are the magical market elves that grind out eye-popping compound annual returns for multiple years and with limited volatility. I'm sure you've heard the pitch: XYZ made 30% returns after 2/20 fees for [...]
Ray Dalio, famous for running Bridgewater, the world's largest hedge fund, is famous for mocking the growth in the hedge fund industry: There are about 8,000 planes in the air and 100 really good pilots. [...]
Warren Buffett make it clear why frequent trading damages one's wealth: "Wall Street makes its money on activity. You make your money on inactivity." (source) But is activity always a bad thing? Implicit in Buffett's [...]
According to the latest Global Business Outlook survey jointly conducted by Duke University and CFO magazine, 55% of U.S. companies say they think the stock market is overvalued, while only 6% of them think the stock market is [...]