What happens when the intern makes your slide deck
and by "intern" I mean Chief Investment Officer.
Quantcon 2016 in NYC — Stop by and say hello!
If you're attending Quantcon this year be sure to say hello.
DIY Asset Allocation Weights: April 2016
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 [...]
New WSJ Post: On the origins of risk taking
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 [...]
Have benchmarks made us bad active investors?
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 [...]
DIY Asset Allocation Weights: March 2016
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 [...]
DIY Asset Allocation Weights: February 2016
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 [...]
DIY Financial Advisor for $9.99 – Limited Supply Offer (50 books)
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, [...]
Mega-Cap Valuations Relative to the Broader Market
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 [...]
Does Science Advance One Funeral at a Time?
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 [...]
Interest Rates, Tax-Selling, and Stock Return Seasonality
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 [...]
DIY Asset Allocation Weights: January 2016
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 [...]
Daily Academic Alpha: Value and Momentum in Vietnam
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 [...]
Great Academic Research is Bursting at the Seams
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 [...]
Daily Academic Alpha: Solving the Idiosyncratic Volatility Puzzle
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 [...]
An interesting look at the size anomaly
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 [...]
Cliff Asness Talks Time Dilation and Its Effects On Investing Decisions
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 [...]
Robo-Advisor Webinar Tomorrow: Oct. 28 at 12pm EST
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: [...]
Don’t believe in financial market unicorns.
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 [...]
Hey Ray Dalio, there are MORE than 8,000 pilots!
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 [...]