The “hot hand” in basketball. New evidence!
For years, the "hot hand" in basketball has been declared a "fallacy." To be clear, the "hot hand" argument is that basketball players have streaks, where [...]
The Power of Term-Term Compounding: Evidence from Ben Franklin’s Trusts
Back in 1790, Ben Franklin created his Last Will and Testament, and set forth his wishes for the disposition of his property: …I devote two [...]
A Glimpse of the Financial Entrepreneurs of the future
This last quarter I taught an advanced seminar at Drexel University (Finance 698). I love running my seminar for the following reasons: I get to meet new [...]
Who Wants to Work for a Family Office?
We're helping out some friends at a large Family Office in New York City who are looking for a teammate to build out a new [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks) (Geczy and [...]
Did Ben Graham Value Investing Work in the Recent Bull Market?
Forbes outlines one of Ben Graham's basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the [...]
The Risks of Owning an Individual Stock
How risky is it to buy an individual stock? This is a question investors should ask themselves when deciding to buy a single stock. However, many [...]
Daily Academic Alpha: Which Trend if Your Friend?
Which Trend Is Your Friend? Managed-futures funds (sometimes called CTAs) trade predominantly on trends. There are several ways of identifying trends, either using heuristics or [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Post-discovery Performance: Will Anomalies Fade Away After Discovery? (Qu, Lu, Sun and Yan) The Search for Crisis [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: The Five-Factor Fama-French Model: International Evidence (Nusret Cakici) Doubt on Five-Factor Fama-French Model: Is it Just in [...]
Daily Academic Alpha: Dude, Where’s my Alpha?
Seeking Alpha? It's a Bad Guideline for Portfolio Optimization Alpha is the most popular measure for evaluating the performance of both individual assets and funds. [...]
How to Combine Value Investing and Momentum Investing (Part 2/2)
We find that sorting stocks on value and then momentum has been a historically successful strategy. However, sorting stocks on value and then quality, which is inline with a fundamental value philosophy, works just as well, if not better. We hypothesize that the "momentum" effect identified within the cheap stocks bucket, is really a proxy for strong fundamentals and positive operational momentum among the cheapest, highest quality value stocks. Our preference--based on empirical and philosophical grounds--is to go with a more "pure" value philosophy that focuses on buying the cheapest, highest quality value stocks, as opposed to a muddled value approach that buys the cheapest, highest momentum value stocks.
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Deactivating Active Shares (Frazzini, Friedman and Pomorski) Is Being Different Better? Dispersion and Active Management (The [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: Asset Allocation: Is it better to allocate portfolios to factors rather than to assets? (Cocoma, Czasonis, and [...]
Daily Academic Alpha: Out-of-Sample Testing
Quantitative Value: Seeking Excess Returns on the Stock Market The objective of this thesis is to develop and back-test an investment strategy created by professors [...]
Quant Geek Weekend Academic Finance Research Homework
Recently Discovered Academic Finance Research You Might Have Missed: Understanding Dual, Relative, and Absolute Momentum (Gary Antonacci) Long-short Strategy Simulation based on Front-Page Articles in the [...]
Daily Academic Alpha: Pension Fund Lemmings
The Market for Lemmings: Is the Investment Behavior of Pension Funds Stabilizing or Destabilizing? Pension funds are large institutional investors, and yet very little is [...]
The Impossible Sale: An S&P 500 Index Funds at 60bps with a 3% Sales Load
Got a great story on an S&P 500 index fund that you won't believe. Consider a S&P 500 Index Fund with $2B in assets that charges a [...]
Daily Academic Alpha: Financial Crisis Theory
Lending Booms, Smart Bankers and Financial Crises This paper develops a theory that explains why financial crises follow profitable lending booms. When agents exhibit the [...]
Quant Geek Weekend Finance Homework
Recently Discovered Research You Might Have Missed: Back test a set of trading rules from 1870 to 2010 (Zakamulin) A comparison of investor sentiment indicators (The [...]