October 1987 crash in the coming months?
The chart looks scary... Green : 11/01/2012 to 7/29/2013 (despite the fact the chart says 8/29/2013--technical detail to get the chart to match up on [...]
Quant Robots Draw Blood and the “Human Touch” Bias
It is hard enough to let a computer take control of your investment decisions. I think there is an innate comfort to human interaction. Let's [...]
SAC Capital Advisors: What You See is All There Is
The Justice Department filed criminal charges yesterday against SAC Capital Advisors, accusing the multi-billion dollar hedge fund of securities and wire fraud. What's interesting is [...]
Apple moves Higher–Quant Value Pleasure!
On July 19th we highlighted the quant value pain associated with Microsoft. Today we have some good news from a quantitative value type stock--Apple! A low [...]
Risk Parity Rebuttal
Risk Parity in a Rising Rates Regime Rob Croce, Rusty Guinn, and Lee Partridge A version of the paper can be found here. Want a summary [...]
Please admit me to Stock-Pickers Anonymous!!!
I'll admit it--I spent 10+ years trading penny stock special situations trying to squeeze a booger out of George Washington's nose on any quarter I [...]
Momentum has Serious Mojo!
212 Years of Price Momentum (The World's Longest Backtest: 1801-2012) Geczy and Samonov A version of the paper can be found here. Want a summary of [...]
Combine the January Effect and Positive Yield Curve for Higher Returns?
Stock Strategies and the January Barometer and the Yield Curve Lichend Sun, Chris Stivers, and Ajay Kongera A version of the paper can be found here. [...]
Microsoft Blowout–Quant Value pain
Microsoft is the typical quantitative value type stock--low price, but evidence for a historic moat and great current financial strength. Today, MSFT face planted. But, [...]
Free Shareholder Yield Book!
Meb is selling his book for the ultra value price of $0--hit it! http://www.mebanefaber.com/2013/07/18/shareholder-yield-book-free-on-amazon/
Mining for Bitcoin: Ponzi Scheme, Future Reserve Currency or Something in Between?
As technology increasingly marginalizes the use of physical money, the rise of virtual currencies, as alternatives to national fiat currencies, is perhaps inevitable. And if [...]
S&P 500 and Emerging Markets–2013 and 1999
The MSCI Emerging Market Index is trailing the S&P 500 by 27.11% this year--wow! But in 1999, the MSCI Emerging Market Index was beating the [...]
Socially Irresponsible Investing–A Path to Profits?
Can it be Good to be Bad? Anders Karlen Sebastian Poulsen A version of the paper can be found here. Want a summary of academic papers [...]
Ben Bernanke as a GDP forecaster–UGLY!
Fed Chairman Ben Bernanke delivered his testimony on July 18, 2007. "Overall, the U.S. economy appears likely to expand at a moderate pace over the [...]
Payrolls, Bonds, and Gold–can someone figure this out?
Payrolls rose by 195,000 workers in June; much higher than expected... ...10 yr bond yield soars up to 2.70%, nearly a two-year high. Inflation and/or [...]
Gold and the Dollar
An interesting relationship: Thoughts?
Assessing which Risk Parity Funds Blew up
Back in March I posted about "Which Risk Parity Pension Will Blow Up First:" https://alphaarchitect.com/2013/03/which-risk-parity-based-pension-will-blow-up-first/ Now we can see where the pieces ended up: http://online.wsj.com/article/SB10001424127887323689204578572050047323638.html [...]
Taxes, Fees, and Liquidity–What Really Matters!
http://www.marketwatch.com/story/retirement-savers-its-not-too-late-for-stocks-2013-06-22 The real meat and potatoes: To be sure, investors are facing a world of low returns and higher than average volatility. And the traditional [...]
Trading the Equity/Future Spread
Dividend swaps as synthetic equity Joseph Clark A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Focusing on Yahoo Finance Too Much? That’s what the evidence says…
Online Search and Return Comovement Alvin Chung Man Leunga, Ashish Agarwala, Prabhudev Konanaa and Alok Kumar A version of the paper can be found here. Want [...]