Profiting from Bust Pension Funds?
Pension Plan Funding and Stock Market Efficiency Francesco Franzoni and Jose M. Marin A version of the paper can be found here. Want a summary of [...]
No Real Fear in this Market–Yet…
Pretty ugly across the Core 6 asset classes: Domestic Equity Emerging Equity Developed Equity REITs Bonds Commodities No real fear out there. VIX up a [...]
Aleph Blog Book Review
We post all reviews we come across on the web (let us know if we are missing any): https://alphaarchitect.com/reviews/ A recent review caught my attention: [...]
Pairs Trading Kicks Butt!
Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst A version of the paper can be found here. [...]
Woodstock for Finance Geeks
I'll be in Lake Tahoe from June 17-19th soaking in the latest and greatest in finance research. If you are in the area, let me [...]
Quantitative Value Video Snippet
[youtube url="http://youtu.be/lG_064_XvfY"]
Why aren’t you a slave to an algorithm?
http://www.aeonmagazine.com/world-views/steven-poole-can-algorithms-ever-take-over-from-humans/ A great article by Steven Poole. He highlights what Turnkey readers are slowing learning via our Models vs. Experts series: Speaking to the evidence [...]
Cheap Stocks Win…EVERYWHERE
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Simple Moving Averages vs. Exponential Moving Averages
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
Market Reaction to Missed ADP
ADP looks ugly relative to consensus: Bonds rally; commodities weaken; the rest of the bunch blow up.
Picking Managers Based on the FACTS
Used car salesmen are everywhere -- including the asset management business. My experience working with family offices in the dual role of consultant and investment [...]
Japanese Bond Yields Spike!! Successful Abenomics or the Beginning of the End?
It appears Japanese monetary policy is beginning to resemble Kabuki. Kabuki is a form of Japanese theater that involves stylized performances that can appear positively [...]
Do REITs blow up if interest rates spike?
Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]
Models vs. Experts #9: Diagnosing Acute Abdominal Pain
Computer-aided diagnosis of acute abdominal pain De Dombal, F. T., Leaper, D. J., Staniland, J. R., McCann, A. P., & Horrocks, J. C. British Medical [...]
Memorial Day–A reminder that finance is just a game…
Memorial Day is a sobering and humbling day for me. I had the privilege to serve in the United States Marine Corps with young men and women [...]
Models vs. Experts #8: Graduate School Admissions
A case study of graduate admissions: Application of three principles of human decision making Dawes, R. M. American Psychologist, 26, 180-188 An online version of [...]
SAC Capital and Justice
So you break the law, admit it, but because you're a billionaire you don't get in trouble this time (fluke event, of course), but promise [...]
Are Market Valuations too High?
There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words [...]
Models vs. Experts #7: Job Analysis
A comparison of holistic and decomposed judgment strategies in job analyses by job incumbents synthesis Cornelius, E. T., & Lyness, K. S. Journal of Applied [...]
Complexity ==> Confusion and Dysfunction
A heartwarming paragraph from a paper I'm reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can [...]