DIY Trend-Following Allocations: August 2023
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Social Media and Inequality in Venture Capital Funding
The article aims to examine the role of social media in venture capital financing, its impact on disparities faced by underrepresented groups, and the mechanisms through which social media usage can facilitate venture capital funding.
Conditioning anomalies using retail attention metrics
By using a novel measure of investor attention, generated from InvestingChannel’s clickstream data on online financial news consumption, we can identify broad groups of stocks which are less efficiently priced and therefore where anomalies such as Value and Momentum are likely to produce greater cross sectional differentiation in returns. We also apply these groupings to proprietary ExtractAlpha stock selection signals.
Regression is a tool that can turn you into a fool
Running regressions on past returns is a great tool for academic researchers who understand this approach's nuance, assumptions, pitfalls, and limitations. However, when factor regressions become part of a sales effort and/or are put in the hands of investors/advisors/DIYers, "the tool can quickly turn you into a fool."
Female execs bring more accuracy to analysts’ earnings forecasts
The results of this research extend the literature in a number of areas including: the analyst forecast literature; the literature on behavioral accounting and finance with respect to corporate decision-making all in the context of gender; and the dominant role of the CEO on information transparency.
Reducing the Risk of Momentum Crashes
The empirical research demonstrates that, on average, investing in previous winners and short selling previous losers offers highly significant returns that other common risk factors cannot explain. However, momentum also displays huge tail risk, as there are short but persistent periods of highly negative returns. Crashes occur particularly in reversals from bear markets when the momentum portfolio displays a negative market beta and momentum volatility is high.
March for the Fallen 2023: Detailed Logistics Outline and What to Expect
This is going to be an incredible experience and I’m looking forward to hearing a ton of stories over our 28 miles. Sometime during the weekend please find me and introduce yourself. I’m looking forward to meeting everyone.
Does investing in a more concentrated fund result in better performance?
This study explores the degree to which fund concentration (high tracking error) affects the magnitude of excess returns and whether or not the likelihood of outperformance or underperformance are distributed similarly.
Are Sustainable Investors Compensated Adequately?
Academic research has demonstrated that the higher risk associated with less sustainable firms should be compensated by higher returns. It also has shown that more sustainable firms have less investment risk.
Global Factor Performance: July 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
Managerial Multitasking in the Mutual Fund Industry
The article aims to explore the relationship between multitasking and performance for mutual fund managers, investigate the potential mechanisms and factors influencing this relationship, and provide insights for fund companies and investors regarding the implications of multitasking on fund performance.
And the Winner Is: Examining Alternative Value Metrics
Although the most efficient way to implement a value strategy may need to be clarified, it is clear that value has withstood the test of time and that some implementations are superior to others. The evidence suggests that P/B is not an efficient metric as a standalone criteria. Instead, value strategies that use P/B should include at least a measure of profitability while managing sector - and security-level diversification.
DIY Trend-Following Allocations: July 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
The Gender Gap Among Top Business Executives
The article aims to provide insights into the gender gaps in executive employment and compensation, explore the role of corporate culture and temporal flexibility in these gaps, and understand the factors influencing gender differences in entry, exit, and pay among top business executives.
Diving Into the Performance of Factors
Researchers have raised questions and led to research into how many factors are needed, the replicability of originally reported results, and the decay of factor performance over time.
Where Large Language Models and Finance Meet
BloombergGPT is a large language model (LLM) developed specifically for financial tasks. The authors trained the LLM on a large body of financial textual data, evaluated it on several financial language processing tasks and found it performed at a significantly higher level than several other state-of-the-art LLMs.
Intangible Value: Modernizing the Factor Portfolio
The “Intangible Value Factor” (IHML) can play an additive role in factor portfolios alongside the established market, size, value, quality, and momentum factors. This Six-Factor Model avoids the problematic “anti-innovation” bias of traditional factor portfolios and can be easily implemented using ETFs.
Fundamentals and the Attenuation of Anomalies
The article aims to explore the possibility that changes in fundamentals play a role in the attenuation of stock market anomalies, offering an alternative explanation to the prevailing arbitrage-based explanation
Improving Performance by Avoiding Negatives of Index Replication
There are several significant, well-documented benefits of index funds. In addition to outperforming a large majority of actively managed funds, they tend to have low fees, low turnover (resulting in low trading costs and high tax efficiency), broad diversification, high liquidity, and near-zero tracking error (generally assumed to mean that they incur negligible trading costs).
Long-Only Value Investing: Size Doesn’t Matter!
Summary: no difference in average returns between large-cap and small-cap portfolios. There you have it. The small-cap sacred cow has been slaughtered.