Even Great Investments Experience Massive Drawdowns
Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through [...]
Value Investing: An Examination of the 1,000 Largest Firms
Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relatively cheaper on price/fundamental ratios. Is Value investing dead? The [...]
Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns
When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper [...]
An Introduction to Digital Signal Processing for Trend Following
Original: August, 2020 Updated: March, 2025 Overview Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical [...]
What is Sequence Risk and Can Trend Following Help Reduce It?
Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of [...]
Cross-Asset Signals and Time-Series Momentum
In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse [...]
DIY Asset Allocation Weights: August 2020
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
CEOs Formative Years and the Gender Gap
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A [...]
Is Systematic Value Dead???
Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor.Ronen Israel, Kristoffer Laursen, Scott A. Richardson in [...]
Relative Skewness: A New Risk Factor?
Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Fundamental Momentum, the Carry Trade, and Currency Returns
Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same [...]
What is Impact Investing?
Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our [...]
Planning Opportunities: Why Gift It, If You Can Loan It?
The coincidence of historically low-interest rates and the increased gift tax exemption under the 2017 Tax Cuts and Jobs Act has temporarily created an opportunity for high net worth families to tax-efficiently transfer [...]
Left Tail Risk and Left Tail Momentum
The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk [...]
Reducing Estimation Error in Mean-Variance Optimization
Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari LevineWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of [...]
Do Treasuries Have a Place in a Modern Portfolio?
Do treasuries, most yielding well south of 1%, have a place in a modern portfolio? Currently at these levels, I conclude they don’t. Modern Portfolio [...]
March for the Fallen 2020: Sign-Up for The Virtual Version!
We are going to help make March for the Fallen a virtual event this year (September 26, 2020 at 8am). COVID is bad news, but [...]
Market Return Around the Clock
Market Return Around the Clock: A Puzzle Oleg Bondarenko and Dmitriy MuravyevWorking PaperA version of this paper can be found hereWant to read our summaries of [...]
Board Diversity: When Will We Break Through the Glass Ceiling?
Board leadership positions elude diverse directors Laura Casares Field, Matthew Souther, and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found [...]
Combining Momentum with Long-Term Reversal
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the [...]