DIY Asset Allocation Weights: July 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 [...]
Time Series Momentum: Theory and Evidence
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications Valeriy Zakamulin and Javier GinerWorking paper, University of Agder and University of [...]
How Trend Following Strategies Shape Return Distributions
Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our [...]
Value Factor Diversification: Is Quality Better Than Momentum?
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning [...]
ETF-prenuers: An Introduction to ETF White Label Services
Interested in starting an ETF? Interested in converting a managed account, hedge fund, or mutual fund into an ETF? Simply want to learn more about [...]
Can Statistics Actually Determine if Managers Have No Skill?
Campbell Harvey and Yan LiuJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Math Is Magic: A Weekend Brain Teaser
In the course of some research on costs and constraints on momentum strategies, I came across a couple of dueling talks by Wesley Gray and [...]
Do Option Prices Inform Stock Returns?
In perfectly efficient markets, option prices should not convey any new information or contribute to the price discovery of underlying assets. However, if markets are [...]
Trading Costs Wipe Out the Overnight Return Anomaly
At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at [...]
Order Flow Correlation May Imply Momentum Factor Crowding
Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper [...]
Monster Factor Correlation Chart
We recently added a monster correlation matrix to our factor library data sheet that maps out the correlation of all the factors against every other [...]
5 Surprising Things We Learned from a Factor Investing Expert
Lu Zhang and his colleagues made some waves with their new paper, “Replicating Anomalies.” (now published in the RFS -- congrats!). We have a summary [...]
A Viral Market Melt-Up; Optimism or Fundamentals?
" It is often said there are two types of forecasts ... lucky or wrong!!!! "-"Control" magazine published by Institute of Operations Management There is [...]
Counterpoint: ETF Activity May Make the Stock Market MORE Efficient
Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Excess Returns Podcast: Systematic Value Investing (Wes)
Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! [...]
Do Interest Rates Explain Value’s Underperformance?
From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks [...]
DIY Asset Allocation Weights: June 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 [...]
Is value dead? Has the story changed? No.
Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read [...]
Smart(er) Investing – The Easy Way
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic [...]
Free Tool Announcement: Visualizing Unemployment Claims
Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us [...]