Quarterly Analysis and Commentary: Q4 2018
We've posted our quarterly attribution materials on our performance site.[ref] Click on the links under attribution and/or webinar [/ref] We enjoyed putting the materials together [...]
Equity investing is Riskier than You Probably Expected
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Payday Anomaly Revisited
Unless you are a die-hard buy-and-hold investor, chances are that you need to rebalance your portfolio at some point. The question is when? And how [...]
Herding and Mutual Fund Performance
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper [...]
#Women in Finance Know Stuff: A Conversation with Paola Cerchiello
Today, we are interviewing someone from my country and a pioneer of data science education in Italy: Paola Cerchiello, Senior Assistant Professor of Data Science [...]
A Simple Analysis of 2018 U.S. Factor Returns
As the year turns, a common practice is to assess a portfolio and see how each position performed. The summary for stocks is easy: equities [...]
DIY Asset Allocation Weights: January 2019
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The [...]
Why and How Investors use ESG Information
Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper [...]
Discipline: A Necessary Condition for Successful Investing
A good friend, Sherman Doll, related the following story. Sherman has been a two-line sport kite flier for years. While not a pro, he has [...]
Warren Buffett is Wrong About Options (Except)
Warren Buffett sold long-dated, deep out of the money puts in the years leading up to the financial crisis. In his 2008 Annual Letter to [...]
Is Active Alpha Enough to Cover Taxes?
Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to [...]
Alpha Architect Weekly Recap: Editorials on Machine Learning
You can watch the video via this link: https://www.youtube.com/embed/tVwwZ1-bThI This week Ryan and I discuss two editorials on machine learning and its impact and [...]
Machine Learning Classification Methods and Factor Investing
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
Book Blowout for Christmas
Our three quant finance books are up on Amazon at cost ($19.99, 2-day shipping included). If you know someone looking to improve their knowledge of [...]
Data Science is Revolutionizing Investment Practice
Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this [...]
A Protocol to Prevent “Quants Gone Wild”
A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to [...]
Alpha Architect Weekly Recap: Value Performance & ETFs’ impact on correlations & liquidity
You can watch the video via the link below: https://www.youtube.com/embed/QaFK9GuUB5o This week Ryan and I discuss two posts. First, we examine a guest [...]
After a Lost Decade, Will Value Get its Groove back in 2019?
Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of [...]
Alpha Architect Weekly Recap: Trend-Following, Portfolios, and Risk Factors
You can watch the video via the link below: This week Ryan and I discuss three posts. First, we examine a guest post titled, [...]