Book Review: The Institutional ETF Toolbox
ETFs are taking over the world. Last year, according to ETFGI, a research firm, ETF net inflows were $372 billion, representing 10% growth versus 2014. [...]
Smart Beta Analysis: Know What You Own
In collaboration with Pete Hecht (a fellow Chicago finance PhD and friend), we published an article with the CFA Institute today. https://blogs.cfainstitute.org/investor/2016/03/30/wheres-the-beef-is-your-low-fee-smart-beta-product-ripping-you-off/ The toolkit for assessing smart [...]
Recreating Asset Bubbles in the Laboratory
Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted [...]
Podcast: DIY Financial Advisor @ Google Talks (Wes)
Here is a link to our podcast on Google Talks Wesley Gray will discuss his book "DIY Financial Advisor". He believes today’s financial advice is [...]
Have benchmarks made us bad active investors?
Curse of the Benchmarks Vayano and Woolley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Can Losing Lead to Winning?
Can Losing Lead to Winning Berger and Pope A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Why do academic researchers avoid behavioral finance?
Charlie Munger, Warren Buffett's right-hand-man and Vice Chairman of Berkshire Hathaway, has said the following regarding behavioral economics: How could economics not be behavioral? If it [...]
Has the Value Investing Pain Train Ended?
Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a [...]
Replicating Private Equity: the Impact of Return Smoothing
Having spent what seems like a lifetime in the financial industry at this point, I've always had this nagging suspicion about private equity (PE): private equity [...]
DIY Asset Allocation Weights: March 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a [...]
Why We Built An Active Robo-Advisor and Why You Should Too.
Assuming you haven't been living under a rock, you've almost certainly heard something about robo-advisors. Millenials seem to love them while "old school" advisors are dismissive [...]
Book Review: America’s Bank: The Epic Struggle to Create the Federal Reserve
The Federal Reserve is in the news a lot these days, but despite its prominence and importance to the world economy, not many people know [...]
Predicting Anomalies with politics, weather, global warming, sunspots, and the stars
We've discussed the use of predictive regressions in the past. Here is an article to learn a bit more about the technique. And while the [...]
Chasing Returns and Avoiding “Spaghetti against the Wall Fund Companies”
Psychology research suggests that when we make predictions, we suffer from “representative bias,” mistakenly overweight observations that fit a particular narrative, and fail to consider base rate [...]
Warnings: Savers should NOT get excited if the Fed Raises Rates
The Deposits Channel of Monetary Policy Drechsler, Savov and Schnabl A version of the paper can be found here. Want a summary of academic papers with [...]
Shocking: Your Experience in the Uterus May Influence Your Investment Decisions!
The Fetal Origins Hypothesis in Finance: Prenatal Environment, the Gender Gap, and Investor Behavior Cronqvist, Previtero et al. A version of the paper can be [...]
Dual Momentum on Individual Stocks. Wow.
Hot off the press and haven't had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect [...]
Media Coverage and Stock Returns
Ninety Years of Media Coverage and the Cross-Section of Stock Returns Hillert and Ungeheuer A version of the paper can be found here. Want a summary [...]
Can A Brutal Stock Market Make You Physically Sick?
Worrying About the Stock Market: Evidence from the Hospital Admissions Engelberg and Parsons A version of the paper can be found here. Want a summary [...]