A classic value investor–Carl Icahn
Carl's secret to "real money:" You gotta buy 'em when nobody wants them...when everyone hates 'em you buy 'em. When everyone wants 'em you sell [...]
The World’s Longest Trend-Following Backtest
Were in the middle of an academic research project and we ran a simple long-term trend-following model from January 1, 1801 to September 30, 2015. Recently, [...]
DIY Asset Allocation Weights: November 2015
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 [...]
An interesting look at the size anomaly
Many of you are probably aware of the paper from AQR entitled, "Size Matters: If you control for your junk." We loved the title so [...]
Beware of Target Date Funds – Their Aim May be Way Off
We like to use rules of thumb, or heuristics, when facing choices. We often default to rules of thumb because when finding the optimal choice [...]
Cliff Asness Talks Time Dilation and Its Effects On Investing Decisions
Ben Carlson had a great post on Sunday, covering a part of an interview with Cliff Asness in which he discusses a key difference between [...]
Why I Don’t Invest in Momentum Stocks…Yet!
Confirmation bias is the tendency to cling to research/ideas that confirm with what you already believe. This behavioral bias leads to overconfidence and can impede our search for [...]
All firms can benefit from the positive influence of women
Marisa Mayer’s recent announcement that she is again pregnant, and does not plan to take maternity leave after her twins arrive, has once again raised [...]
Podcast: Value Investing vs. Momentum Investing (Jack)
Here is a link to our podcast on The Investors Podcast As many of you guys might know, I’ve been looking into quantitative investing recently. [...]
Podcast: Measuring Portfolio Performance (Wes)
Here is a link to our podcast on The Investors Podcast Whenever we hear about great investors, like Warren Buffett and Ray Dalio, we usually [...]
Robo-Advisor Webinar Tomorrow: Oct. 28 at 12pm EST
I'll be discussing robo-advisors tomorrow via an Interactive Brokers webinar. Details below: Wednesday, October 28, 2015 12:00 pm, Eastern Daylight Time (New York) Event Number: [...]
Which Asset Allocation Weights Work the Best?
What is the optimal method to weigh an index? Everyone seems to have a story these days for the "best" way to weigh an index. In this study we look at simple ways to weigh a large-cap stock index using prices only. Bottom-line up front: Low volatility worked the best on a risk-adjusted basis over the past 87 years. However, low volatility, was close followed by momentum, equal-weighting, and value-weighting, respectively. Across the board, results are similar.
How to Pick Smart Beta ETFs
Investors are probably unaware of the price they are paying for the "active" piece of Smart Beta. Using a simple framework, we show that buying a Smart Beta product at 45bps is equivalent to paying 5bps for a generic passive exposure and 138.33 bps for the active exposure! How many investors are aware that "low-cost" smart beta products might be implicitly charging fees that are equivalent to many active mutual fund fees?
Turn Off Your Chief Economist: GDP Growth Doesn’t Predict Stock Returns
In a sustained effort to try too hard, investors are constantly analyzing and assessing the growth rates of various markets around the world. The key [...]
Insider Trading During the 8-K Trading Gap
SEC rules allow companies to delay the public disclosure of significant corporate events for up to 4 business days. This information is reported on an [...]
Don’t believe in financial market unicorns.
Financial market unicorns are the magical market elves that grind out eye-popping compound annual returns for multiple years and with limited volatility. I'm sure you've heard [...]
Hey Ray Dalio, there are MORE than 8,000 pilots!
Ray Dalio, famous for running Bridgewater, the world's largest hedge fund, is famous for mocking the growth in the hedge fund industry: There are about [...]
Surprise…Trading More is Profitable for Active Funds!
Warren Buffett make it clear why frequent trading damages one's wealth: "Wall Street makes its money on activity. You make your money on inactivity." (source) [...]
Ben Graham Would be Proud: Fundamental Analysis Works
Here is an interesting working paper on the use of fundamental analysis in stock selection. The authors take a dynamic regression "machine learning-esque" approach to building [...]
Cliff Asness Quick Hits: Smart Beta and Risk Parity
Cliff Asness gave a talk at The Bloomberg Markets Most Influential Summit a few weeks ago, and offered up some discussion of recent market developments, [...]