Absolute Strength Momentum Investing Strategy
Here we highlight an interesting working paper titled "Absolute Strength: Exploring Momentum in Stock Returns" by Gulen and Petkova (2015). The abstract is the following: [...]
Value Investing: The Pain Train has Arrived and it Sucks.
A few months ago we highlighted a surprising result: cheap high-quality stocks were getting crushed by expensive junk stocks. The spread at the end of [...]
Daily Academic Alpha: Momentum Investing and Asset Allocation
The results in this paper won't surprise most who are regular readers, but the paper below does a nice job explaining things in a simple [...]
Commodity Investing 101: Basic Insights Most Advisors Don’t Know
Unlike equity and bond investing, investing in commodities is a less familiar undertaking for many. Commodities behave differently than stocks and bonds, pose different risks, [...]
DIY Asset Allocation Weights: October 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 [...]
How Do Dividend Paying Stocks Affect the Value Investing Anomaly?
Meb Faber tweeted an interesting question related to taxes, dividend payers, and the value premium the other day. I'll summarize the heart of the question: How do dividend [...]
How to Use Factor Funds in a Diversified Portfolio
Active management has been out of favor for a while--high fees, high tax burdens, and poor long-term performance. But with the slow rise of actively [...]
Combining volatility, momentum, and trend in asset allocation
The Effective Combination of Risk-Based Strategies with Momentum and Trend Following Gregory Guilmin A version of the paper can be found here. Want a summary of [...]
Value and Momentum in Sports Betting
As noted through our previous posts, we are big proponents of Value investing and Momentum investing strategies. We even highlight the best way to combine [...]
Most CFOs think the US market is overvalued
According to the latest Global Business Outlook survey jointly conducted by Duke University and CFO magazine, 55% of U.S. companies say they think the stock market is overvalued, [...]
Global 60/40 versus Domestic 60/40
The Harvard Management Company report was recently released here. h.t. Tom for pointing out. The biggest surprise was the spread in returns between the global 60/40 [...]
New Evidence: Simple Forecasts Beat Complex Forecasts
Always seek to simplify. Occam’s razor teaches us we should cut away any extraneous factors that are unnecessary to explain something. Stated another way, we [...]
Jack presenting at NYC ETF event 11/6
Jack will be presenting at The World of ETF Investing Conference on 11/6 in NYC. Jack is an expert on all things finance and a wealth [...]
The Active Share Debate: AQR versus the Academics
There is an interesting discussion in the geeky world of academic finance literature between the intellectual muscle at AQR and academia. The discussion revolves around [...]
Can Investors Achieve Commodity Exposure via Equities?
This past year we examined the possibility of replicating commodity exposure via equities. The project was spurred by an insightful research report from MSCI, which showed some [...]
Corporate Sport Sponsorship and Stock Returns
The NFL is back!!! Unfortunately, the Eagles may need a new kicker...and now we have to listen to Wes talk trash about the Cowboys victory [...]
Remembering Finance Professor Kent Womack
I was saddened to learn that Kent Womack, an influential Finance Professor at the University of Toronto, passed away unexpectedly last month. Kent's research on [...]
Buffett On Economic Moats
In 2007, Warren Buffett gave an extended talk to a group of MBA students at the University of Florida. During it, Buffett spends some time talking [...]
The Case for Active Management…from Vanguard…
Vanguard is a poster child for passive management and is among the companies we respect the most. You'll often hear investors/advisors parroting their use of [...]
Factor Models Can Only Tell You So Much
Factor analysis has taken the professional consultant world by storm and we are slowly seeing this analysis being used more and more by sophisticated retail investors [...]