Charlie Munger on “Loading Up,” Tracking Error, and Value Investing
Back in 1994, Charlie Munger gave a talk to students at the USC Business School (a copy is here), covering topics ranging from mathematics and [...]
Trend Following the Greek Equity Markets
Long-Term trend-following saved the day in the Greek Equity markets... FTSE/Athens Stock Exchange Large Cap Index, which consists of 25 of the largest and most [...]
Chinese Stock Market — Full Meltdown Approaching?
Last night, China's principal benchmark, the Shanghai Composite index, collapsed 7.4%. Ouch! Now that's what we call a drawdown! Hundreds of stocks hit their daily [...]
How to Make Money in Markets: Understanding Expectation Errors
A new working paper from Gennaili, Ma, and the one-the-only Andrei Shleifer. Expectations and Investment Using micro data from Duke University quarterly survey of Chief [...]
One Secret to More Creative Thinking? The Effect of Walking
Researchers at Stanford recently conducted a study that found that the physical act of walking improved creative thinking in subjects. We believe creative thinking is an [...]
Surprise: Some Active Managers are Skilled.
Jonathan Berk, and his co-author Jules van Binsbergen, have a summary piece on a formal academic paper they published by the JFE in 2014. Here [...]
Daily Academic Alpha: Corporate Loan Momentum Alpha
The Cross-Section of Expected Returns in the Secondary Corporate Loan Market We examine the pricing of characteristics and betas in the cross-section of expected corporate [...]
High Dividend Stocks and Value Investing
Barron's recently ran an article (written by Research Affiliates), which is titled "Get Smart About Picking Dividend-Rich Stocks." The article highlights that high-quality high-dividend-paying stocks outperform [...]
The “hot hand” in basketball. New evidence!
For years, the "hot hand" in basketball has been declared a "fallacy." To be clear, the "hot hand" argument is that basketball players have streaks, where [...]
Sobering 10-Year Market Predictions from CFOs
The Graham-Harvey survey is complete and the expectations of CFOs are available for review. As the figure below highlights, expected returns on the S&P 500 [...]
The Power of Term-Term Compounding: Evidence from Ben Franklin’s Trusts
Back in 1790, Ben Franklin created his Last Will and Testament, and set forth his wishes for the disposition of his property: …I devote two [...]
Using Profitability as a Factor? Perhaps You Should Think Twice…
Many investors are getting excited about the so-called "profitability factor," originally posed by Novy-Marx (here is an alternative story) . Larry Swedroe has a high-level piece [...]
A Glimpse of the Financial Entrepreneurs of the future
This last quarter I taught an advanced seminar at Drexel University (Finance 698). I love running my seminar for the following reasons: I get to meet new [...]
Who Wants to Work for a Family Office?
We're helping out some friends at a large Family Office in New York City who are looking for a teammate to build out a new [...]
Behavioral Finance: Part Behavior, Part Market Frictions
The baseline theory for understanding asset prices is the Efficient Market Hypothesis (the “EMH”), pioneered by Eugene Fama. Of particular interest is semi-strong market efficiency, which [...]
Quant Geek Weekend Homework: Academic Finance Research
Recently Discovered Academic Finance Research You Might Have Missed: 215 Years of Global Multi-Asset Momentum: 1800-2014 (Equities, Sectors, Currencies, Bonds, Commodities and Stocks) (Geczy and [...]
Daily Academic Alpha: Facts and Fantasies in Commodities
Facts and Fantasies About Commodity Futures Ten Years Later Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 [...]
Jim Simons Transcript: Quantitative Finance and Building a Firm
James Simons is an American academic and businessman who in 1982 founded Renaissance Technologies, which today is among the best known quantitative investment management funds [...]
Did Ben Graham Value Investing Work in the Recent Bull Market?
Forbes outlines one of Ben Graham's basic value investment strategies and analyzes how it has performed from 1949 through 2012. Even with all of the [...]
Value Investing in a Honda Civic–and proud of it…
Last week I had the privilege of being on CNBC to talk about value investing. A big shout out to Josh Brown, who introduced me [...]