Why Indexing and “Smart Beta” Are So Popular
Asset Manager Contracts and Equilibrium Prices Buffa, Vayanos, and Woolley (2014) A version of the paper can be found here. Want a summary of academic papers [...]
Have Hedge Funds Been a Disappointment? Cliff Asness Weighs In
Fortune published a great interview with Cliff Asness a few months ago, in which he breaks down hedge funds, recent performance, and why the critics [...]
Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations!
Stock Duration, Analysts Recommendations, and Misvaluation Cremers, Pareek and Sautner A version of the paper can be found here. A blog on an older version of [...]
A Real Life Quant Finance Geek Blog Romance
The blogosphere is great for meeting new people with similar interests. Unfortunately, we rarely get to shake hands and meet people in person--we only connect [...]
Quantitative Value @ $19.99 is Back On!!!
Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 [...]
The Amazing Unbeatable Poker Algorithm
Everyone remembers when Deep Blue first defeated Gary Kasparov, but recently computers have begun quietly edging past humans in another human game: poker. The journal [...]
Quantitative Momentum Research: Short-Term Return Reversal
Fads, Martingales, and Market Efficiency Lehmann A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
“And…it’s GONE”: Tuesday Fun w/ SouthPark
South Park highlighting the importance of saving money!
Global Economic Perspectives from a Pragmatic Capitalist
Cullen Roche, who runs the finance and economics blog, Pragmatic Capitalism, is the ultimate "top-down" investor, and recommends that investors think globally, rather than locally when [...]
The One Factor To Save Them All–Leverage
Financial Intermediaries and the Cross-Section of Asset Returns Adrian, Etula and Muir A version of the paper can be found here. Want a summary of academic [...]
Quantitative Momentum Research: Long-Term Return Reversal
Does the Stock Market Overreact? De Bondt and Thaler A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Cincinnati Visit–Let us know if you are in the area!
Jack and I will be presenting some research in Cincinnati, OH on January 14th. I think there will be some free food and some education [...]
Book Review: Pragmatic Capitalism
Pragmatic Capitalism: What Every Investor Needs to Know About Money and Finance Cullen Roche The book can be found here. Want to see all our book [...]
Quant Value Book $19.99 Inventory Out…for Now :-(
We are negotiating to get a new supply and we're hoping to deliver it at $19.99. We blew through our last batch of inventory WAY FASTER THAN [...]
Quantitative Momentum Research: Intermediate-Term Momentum
Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Jegadeesh and Titman A version of the paper can be found here. Want a [...]
Two Free Books for attending NYC event!
This Wednesday, January 7th, I'll be presenting our Quantitative Value Philosophy to the NYSSA group. If you are based in NYC, I'd love to see you [...]
An Introduction to Investing and How to Use Our Site
What We Do? We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures, as opposed to "closet-index" factor exposures. More [...]
The Hated. The Feared. The Amazing. The US Treasury Bond.
As "everyone" seems to know, the US 10-year Treasury bond has a low relative yield and is "inevitably going to rise at some point in [...]
Value Investing: 2014 Value Stock Research Recap
The success and failure of value investing can be boiled down into two components: Buy Cheap Stuff Avoid Behavioral Bias Buy Cheap Stuff Ben Graham outlined [...]
The 2014 Asset Allocation Research Recap
Tactical asset allocation is always a hot topic in the blogosphere. A few fun concepts that hit the wires in 2014: GestaltU had an interesting series [...]