Odd Finding: Pro Investors sell undervalued stocks
Institutional Investors and Stock Return Anomalies Edelen, Ince and KadlecA version of the paper can be found here.Want a summary of academic papers with alpha? Check [...]
Sensational SEC Finding: Backtest gone bad!
The SEC landed a $35mm fine against F-squared yesterday! A quote from the the SEC filing: The inaccurate compilation of historical data substantially improved the [...]
Mutual Fund Replication–Death of Closet Indexers?
Want to identify how to replicate an expensive, tax-inefficient mutual fund with ETFs? Interactive Brokers has a pretty cool tool that does exactly that! Check [...]
Our Top 5 Geeky Finance Posts for 2014
Friends/Readers: We are calling it quits for the holidays. Most of us have kids and Santa is coming to town! We'll talk quant and educate [...]
How to Calculate Volatility in Excel
Wild-swinging oil prices have caused some chaos, or "volatility," in the financial markets recently. We've also heard a lot in the financial media regarding the [...]
Hard to Fire Yourself; Easy to Fire Your Manager
Looking for Someone to Blame: Delegation, Cognitive Dissonance, and the Disposition Effect Chang, Solomon, Westerfield A version of the paper can be found here. Want a [...]
No posts today … busy :)
We'll be back to our content flow tomorrow. Thanks for all your support.
Value Investing: Digging Manager Graveyards Since 1963.
Following value strategies can be hazardous to one's wealth in the short run. Oil stocks are a great example of the challenge value investors face: The stocks [...]
Oil Stocks: A Real-Time Case Study in Value Investing
I just took a snapshot of the front page of Yahoo Finance, CNBC.com, and Bloomberg.com: Bloomberg.com @ 1725 EST CNBC.com @ 1725 [...]
Investor Attention: Advertising Targets Customers and Investors?
Is Investor Attention for Sale? The Role of Advertising in Financial Markets Madsen and Niessner A version of the paper can be found here. Want a [...]
Stop Paying Attention to Your Brokerage Statements
The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior Hartzmark A version of the paper can be found here. Want a [...]
Uncle Sam: The Highest Paid Hedge Fund Manager
Uncle Sam and affiliates have the greatest fee structure in the world: 23.8% to 43.40%+ carried interest, or a "performance" fee on all positive performance: [...]
Where are the Focused Active Managers?
We highlighted a few weeks ago that Smart Beta is More Expensive Than You Think. Smart Beta and other closet-indexers are everywhere, but what happened to [...]
Avoid the Experts: A Lesson in CFO Overconfidence
Managerial Miscalibration Ben-David, Graham and Harvey A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic [...]
A Modification to the Flexible Asset Allocation Model
This topic is about Flexible Asset Allocation, a concept I first got wind of thanks to this blog.[ref] Ilya Kipnis is the author of QuantStrat [...]
Understanding How ETFs Trade in the Secondary Market
An ETF's liquidity has everything to do with the underlying liquidity of the positions the ETF holds. This has a few implications: Pay attention to the liquidity on the holdings of your ETF--this will explain the spreads in the secondary market; Trade ETFs when the underlyings are liquid--avoid trading ETFs at the open or when overall market volume is lackluster; Avoid huge market orders, and stick to limit orders; Moreover, for huge trades, communicate directly with the market maker or your ETF trading desk.
The Robust Asset Allocation (RAA) Index
Robust asset allocation solutions should be relatively simple, minimize complexity, and be robust across different market regimes. Simultaneous to these requirements, the solution must be affordable, liquid, simple, tax-efficient, and transparent, otherwise, many of the benefits of the solution will flow to the croupiers and Uncle Sam. We recommend that investors explore our robust asset allocation framework and go for the do-it-yourself solution. You'll be paying yourself 1%+ a year via saved RIA fees. Is this the only solution? No. But any solution must be robust, simple, tax-manageable, and low-cost. This is our best effort to develop a simple model. Developing a complicated model is easy; simple is difficult.
Insights from an ETF Strategist: Brad Thompson, CFA
We've been interviewing various movers and shakers in the industry to help everyone understand the "inside baseball" in financial services. Brad and I met last [...]
Cyber Monday–Quant Value @ $19.99 is back ON!!!
We posted last week that we lost our entire inventory of books we had at Amazon. Quant Value $19.99 Book Deal is Over... But... due to [...]
Thanksgiving Day NFL Gamblers–Take Notes!
Efficiency and the Disposition Effect in NFL Prediction Markets Hartzmark and Solomon A version of the paper can be found here. Want a summary of academic [...]