Quant Value $19.99 Book Deal is Over
Wow. We blew out 300+ books in a few weeks. There are a lot more quant geeks out there than I originally suspected. Holy mackerel! [...]
E.F. Shumacher on Complexity
E.F Schumacher has a great book I've been exploring: Small is Beautiful: Economics as if People Mattered. To be completely honest, the reason I stumbled [...]
An Educational Piece on the Appraisal Ratio…
Peter Hecht, Ph.D., a fellow Chicago Finance PhD and vice president of Evanston Capital Management, recently published an interesting white paper: How to evaluate hedge [...]
Exploring the Performance of Chinese ADRs–Watch out Below!
Due to the recent IPO craze associated with ALIBABA, we received increased interest from investors wanting to learn more about Chinese stocks. To get a sense for [...]
Why My Chinese Employees are Leaving…
WSJ recently published an interesting article named "The Self-Inflicted U.S. Brain Drain:" Every year, tens of thousands of disappointed tech workers and other professionals give [...]
We are Alive at Channel 111! Join us on Sirius Radio
OK...so not the greatest photo of yours truly, but having a great chat with Dr. Jeremy Siegel and Jeremy Schwartz on Sirius XM Business Radio! [...]
Are Mutual Funds Short-Seller Whipping Boys?
Do Short-Sellers Profit from Mutual Funds? Evidence from Daily Trades Arif, Ben-Rephael and Lee A version of the paper can be found here. Want a summary [...]
Chatting Quant Value @ Wharton Today–Business Radio
http://businessradio.wharton.upenn.edu/programs/behind-the-markets-with-jeremy-siegel/ I'll be chatting with the "Jeremys" on Sirius Radio on Business Radio Channel 111. @ 1pm EST Hosts Jeremy Siegel Professor Jeremy Siegel is [...]
ETF Market Making–Very Cool Insider Insights
Have you ever wondered how ETF trading actually works? Most people think ETFs trade "just like stocks." These people are wrong. While there are similarities between individual [...]
Diversification Matters: IVY 5 Year-To-Date
It pays to be diversified! SPXT = S&P 500 ==> win NDDUEAFE = EAFE ==> Loss FNERTR = REIT ==> huge win SPGSSCITR = GSCI ==> huge loss [...]
Earnings Seasonality and Stock Returns
Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns Chang, Hartzmark, Solomon and Soltes A version of the paper can be found here. Want a [...]
CNBC @ 5am–I know you were all watching!
They kicked me; they heckled me; they drug me out of bed at 4am... ...and all I told them was that market returns going forward [...]
Mission Impossible: Beating the Market Forever
A quick glance at the most recent Berkshire Hathaway annual report (PDF) highlights an amazing data point: Warren Buffett has compounded at 19.7% a year from 1965 through 2013; the S&P 500 Total Return Index has compounded at 9.8% a year from 1965 through 2013. The immediate reaction to these figures is predictable: “Warren Buffett is an investing god, so we should buy Berkshire Hathaway and throw away the keys.” The gut reaction is that Buffett can continue to beat the market forever. Unfortunately, as this post highlights, this is an impossible feat.
Does Doubling Down Work?
Doubling Down Jonathan Rhinesmith A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap [...]
Quantitative Value Research: NCAV/MV Factor
Testing Benjamin Graham's Net Current Asset Value Strategy in London Xiao and Arnold A version of the paper can be found here. Want a summary of [...]
Does Option Implied Volatility Predict Stock Returns?
The Joint Cross Section of Stocks and Options An, Ang, Bali and Cakici A version of the paper can be found here. Want a summary of [...]
Meb Faber’s Affordable Global Momentum Fund
Anyone reading this blog is probably familiar with Meb Faber. Before getting into a review of his newest project and ETF offering, I wanted to [...]
Do Financial Experts Make Better Investment Decisions?
Do Financial Experts Make Better Investment Decisions? Bodnaruk and Simonov A version of the paper can be found here. Want a summary of academic papers with [...]
Thanks to Our Vets
I have the privilege to work with 2 partners who served in the Marine Corps from 2004-2008: Captain Wes Gray and Captain Pat Cleary. Both [...]
The Secret to Momentum is the 52-Week High???
The 52-Week High and Momentum Investing Thomas J. George and Chuan-Yang Hwang A version of the paper can be found here. Want a summary of academic [...]