Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, either by selling holdings or […]
Title: GENDER AND CONNECTIONS AMONG WALL STREET ANALYSTS Authors: LILY FANG AND STERLING HUANG Publication: THE REVIEW OF FINANCIAL STUDIES, V.30, SEPTEMBER 2017 (version here) Also read: Q2/H1 Hedge Fund Letters – Conferences, Calls, And More Fund of funds Business Keeps Dying Baupost […]
The passive investing revolution is truly upon us. Ever since 1975, when Jack Bogle introduced the first index mutual fund, passive indexing has marched on relentlessly. Also read: Q2/H1 Hedge Fund Letters – Conferences, Calls, And More Fund of funds […]
As we have mentioned before, here, here and here, there is overwhelming evidence that the number of stock anomalies in the universe is much lower than originally thought. Most of the previous research papers attempt to filter out past anomalies in […]
Title: WHAT DIFFERENCE DO DIVIDENDS MAKE? Authors: C. Mitchell Conover, CFA, CIPM, Gerald R. Jensen, CFA and Marc W. Simpson, CFA Publication: Financial Analysts Journal, Volume 72, Number 6, 2016 (version here) Also read: Q2/H1 Hedge Fund Letters – Letters, […]
In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. The results of these tests […]
The Standard and Poor’s (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a representative sample of leading companies […]
Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use ETFs as trading vehicles. Either way, ETF assets continue to grow at a steady pace, […]
Title: RETAIL FINANCIAL ADVICE: DOES ONE SIZE FITS ALL? Authors: FOERSTER S., LINNAINMAA J.T., MELZER B.T., PREVITERO A. Publication: JOURNAL OF FINANCE, V.72, AUGUST 2017 (version here ) Also read: Q2/H1 Hedge Fund Letters – Letters, Conferences, Calls, And More Hedge Fund of funds […]
The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. Specifically, any trading rule considered in Part 3 has at least one parameter that can […]
In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported signi?cant returns to buying winners and selling losers in the U.S. equity market, now referred to as […]
![Cyclicals Versus Defensives PB Ratio at a Cyclical High? [CHART]](https://www.valuewalk.com/wp-content/uploads/2017/09/542496_cfb6130477da41f0a21614298707d010mv2-80x60.jpg)
