The Costs Of Implementing Momentum Strategies
There are now hundreds of factors in what John Cochrane famously called the “zoo of factors.” However, there are only a small number that meet…
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Are Trend-Following And Time-Series Momentum Research Results Robust?
When it comes to trend following and/or time-series momentum research, we got ya covered! Q1 hedge fund letters, conference, scoops etc A few places to…
Short Sellers Can Predict Deteriorating Bank Fundamentals
Can short sellers inform bank supervision? Bhanu Balasubramnian and Ajay Palvia Journal of Financial Services Research A version of this paper can be found here Want…
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: “Two Centuries of…
Quantifying The Value Of Retirement Accounts
Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when…
Bond Investing: Reach For Safety
Yield. Within almost any asset class, investors want to know, what is the “yield” on the investment? Q1 hedge fund letters, conference, scoops etc For…
ESG And Factor Investing
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can…
What The CFOs Think About The Equity Premium In 2018: 6.31% Real Premium?
Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we’ve covered…
Timing Country Exposure With Value: A Valuation Measure Horserace
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, “buying cheap” stocks…
Tail Risk Hedging: An Alternative Approach To Risk Management
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant…
Alpha Architect To Launch Long/Short Cryptocurrency ETF
Originally posted on April 1st 2018 When asked for details around the methodology, Dr. Wes Gray, CEO of Alpha Architect, said: We saw a lot…
Risk-Based Explanations For The Momentum Premium
Most of the literature on the momentum factor has focused on behavioral explanations, generally either investor underreaction or overreaction. For example, in his paper “Explanations…
How To Perform Investment Sentiment Analysis On Twitter
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version…
Investing In IPOs? Look At IPOs From Firms With More SEC Comment Letters
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version…
Podcast: Eric Balchunas’s Adventures In ETF Land (Wes)
Here is a link to our podcast on Behind the Markets See 2017 Hedge Fund Letters. ETF guru Eric Balchunas discusses his adventures in the…