Payday Anomaly Revisited

Unless you are a die-hard buy-and-hold investor, chances are that you need to rebalance your portfolio at some point. Q3 hedge fund letters, conference, scoops etc The question is when? And how often? And why at a specific time? Some strategies rebalance once a year, some multiple times a day. What if [...]

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Herding And Mutual Fund Performance

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Q3 hedge fund letters, conference, scoops etcHao Jiang and Michela Verardo The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.What are the Research [...]

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Why And How Investors Use ESG Information

Why and How Investors Use ESG Information: Evidence from a Global SurveyAmir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight categoryQ3 hedge fund letters, conference, scoops etc What are the research [...]

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A Simple Analysis Of 2018 U.S. Factor Returns

As the year turns, a common practice is to assess a portfolio and see how each position performed. Q3 hedge fund letters, conference, scoops etc The summary for stocks is easy: equities did not do well. Whether you were invested in U.S. stocks (down ~5%+), developed markets (down ~13%+), or emerging markets [...]

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Data Science Is Revolutionizing Investment Practice

Order from Chaos: Data Science is Revolutionizing Investment PracticeJoseph Simonian, Marcos Lopez de Prado, and Frank Fabozzi Journal of Portfolio Management, Fall 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc geralt / Pixabay What [...]

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A Protocol To Prevent “Quants Gone Wild”

A Backtesting Protocol in the Era of Machine LearningRob Arnott, Campbell Harvey, and Harry Markowitz Working paper A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc What are the Research Questions? Data mining in finance [...]

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Machine Learning Classification Methods And Factor Investing

In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., when underlying reality is nonlinear with complex interactions). Q3 hedge fund letters, conference, scoops etc In this piece, we’ll first review machine learning for classification, [...]

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Warren Buffett Is Wrong About Options (Except)

Warren Buffett sold long-dated, deep out of the money puts in the years leading up to the financial crisis. In his 2008 Annual Letter to Shareholders, he explained: Q3 hedge fund letters, conference, scoops etc I believe each contract we own was mispriced at inception, sometimes dramatically so. He goes on later [...]

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Trend Following On Steroids

Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and you sell it and go to cash (or any other safe haven) when the momentum turns negative.(1) The best-known example of trend following is [...]

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Measuring Factor Exposures: Uses And Abuses

Measuring Factor Exposures: Uses and AbusesRonen Israel and Adrienne RossThe Journal of Alternative InvestmentsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight categoryQ3 hedge fund letters, conference, scoops etcWhat are the research questions?USES: Can investors really [...]

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How To Use Trend Following Within A Portfolio

A question we have been receiving recently is the following:How should I use trend following within a portfolio?Q3 hedge fund letters, conference, scoops etcGenerally, the questions are related to our Global Value, Momentum, and Trend Index, which allocates to the (1) Value, (2) Momentum, and (3) Trend factors.A big [...]

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Is Financial Advice Conflicted… Or Is It Simply Misguided?

The Misguided Beliefs of Financial AdvisersJuhani T. Linnainmaa, Brian Melzer and Alessandro Previtero Kelley School of Business Research Paper No. 18-9 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc What are the Research [...]

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A Proxy For The Unobservable Global Market Portfolio

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market PortfolioGregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc What [...]

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Short Volatility Strategies Are Extensive And Widespread

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial InsurersVineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight categoryQ3 hedge fund letters, conference, scoops etc What are the research questions?Who are [...]

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Fund Capacity Analysis: How Much Capital Will A Strategy Handle?

Capacity Analysis for Equity FundsMichael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc What are the Research Questions? The article addresses the estimation of capacity [...]

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Cybersecurity For Financial Advisors (Pat And Brandon)

Here is a link to our podcast on Behind the Markets: Q3 hedge fund letters, conference, scoops etc In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha Architect brings on cybersecurity experts to discuss breaches and the steps to keep your information safe. Tune in! Tumisu / [...]

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Do Bank Affiliated Funds Underperform Unaffiliated Funds?

Asset Management within Commercial Banking Groups: International EvidenceMiguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category.Q3 hedge fund letters, conference, scoops etc What are the Research Questions? About [...]

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