Crisis Proof Your Portfolio: Part 2/2

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Q2 hedge fund letters, conference, scoops etc Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van Hemert The Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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An Analysis Of “Benjamin Graham’s Net Current Asset Values: A Performance Update”

Henry R. Oppenheimer 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 Q2 hedge fund letters, conference, scoops etc Summary The study examined the performance of securities that were trading at no more than two-thirds of its Net Current Asset Value [...]

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Social Media, News Based Sentiment, And Market Timing

Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Q2 hedge fund letters, conference, scoops etc Stan Beckers Journal of Portfolio Management, Winter 2019 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

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What Induces Children To Save (More)?

What Induces Children to Save (More)? Q2 hedge fund letters, conference, scoops etc Moritz Lukas (University of Hamburg) and Markus Nöth (University of Hamburg) 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. Introduction The savings rate of US households has been [...]

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Can We Explain The Low Volatility Anomaly?

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the actual relation to be flat, or even negative. Over the last 50 years, the [...]

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The Variance Risk Premium Is Pervasive

The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility sellers—those willing to write volatility insurance options, collect the premiums and bear the risk [...]

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Is Time Really Money?

Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. Trevino Journal of Investing, 2019 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 Q2 hedge fund letters, conference, scoops etc What are the Research Questions? Typically, financial advisors [...]

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Crisis Proof Your Portfolio: Part 1/2

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Q2 hedge fund letters, conference, scoops etc Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van Hemert The Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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Do Most Individual Stocks Outperform Cash? No.

I’d argue that a typical investor believes the following–In the past and over the long run, stocks outperformed bonds.(1) Q2 hedge fund letters, conference, scoops etc However, as highlighted here, an academic paper last year shows that the majority of individual U.S. stocks actually lost compared to Treasury Bills (i.e. the [...]

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Value Investing & Concentration

As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) has underperformed (1) the market and (2) Growth stocks. Q2 hedge fund letters, conference, scoops etc So while the past decade has been rough for Value [...]

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Strategies To Reduce Crash Risk In Stocks

Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity risk. Here’s the simple math demonstrating the point. Q2 hedge fund letters, conference, scoops etc Goumbik / Pixabay Well-diversified equity portfolios have volatility of about 20 percent, [...]

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Pathetic Protection via Protective Puts

Pathetic Protection: the Elusive Benefits of Protective Puts Q2 hedge fund letters, conference, scoops etc Roni Israelov Journal of Alternative Investments, Winter 2019 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 Questions? Investors would like to maximize upside participation while mitigating [...]

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Momentum, Quality, And R Code

Welcome to the first installment of Reproducible Finance by way of Alpha Architect.  For the uninitiated, this series is a bit different than the other stuff on AA – we’ll focus on writing clean, reproducible code, mostly R (but some python too), applied to different ideas from the world [...]

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Enhancing The Performance Of Momentum Strategies

In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or absolute, trend following) momentum, not only increases the explanatory power of asset pricing models while providing (historically) a premium, but that the premium has [...]

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Debunking Myths About Stock Buybacks

Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio Management 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 Q2 hedge fund letters, conference, scoops etc What are the research questions? The authors present 4 MYTHs regarding [...]

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The Cross-Section Of Emerging Market Stock Returns

Matthias x. Hanauer, Jochim G. Lauterbach 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. Q1 hedge fund letters, conference, scoops etc What are the Research Questions? As a non-academic finance person, I was never really exposed to academic research until [...]

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Does Leverage Explain The Investment Premium?

Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, Kewei Hou, Chen Xue and Lu Zhang, authors of the 2015 paper “Digesting Anomalies: An Investment Approach,” proposed replacing the Fama-French three-factor (market beta, [...]

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Value Factor Valuations Over Time: US And Developed

We built a simple tool recently to review so-called value spreads over time. (1) Q1 hedge fund letters, conference, scoops etc This tool maps out the median valuations for the top decile and bottom decile “cheap stock” portfolios (as measured by EBIT/TEV). Why might this be useful? This tool allows one to identify the [...]

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Things To Consider For ESG Portfolio Construction

A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete Hand Journal of Portfolio Management 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 Q1 hedge fund letters, conference, scoops etc What are the research questions? As with [...]

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