The Folly Of Hiring Winners And Firing Losers

One of the mistakes that prevent investors from achieving their goals is that when it comes to evaluating investments and investment strategies most think that three years is a long time, five years a very long time, and 10 years an eternity. This is true of both individuals and [...]

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A Remarkable New Factor: The Cash Conversion Cycle

The Cash Conversion Cycle Spread Baolian Wang JFE, forthcoming. A version of this paper can be found here. Old discussions here and here. h.t. M. Mauboussin Q1 hedge fund letters, conference, scoops etc pasja1000 / Pixabay What are the research questions? The barrier to entry into the factor zoo has increased exponentially. Prof. Harvey (now working with RAFI) [...]

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Distracted Institutional Investors

Distracted Institutional Investors Daniel Schmidt Journal of Financial and Quantitative Analysis, forthcoming 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 mohamed_hassan / Pixabay What are the Research Questions? This paper studies how limited attention affects the [...]

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Investment Strategy In An Uncertain World

In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Q1 hedge fund letters, conference, scoops etc rawpixel / Pixabay Risk is present when future events occur with [...]

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Day Of The Week Matters For Some Anomalies

Day of the Week and the Cross-Section of Returns Justin Birru Journal of Financial Economics, forthcoming 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 Q4 hedge fund letters, conference, scoops etc mohamed_hassan / Pixabay What are the Research Questions? According to psychology literature, [...]

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Industry Insiders Can Outperform The Market

Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming 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 whitesession / Pixabay What are the Research Questions? Most of the [...]

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How To Pass The CFA Level 1 Exam

I recently received a question from Steve Sivak of Innovate Wealth: How do I pass the CFA Level 1 Exam? When I sat down to type my response, it turned into a lot more than I was expecting. Below are the thoughts I shared with him. I don’t have any breakthrough secrets [...]

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Why The Size Premium Should Persist

As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with that characteristic has disappeared because the premium has become well known and arbitraged away. Q4 [...]

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Factor Investing In Practice

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi Kyosev Working paper A version of this paper can be found here(1) Q4 hedge fund letters, conference, scoops etc fill / Pixabay What are the research questions? There is a substantial debate on the topic of factor investing and whether or not the “backtested” [...]

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Sector Business Cycle Analysis

There are different investment approaches to identify sector winners and losers, such as price momentum strategies, top down approach based on specific macroeconomic indicators or bottom-up approaches to identify sectors with improving fundamentals. One widely used approach is business cycle analysis. Since economic cycles usually exhibit characteristics that impact [...]

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Low Volatility Turnover With Value And Momentum

Low Volatility Needs Little Trading Pim van Vliet 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 Q4 hedge fund letters, conference, scoops etc Fachdozent / Pixabay What are the research questions? What is the relationship between turnover [...]

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Four Important ETF Industry Developments

After a record breaking year for ETF flows in 2017 ($462 Billion), 2018 was a relative slowdown. But at $314 Billion in inflows, 2018 was still the second largest amount of inflows ever into ETFs. And, as a further point of reference, the amount of flows into ETFs in [...]

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Seven Centuries Of Commodity Reversals

Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz Mikutowski A version of this paper can be found here. Q4 hedge fund letters, conference, scoops etc mohamed_hassan / Pixabay What are the research questions? As the asset pricing research on the “very long-run” has been growing over the past years, it’s great to see [...]

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Using Flexible Spending To Achieve Financial Goals

Financial planning and specifically portfolio “safe” withdrawal rates are often viewed and analyzed from the perspective of rigid rules that can’t be broken – i.e., you will take an inflation adjusted 4% of starting portfolio value every year regardless of past performance. This rigidity is beneficial in understanding how [...]

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Low Volatility Can Be Low Turnover

Low Volatility Needs Little Trading Pim van Vliet 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 Q4 hedge fund letters, conference, scoops etc What are the research questions? Low volatility strategies have garnered a fair amount [...]

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Rebalancing…Not So Fast

My last article used Warren Buffett’s pre-crisis sale of put options to highlight the risk of getting over our financial skis. In both temperament and negotiation, Warren can outlast most bear markets. Many of us cannot. Proponents of rebalancing should acknowledge the real risk that downturns can continue, and [...]

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Trend-Following: A Decade Of Underperformance

Everyone in finance remembers 2008–the Global Financial Crisis. Q4 hedge fund letters, conference, scoops etc geralt / Pixabay Yes, I know, the final downward movement in the stock market was in early 2009. However, many remember 2008 as the year of the crisis. So now we are 10 years removed from the crisis. Why [...]

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Public Hedge Funds And Their Performance

Public Hedge Funds Lin Sun and Melvyn Teo Journal of Financial Economics, forthcoming 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 Q4 hedge fund letters, conference, scoops etc What are the Research Questions? In recent years, there have been a few public [...]

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Size And Value In China

Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here Q4 hedge fund letters, conference, scoops etc What are the research questions? China represents the world’s second largest stock market and a growing component of the world’s GDP. China also operates [...]

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EBITDA, EBITDA, EBITDA…That’s All, Folks!

Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise Multiples, defined as total enterprise value of the firm divided by EBITDA, generate the largest spread between Value and Growth firms. The debate among [...]

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