Seven Centuries Of Commodity Reversals

Seven Centuries of Commodity ReversalsAdam 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 TradingPim 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 categoryQ4 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 FundsLin 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 categoryQ4 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 ChinaJianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found hereQ4 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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Is There A Size Effect In The Stock Market?

One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.(1) Warren Buffett, speaking at the 2013 Berkshire Hathaway Annual Meeting, summarized the sentiment when discussing the disadvantages of managing a huge amount of capital: Q4 hedge fund letters, conference, scoops etc There’s [...]

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“The Failure Of Factor Investing Was Predictable”

In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed miserably”— called for examination of the facts. But first, a little background. Q4 hedge fund letters, conference, scoops etc William Sharpe, Jack Treynor and John Linter [...]

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The Smart Money Indicator: A New Risk Management Tool

We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants of the classic trend-following “risk-on/risk-off” approach, which many associate with market timing.(1) Q4 hedge fund [...]

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Does Financial Education Actually Improve Outcomes? It’s Complicated.

The Causal Mechanism of Financial Education: Evidence from Mediation AnalysisFenella Carpena and Bilal Zia 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? Worldwide there are billions of people [...]

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Manager Sentiment And Stock Returns

Manager Sentiment and Stock ReturnsFuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou 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 categoryQ4 hedge fund letters, conference, scoops etc What are the Research Questions? The authors investigate the asset [...]

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Rankings And Risk-Taking In The Finance Industry

Rankings and Risk-Taking in the Finance IndustryMichael Kirchler, Florian Lindner, and Utz Weitzel 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.Q4 hedge fund letters, conference, scoops etc What are the Research Questions? Rankings are [...]

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Value, Momentum & Carry Across Asset Classes

There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, which is a scientific agency of the U.S. government. An earthquake of that magnitude [...]

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1042 QRP: How To Finance A Seller Note

Employee Stock Ownership Plans (“ESOP”) create unique opportunities for business owners and their employee-participants to build wealth through their companies. To foster broader adoption of ESOPs, Congress instituted a number of attractive tax advantages benefitting ESOP companies and the business owners who form them. Among these is the opportunity [...]

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Equity Investing Is Riskier Than You Probably Expected

Volatility LessonsEugene F. Fama and Kenneth R. French 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? The purpose of this study was to examine [...]

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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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