Short Volatility Strategies Are Extensive And Widespread

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer 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 category Q3 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 Funds Michael 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 Evidence Miguel 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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Asset Diversification In A Flat World

Diversification is a fundamental principle of prudent investing due to its ability to mitigate/minimize risks. In fact, it has been called the only free lunch in investing because, done properly, it can reduce risk without reducing expected returns. This led to the conclusion that investors should diversify by including [...]

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What Is The Correct Benchmark For Trend Following?

“What is the correct benchmark for trend following?” This is a difficult question, and there really is no perfect answer. Q3 hedge fund letters, conference, scoops etc As many of our readers know, we are fans of trend following and trend-followed portfolios. For those unfamiliar with trend following, the idea is rather simple–invest [...]

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Can Your Alpha Cover The Tax Bill? Pro-Tip: The ETF Wrapper May Help.

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler 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 Q3 hedge fund letters, conference, scoops etc What are [...]

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Investment Factor Timing: Challenging, But Not Impossible

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov 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 What are the research questions? Is it possible to time factors? [...]

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The Profitability Factor: International Evidence

Robert Novy-Marx’s 2013 paper “The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock returns, but also helped further explain some of Warren Buffett’s superior performance. (Wes Gray summarized that paper here.)  His study built upon the 2006 [...]

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How Can The Investment CAPM Price Momentum?

“How can a q-theoretic model price momentum?” is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing in empirical asset pricing — can neoclassic economic models explain the so-called momentum anomaly? Q3 hedge fund letters, conference, scoops etc A quote from the start [...]

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How a Multi-factor Portfolio is Constructed Matters

The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected Stock Returns,” Eugene Fama and Kenneth French introduced a new-and-improved three-factor model, adding size and value to market beta as factors that not only [...]

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When Diversification Fails

When Diversification Fails Sebastien Page and Robert Panariello Financial Analyst Journal, 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 Q3 hedge fund letters, conference, scoops etc What are the Research Questions? The paper investigates the following research question: Are left-tail vs. right-tail [...]

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The Trillion Dollar Question: Why So Few Women In Finance?

Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, 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. [REITs] Q2 hedge fund letters, conference, scoops etc What are the Research Questions? Data show that the fraction of [...]

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Value And Momentum And Risk

Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite the behavioral explanation for momentum–investors tend to underreact to new information–whereby winning stocks do [...]

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Leveraged ETFs And Volatility Jumps

Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in [...]

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Illustrating The Value Of Retirement Accounts

What do most people consider to be the biggest benefit of retirement accounts? Many investors and advisors will say, “tax deferral.” Get The Full Seth Klarman Series in PDF Get the entire 10-part series on Seth Klarman in PDF. Save it to your desktop, read it on your tablet, or email [...]

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