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...

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...

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...

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...

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...

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...

The Conservative Formula: Quantitative Investing Made Easy

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz 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 Is it possible to build...

How Leverage Constraints Effect Mutual Fund Risk Taking

The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting against beta (BAB) factor (a portfolio that holds low-beta assets, leveraged to a beta...

Smart Beta Is Officially Dead, But Not Forgotten

What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to...

Group Diversity May Constrain The Most Dangerous Investment Bias: Overconfidence

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang 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.   What are the Research Questions? Decision makers in organizations often...

Looking At Alternatives? Avoid Complexity And Magical Backtests

Quantifying Backtest Overfitting in Alternative Beta Strategies Annti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 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...

Accruals Momentum As An Investment Strategy

Accruals are a part of any company’s financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for (1) revenue that has been earned but not received and (2) costs that have been incurred but have not been paid. In short, one...

The Best Research Paper Ever Written On Trading Costs

Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a “quant” these days, slinging money around like drunken pirates, destroying the price discovery process along...

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