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Trend-Following: A Decade Of Underperformance
An economic rationale for trend-following to work in the future would be if investors’ risk aversion is dynamic, and investors become more risk-averse as prices get lower and expected returns rise.
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.
Women In Alternative Investments: ‘Leveraging Diverse Perspectives’
With change happening at an unprecedented pace, it is fitting that alternative investment firms are strategically focused on leveraging diverse perspectives in these disruptive times.
Buyback Blackout Periods Do Not Negatively Impact Market Performance
The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,(1) left investors searching for a culprit.
HH Discipline: A Necessary Condition For Successful Investing
What does kite flying have in common with investing?
Weekly Recap: Affiliated Funds And Diversification
This week Ryan and I discuss two topics. First, we discuss a paper examining the performance of bank affiliated mutual funds. Second, we examine a post by Larry Swedroe on diversification.
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.
Do Bank Affiliated Funds Underperform Unaffiliated Funds?
Taking a deeper look at a study on asset management within commercial banking groups
Buybacks: Why They Don’t Matter, Why They Do, And Why You Should Care Yet Still Relax
U.S. Companies bought back $217 billion of their $1.3bn in overseas cash in the first quarter, helping fuel a record $189 billion in stock buybacks.
Macro Conditions May Enhance Short-term Predictability Of The Shiller P/E
Although the insights provided by the analysis of the patterns observed for inflation and yields are interesting in and of themselves, the question of whether or not they add predictive value is of practical significance.
The Carry Factor And Global Risks
The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets.
Deconstructing The Low Volatility/Low Beta Anomaly
Investors in low-volatility strategies should be aware not only of current valuations but, for taxable investors, the negative tax impact of dividends as well.
Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?
What causes a stock’s price to move? A great question, and one that puzzles most market observers every day.
Explaining The Beta Anomaly
To see the effect of limits to arbitrage and arbitrage asymmetry, Stambaugh, Yu and Yuan note that stocks with greater IVOL, and thus greater arbitrage risk, should be more susceptible to mispricing that isn’t eliminated by arbitrageurs.
Commodities For The Long Run
Using a novel dataset consisting of daily futures prices starting in 1877, we find that returns of commodity futures indexes have averaged long-term positive returns. The data supports commodities as an attractive asset class in diverse portfolios.
Investor Attention And The Low Volatility Anomaly
High-attention stocks tend to have high market betas, low prices, high idiosyncratic volatility, greater skewness and are less liquid.
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