December 16, 2016
A very simple overview of an oft talked about concept – future stock returns. Video link, bonus white paper, and website: Link Video: The most important number you won’t find in the Wall Street Journal White Paper A Case Study […]
December 11, 2016
How did Soros, Buffett, and Lynch put together decades of great performance? AQR asks the question with some interesting answers… Chart and download: —- —- Link Alternative Thinking Website http://www.aqr.com
October 26, 2016
Fun read on momentum from the FAJ. And for those interested, here is a fun crowd funding for a private ETF company! Chart then download: —- —- Download PDF Two Centuries of Price-Return Momentum Website http://www.cfapubs.org/doi/abs/10.2469/faj.v72.n5.1
August 27, 2016
Cliff and Rob debate their factor timing papers at the Morningstar conference. Full transcript below. Plus, you can subscribe to the M* magazine for free – and you should, it’s very good. No quotes just link. Link to article: Meeting of the […]
July 19, 2016
Hat tip to Swedroe for alerting to this paper. Value and momentum at the asset class level, you know I like it! Here is also a nice RealVision interview with Victor. Also included a download of Cliff’s old paper “Value and Momentum […]
June 23, 2016
Monster SocGen paper on trend. Sounds a little bit like the Trinity portfolio so you know I love it! Chart, quote then download: —- “Trend-following systems have a defensive risk profile due to their positive returns in most market downturns. They […]
June 9, 2016
Today’s read comes from subscriber B.J. (recall you get $100 if you email over a piece I end up using!). It takes a look at the q: what happens to the stock market when it hits a new high after […]
February 15, 2016
My old white papers talked about combining momentum (relative strength) and trend (time series mo). It works great across asset classes, and apparently, within stocks too. Table then download… —- —- Download PDF The Enduring Effect of Time-Series Momentum on […]
December 1, 2015
Quite a mouthful that title. Great paper from folks at AHL/Man on combining carry, value, and momentum. Graph then link: —- DOWNLOAD Dissecting Investment Strategies in the Cross Section and Time Series LINK http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695101 Get a Free Subscription! If you […]
November 13, 2015
Fun article from AQR on contrarian and trend timing. You know I like it! Graph then link: —- DOWNLOAD Market Timing is Back in the Hunt for Investors LINK https://www.aqr.com/ Get a Free Subscription! If you send me an email […]
October 8, 2015
Thanks for all the comments on the white paper, including spelling the title correctly! (Man do I need an editor…) Fixed and clarified some parts, but mainly the same flow. As always, it is hard to strike a balance between […]
October 4, 2015
I’ve been working on a new paper, and I’m sharing it with the Farm list before publishing. (So don’t share publicly yet please!) Also, let me know what you think! One chart then the download: —- —- Download Learning to […]
September 27, 2015
You know that I like this piece! On the combo of value and mo… One chart then the link: —- —- Download How Not To Wipe Out With Momentum Website www.researchaffiliates.com/ Get a Free Subscription! If you send me an […]
August 6, 2015
No charts and quotes this time but a couple of academic papers to skim. The first is on how to try and replicate private equity returns through factor based small caps: Leveraged Small Value Equities (and commentary by Wes here) The second is […]
July 23, 2015
Wes & Jack do great work. Here he shows how using simple timing models based on valuation can either increase return and/or reduce vol and drawdown. Simple works! Chart, then link. —- —- Link http://blog.alphaarchitect.com/2015/07/22/market-timing-with-value-and-momentum/ Website http://blog.alphaarchitect.com/ Get a Free […]