Required Reading for Investors
Jane Bryant Quinn, a highly regarded and nationally syndicated columnist, once called much of the output of Wall Street and the trade publications that cover financial markets “investment porn.” She summed it up this way: “Americans are indulging themselves in...
Europe Factors Parallel US
The academic research has provided investors with strong evidence there’s a small group of investment factors—or sources of returns—that have delivered higher returns over the long term. To be considered among this small group of factors, the evidence should have...
Market Efficiency Doesn’t Matter
In a recent discussion on the Advisor Perspectives website (it was in response to an article I wrote on the performance of Third Avenue Management’s actively managed funds), someone commented: “I am, for the most part, a proponent of passive...
Genes, Experience Affect Choices
Are you a value investor or a growth investor? Could your preference be influenced by a biological predisposition partially ingrained from birth? Is it possible that your choice of investment could be explained by your personal experiences, both early on...
Index Funds Win Across Borders
Thanks to Standard and Poor’s Indices Versus Active (SPIVA) scorecard, investors are becoming ever-more aware both of the persistent underperformance of the vast majority of actively managed funds as well the lack of evidence showing any persistence among the minority...
Keep Skewness In Perspective
Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, authors of the new paper, “Does Realized Skewness Predict the Cross-Section of Equity Returns?”, examined higher moments of volatility, skewness and kurtosis to determine if they have provided incremental explanatory power...
Hedge Funds Dropping Like Flies
Fortress Investment Group is closing its flagship hedge fund following heavy losses and investor withdrawals. The fund, which had managed more than $8 billion in 2007, saw its assets fall to $3.2 billion at the start of 2015 and then...
Hedge Funds Win With A Draw
The third quarter of 2015 brought hedge funds a very small amount of relief from their historically poor performance. Keep in mind, however, that hedge funds entered January coming off their sixth-straight year of trailing U.S. stocks by significant margins....
Stock Volatility Moves Treasurys
Understanding the volatility of Treasury bond returns, as well as the volatility of both the level and slope of the Treasury term-structure, are fundamental issues in finance. What’s more, they have important implications for investors and portfolio design. Researchers have...
Correlations Can Be Predictive
Academic researchers have presented theory, as well as empirical evidence, suggesting certain linkages between equity risk and the Treasury bond market, a relationship that clearly has important implications for investors’ understanding of markets and portfolio design. Studies, for example, have...
