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Momentum for Buy-and-Hold Investors
There are many investors who prefer to remain invested in stocks at all times. Perhaps they think tactical allocation is some kind of voodoo. Maybe they have a strong psychological bias against...
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What You Should Remember About the Markets
Because I have been an investment professional for more than 40 years, I sometimes get asked my opinion about the markets. These questions usually come from those without a systematic approach toward...
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Smart Beta Is Still Just Beta
Some say that bull markets climb a wall of worry. This is good news for those already in the market. Worriers will help the market go higher later when they finally decide to jump on the bandwagon....
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Most Useful Investment Blogs
As with many people these days, most of my investment information comes from the internet. It has taken me years to compile a group of research-oriented blogs and websites that I have found most...
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Risk Tolerance Assessment
(An earlier version of this article first appeared on the Alpha Architect blog.)When I attended the Harvard Business School my favorite class was Managerial Economics. It focused on decision making...
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Factor Investing: Buyers Beware
A highlight of the 2016 Morningstar ETF Conference was the keynote address by the former leader of U.S. Navy Seal Team Six, Rob O’Neill. Chief O’Neill shared some stories about his training and...
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Book Review of Quantitative Momentum
I have been looking forward to Wes Gray and Jack Vogel's new book, Quantitative Momentum.It is the only book besides my own Dual Momentum that relies on academic research to develop systematic momentum...
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Common Mistakes of Momentum Investors
Like most investors, those using momentum are often guilty of chasing performance. In fact, momentum requires that we do this. But it should be done in a disciplined and systematic way. Performance...
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Are Commodities Still a Good Portfolio Diversifier?
Overfitting the data is a serious problem when constructing financial models. One way to guard against this is to have lots of data. This helps you determine if your results are robust by seeing how...
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Factor Zoo or Unicorn Ranch?
According to Morningstar, as of June 2016, the assets in smart beta exchange traded products totaled $490 billion. BlackRock forecasts smart beta using size, value, quality, momentum, and...
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Lessons Learned from Sports Investing
Wee Willie Keeler was one of the greatest contact hitters in baseball. One year, 30 of Keeler’s 33 home runs were inside the park. Keeler’s motto was, “Keep your eye clear, and hit ‘em where they...
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Real Time Factor Performance
According to S&P DJ Indices, 92% of all actively managed stock funds failed to beat their benchmarks over the past 15 years. This should come as no surprise. Similar results were published more...
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Trend Following Research
There have been hundreds of research papers on relative strength momentum since the seminal work by Jegadeesh and Titman in 1993. [1] Relative momentum has been shown to work in and out-of-sample...
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Book Review: Standard Deviations, Flawed Assumptions, Tortured Data and Other...
Years ago, when asked to recommend some good investment books, I often suggested ones dealing with the psychological issues influencing investor behavior. These focused on investor fear and greed,...
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Factor Investing: Implementation Costs Do Matter
Progress in science comes when experiment contradicts theory. – Richard FeynmanOne of the tenets of modern portfolio theory is that you cannot generally beat the market after transaction costs. Yet...
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Common Misconceptions About Momentum
Momentum is one of the most researched topic in financial market literature. A search of the SSRN database on momentum will turn up around 1000 papers written over the past three years and 3000 papers...
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The Evolution of Investing
I began my investment career in 1974. In 1976 I left a large retail brokerage firm to join a premier investment bank. I had both retail and institutional clients. So I had a well-rounded knowledge of...
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Momentum Solutions for Retirement
by Matt Richardson, JD, PhD As the surge of boomer retirements continues, commentators have given new thought to what safe withdrawal rates are for retirement accounts. The topic is especially...
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Back to Fundamentals
After winning two consecutive national championships, the Green Bay Packers lost a game due to sloppy play. Coach Lombardi called a meeting the next day to get his team back to fundamentals. When all...
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Perils of Data Mining
From the time my book was published others have tried to improve upon the book’s Global Equity Momentum (GEM) model. There is nothing wrong with trying to improve on prior work. That is how society...
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