blog 2017-08-14T13:54:07+00:00

Academic Research Insight: Can Bond Portfolios Be “Factorized”?

By | August 14th, 2017|

Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts Journal, Vol. 3 No. 2, 2017 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322) What are the research questions? Can the concepts [...]


By | August 13th, 2017|

Team: This post is part three in the training series for those participants in this year's March for the Fallen event. We are about 5 weeks out from the event and Dave Babulak is helping [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By | August 13th, 2017|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we [...]


By | August 11th, 2017|

A trend following strategy is based on switching between a financial asset and cash depending on whether the asset prices trend upward or downward. Specifically, when the strategy identifies that prices trend [...]

Diversification Benefits of Time Series Momentum

By | August 10th, 2017|

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Volatility Premium, Covered Call Selling, and Knowing What You Own

By | August 8th, 2017|

The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value and Momentum Everywhere A Century of Evidence [...]

Academic Research Insight: Diagonal Models versus 1/N Diversification

By | August 7th, 2017|

Title: MITIGATING ESTIMATION RISK IN ASSET ALLOCATION: DIAGONAL MODELS VERSUS 1/N DIVERSIFICATION Authors:       CHRIS STIVERS, LICHENG SUN Publication: THE FINANCIAL REVIEW,  2016 (version here) What are the research questions? In spite of several [...]

Avoiding Traumatic ESOP 1042 Election Distress

By | August 1st, 2017|

Medical scientists have identified a disorder, known as Traumatic 1042 Election Distress, that can afflict business owners who pursue Section 1042 sales of their company stock to an ESOP. The researchers recently concluded their clinical study, based on observations of hundreds patients over the past 30 years. Their newly published findings identify common stress patterns observed among business owner patients. The disorder is curable if diagnosed early.