Blog Archives

Dispelling Myths of Momentum | AQR Research Factory

June 6, 2014
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In a recent working paper from the prolific AQR Research Factory, the authors seek to dispel ten common myths of momentum investing.  To their credit, they use the fine data publicly available from Kenneth French and use fairly simple metrics to make ...

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Active Share and Tracking Error | Not Mutually Exclusive Decisions

June 4, 2014
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Antti Petajisto got a lot of attention with his research on Active Share and Tracking Error in mutual fund management.  While the research is fairly compelling, there is a missing discussion about a potential relationship between the two measures. The...

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High Frequency | Winners and Losers by Chord

May 6, 2014
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I admit it looks like I am the only person in the world who has not read Michael Lewis’  Flash Boys. I was more attracted to this fine paper with slightly fewer views than Flash Boys. Baron, Matthew and Brogaard, Jonathan and Kirilenko, Andrei A....

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Slidify Old Book Images from Google Books

April 29, 2014
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I really enjoy reading old books, especially finance books, from Google Books.  With all the changes in the world, their continued relevance amazes me.  For instance, as I prepared for my talk about Wealth and Skill, I rediscovered Developing Financi...

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All the Factors | More Looks

April 23, 2014
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Well, my last post Exploring Factors with rCharts and factorAnalytics got enough attention to motivate me to pull in some more Asness, Frazzini, Pedersen factors and plot them in some different ways.  The additional factors are US and global UMD (up m...

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Exploring Factors with rCharts and factorAnalytics

April 21, 2014
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Fama and French changed the financial world with their factors in 1993.  Another duo Andrea Frazzini and Lasse Heje Pedersen have expanded our world with their Betting Against Beta (BAB) and Quality Minus Junk (QMJ)  factors.  The combined factor se...

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Wealth and Skill | A Talk to Students

April 15, 2014
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I enjoyed talking to University of Alabama students this morning about wealth, skill, and luck.  I tried to synthesize a whole lot of research into something meaningful.  Of course, it would not have been possible without rCharts + Slidify.  Thanks ...

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Find it Humorous … “Not So Bad” in the “long-term”

April 11, 2014
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I agree the market selloff has been weak thus far (especially as a frustrated bear).  However, I find it humorous as some widely followed commentators say things like “You’re only down x% ytd.  It’s not that bad”.  I wonder if this selloff g...

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R as a Publishing Engine | CPI Components Use Case

April 4, 2014
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R was certainly not designed to be a publishing engine, but in my workflow, R is the primary method of content creation.  With that in mind, I have been thinking about a very different use case of rCharts in which we might want to include inflexible a...

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xts like endpoints in Javascript

April 2, 2014
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I decided to promote this from a Twitter comment to a blog post.  I had hoped to do a prototype javascript interactive rebalancing visualization of Unsolved Mysteries of Rebalancing integrating this, but I have not had the time, so  I’ll release it...

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