Our First Quarter

Dear Subscribers,

It has been 3 months since we started publishing short summaries of recently published papers. We select articles that we think are worthy of consideration when thinking about investing.  We strive to communicate the three most important points in an easy-to-read format: 1) the research questions; 2) the academic insights, 3) the reasons why an investor should consider this research.

Please tell us how we are doing and what we can do to improve further by replying to this email! And if you like what you read please consider spreading the word by sending our website link to friends and colleagues. Thanks!!

Following is a brief review of the topics covered so far.

During the first quarter of 2017, there was a burst of research on Factor Investing and Smart Beta, including a special issue of the  Journal of Portfolio Management  devoted to this topic. See the summary posts here and here.

 Our first post of the weekly series covered the issue of price differences of various smart beta funds. Investors need to be careful when selecting these types of products and perform robust due diligence.  See our post on this article.

Another topic that we covered was the issue of data mining and robustness checks for factor investing strategies (see our post on this article here).  Investors need to be careful in doing their due diligence and require stringent econometric rigor when presented with backtest results.

Finally, we reviewed a couple of thought-provoking papers: the first of a new “big data: social media” set (see here);  while the second one reviewed what really defines a diversifying international equity strategy (see here).

We also announced a new partnership with AlphaArchitect to publish our reviews.

We hope we stretched your brain!

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