Our Second Quarter


It has been 6 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.

We would love to hear from you!

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

We started the quarter with a post on factor research applied to bonds.  The results indicate that investors should explicitly include factors in their strategic allocation to the corporate bond market. Performance attributes of multifactor bond portfolios include diversification benefits, a lower tracking error (risk); and higher information ratios (return to risk).

Staying with factor investing research, we wrote a smart beta series published by CityWire. You can find our posts here on 1)  the pitfalls to avoid when delving into factor investing; 2) the importance of combining robust factors in a portfolio to increase diversification; 3) the after-transaction cost performance of factor investing strategies. We still have one to go. Stay tuned!

Another topic that we covered in two different posts is asset allocation. First, we showed here that retail investors are not able to time the entry and exit points as well as the selection of the right instruments. Investors under this analysis emerge as buying and selling ETFs at the “wrong” time or trading the “wrong” ETFs.  Second, we reviewed research that challenges the results by DeMiguel et al. (2009), which claims the superior performance of 1/N models.

Finally, we reviewed a couple of thought-provoking papers: the first one on what it means to be a female analyst compared to male analysts on Wall Street; the second one on the poor performance of “past performance”-based fund selection techniques.

We hope we stretched your brain!