Perspective
Cognitive Dissonance
April 1, 2024
My latest covers a few things I would’ve thought were hard for investors to believe at the same time. Experience has proven me quite wrong.
Equities
Why Not 100% Equities
February 12, 2024
Recently, a new paper has been making a big splash in our small pond of academic/quant investing. By “new,” I just mean “recently written,” as much of it ain’t new. In this piece, I offer a concise (relative to my norm) rebuttal, as this is well-trod ground.
Perspective
Opining for the 10th Time
October 9, 2023
I just published my 10th op-ed in The Wall Street Journal. This one is on the movie “Dumb Money” and, more importantly, the broader implications of the meme stock craze for today’s society as a whole. I thought it would be fun to put all ten op-eds out together. Be forewarned – if you aren’t a U. Chicago free marketer, you may not like them all.
Perspective
Opining for the 10th Time
October 9, 2023
I just published my 10th op-ed in The Wall Street Journal. This one is on the movie “Dumb Money” and, more importantly, the broader implications of the meme stock craze for today’s society as a whole. I thought it would be fun to put all ten op-eds out together. Be forewarned – if you aren’t a U. Chicago free marketer, you may not like them all.
Factor/Style Investing
Holding Our Breadth
February 6, 2023
Regular readers probably noticed I’ve been talking a lot about value lately. While I’m all for shining the spotlight onto the value dislocation, my colleagues also continue to produce a great breadth of research worth adding to your non-value-reading-list. I preview some of my recent favorites.
Factor/Style Investing
Holding Our Breadth
February 6, 2023
Regular readers probably noticed I’ve been talking a lot about value lately. While I’m all for shining the spotlight onto the value dislocation, my colleagues also continue to produce a great breadth of research worth adding to your non-value-reading-list. I preview some of my recent favorites.
Factor/Style Investing
Uncorrelated Assets: An Important Dimension of an Optimal Portfolio
January 12, 2023
Recently, Dimensional Fund Advisors wrote critically on “liquid alts.” They make some good points, but they also draw some odd conclusions that if applied more generally would not be to their or our liking. Besides discussing their piece, below I also review the general rationale behind holding uncorrelated assets – in particular, equity “factors” held in a long-short manner.
Alternative Investing
Volatility Laundering
January 6, 2023
While not alone, I have become one of the chief gadflies of the private equity industry. But I’m a selective gadfly. The illiquidity and non-marking that comes with private investments used to be acknowledged as a bug. These days, however, this same bug is sold as a feature – and sometimes, as in a recent Institutional Investor op-ed, brazenly so. My response in II covers what I think are the increasingly harmful ramifications of taking as reality the unrealistically smoothed returns that private strategies are all-too-happy to report.
Factor/Style Investing
The Bubble Has Not Popped
January 4, 2023
This post updates our value spread with data through the end of 2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory – at the 94th percentile, to be precise. More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.
Factor/Style Investing
The Bubble Has Not Popped
January 4, 2023
This post updates our value spread with data through the end of 2022. The fourth quarter of 2022 saw value recover from the bout of temporary insanity that gripped some portion of the market over the summer, but the spread ends 2022 very much still in rarified territory – at the 94th percentile, to be precise. More excitingly for 2023, value’s returns in 2022 were extremely strong, and the spread only moved from roughly the 100th percentile to the 94th, which makes us very optimistic about the prospects of continued normalization in 2023 and beyond.