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Why Momentum Is Struggling

  • October 3rd, 2016
  • ETF

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Mark Carhart, in his 1997 study “On Persistence in Mutual Fund Performance,” was the first to use momentum, together with the three Fama-French… Read More

What a 12-Year-Old Ukulele Player Teaches Us About Authenticity In Our Work

  • October 3rd, 2016
  • BAM Author

What vocational lessons could we possibly learn from the 12-year-old viral sensation who just won America’s Got Talent? I don’t watch reality television contests, because as a rule, the best participants rarely participate and when they do, they almost never win. But quite randomly, a 12-year-old ukulele player named Grace VanderWaal, inspired me to break my… Read More

What A 12-Year-Old Ukulele Player Teaches Us About Authenticity In Our Work

  • October 3rd, 2016
  • Forbes

What vocational lessons could we possibly learn from the 12-year-old viral sensation who just won America’s Got Talent? I don’t watch reality television contests, because as a rule, the best participants rarely participate and when they do, they almost never win. But quite randomly, a 12-year-old ukulele player named Grace VanderWaal, inspired me to break… Read More

Trend Following Works the Weakest After Financial Crises

  • October 3rd, 2016
  • BAM Author

Time-series momentum examines the trend of an asset with respect to its own past performance. This is different than cross-sectional momentum (often referred to as Carhart momentum), which compares the performance of an asset with respect to the performance of another asset. Research into time-series momentum has found it to be persistent across both time… Read More

Monetary Policy & Mutual Fund Flows

  • October 3rd, 2016
  • ETF

The Federal Open Market Committee (FOMC) of the Federal Reserve sets a target for the federal funds rate (FFR) in an effort to influence the money supply, and in turn the broader economy. This, along with more uncommon actions like quantitative easing, is monetary policy. In a world of efficient markets, all known information is… Read More

‘Incredible Shrinking Alpha’ Continues

  • October 3rd, 2016
  • ETF

Even though Wall Street tries to keep alive the debate about the merits of active versus passive investing, a clear trend has emerged over the last several decades in which investors are slowly but steadily abandoning the hope of outperformance that active management offers in favor of the certainty of earning market (not average) returns… Read More

A Persistent Kind Of Momentum

  • October 3rd, 2016
  • ETF

Time-series momentum examines the trend of an asset with respect to its own past performance. This is very different than cross-sectional momentum (often referred to as Carhart momentum), which compares the performance of an asset with respect to the performance of another asset. Ian D’Souza, Voraphat Srichanachaichok, George Jiaguo Wang and Chelsea Yaqiong Yao, who… Read More

Explaining The ‘Disposition Effect’

  • October 3rd, 2016
  • BAM Author

There is a large body of academic evidence demonstrating that individual investors are subject to the “disposition effect.” Those suffering from this phenomenon, which was initially described by Hersh Shefrin and Meir Statman in their 1985 paper, “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,” tend to sell… Read More

Trend Following Works Weakest After Crises

  • September 19th, 2016
  • ETF

Time-series momentum examines the trend of an asset with respect to its own past performance. This is different than cross-sectional momentum (often referred to as Carhart momentum), which compares the performance of an asset with respect to the performance of another asset. Research into time-series momentum has found it to be persistent across both time… Read More

Ignore Forecasts—They’re Usually Wrong

  • September 19th, 2016
  • ETF

I have been quite surprised by the number of queries I’ve received recently from advisors and clients regarding the dire economic and market forecasts of Frank Porter Stansberry. So, I thought I would share my response. To begin, here’s the entry for him on Wikipedia: “Frank Porter Stansberry is an American financial publisher and author…. Read More

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