Performance Analysis

Lead Content

King of the Mountain: The Shiller P/E and Macroeconomic Conditions (The Journal of Portfolio Management, 2018)

In this paper for the Journal of Portfolio Management, Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.

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Savvy Investor

28 Aug 2018

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Harvesting Dividend Yield in China (Axioma blog, Jan 2019)

Traditionally, in times of slower economic growth, when the central bank is being accommodative via a low interest rate policy, yield-seeking investors turn to dividend yield.

An Examination of Ex Ante Fund Performance: Identifying Indicators of Future Performance (2018)

Although there has been a substantial flow of money over the last twenty years into index tracking funds and ETFs, the vast majority of equity investment in mutual funds is still being managed on an…

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Correcting for Survivorship Bias in Investment Product Universes (JOIM, 2018)

Diversification, Volatility, and Surprising Alpha (Intech, Nov 2018)

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Factor Indexes and Factor Exposure Matching (FTSE Russell, 2018)

Top of Mind: Three ideas for the final quarter of 2018 (Wellington Management)

A Framework for Analyzing Multifactor Funds (Morningstar, 2018)

Global active bond fund returns: a factor decomposition (Vanguard, Jul 2018)

Does Past Performance Matter? The Persistence Scorecard (S&P Dow Jones Indices, 2018)

Alternative Investing: But What About October? (Cliff Asness, Nov 2018)

The Biggest Failure in Investment Management: How Smart Beta Can Make It Better or Worse (Research Affiliates, 2018)

The Value of Research: Skill, Capacity, and Opportunity (S&P Dow Jones Indices, 2018)

Corporate Political Strategies and Return Predictability (Financial Analysts Journal, 2018)

TOP NEWS AND BLOGS

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Amazon Knows What You Buy. And It’s Building a Big Ad Business From It. - New York Times

At End of Q3, Hedge Funds are Behind 2017 Returns (eVestment blog, Oct 2018)

Are There Benefits to Being Compliant with the GIPS Standards? (CFA blog, Sep 2018)

What are the Chances that an Asset Manager Will Outperform? (Tom Brakke, Aug 2018)

How frequently should the average investor check their account balances? - Medium

Investment Cartography - mullooly.net

IBM’s Old Playbook - Stratechery

Overstock’s Founder Bets on Blockchain, Not Bedsheets - Wall Street Journal

Warren Buffett’s Firm Invests Millions in Fintech - Wall Street Journal

Survey Confirms Increase in GIPS Compliance, Verification (eVestment blog, Aug 2018)