July 16, 2019
Smart Beta: The Good, the Bad, and the Muddy
Smart Beta is one of the hottest topics in finance, and everyone wants to know: is the stock market largely efficient, or are there inefficiencies that investors can profit from?
November 26, 2017
A Brief History of Sharpe Ratio, and Beyond
Early in the 1950s, academics and investors started proposing a variety of summary statistics to capture in a single number the quality of an investment – no small feat, as history shows.
November 20, 2017
HHHHHHHHHHHH: Is there a message in there? Elm Research in Bloomberg Prophets
The 12-month winning streak of the stock market through the end of October reminded me of a Friday afternoon on the Salomon trading floor…
October 16, 2017
Some Clarity on Risk Parity
Google “risk parity” and you’ll see a grab bag of conflicting results: articles and posts trying to explain what it means, what effect it might have, how it affects risk, etc.
October 2, 2017
Market Multiple Mean-Reversion: Red Light or Red Herring? Elm research published on Bloomberg
While there may be reasons to worry about the current price levels of U.S. equities, but…
August 7, 2017
When (if Ever) Has it Paid to Wait for a Stock Market Correction? Reviewing 115 Years of US Stock Market History
An investor once told us she wanted to add to her account, but felt the market was so high that she should wait for a correction before investing.
May 23, 2017
Our Coin Flipping Research in the Journal of Portfolio Management
The research we conducted into how people bet on a computer-generated coin-flip they are told is biased has been published in the Spring 2017 edition of the Journal of Portfolio Management.
April 11, 2017
What’s Past is NOT Prologue
We recently asked our readers to participate in a coin-flipping experiment, and over 700 responded. In this note, we’ll be diving into the results, exploring what they mean, and what we could possibly learn from them.
March 8, 2017
What’s the Best Way to Get Invested in the Market?
A few friends asked me how to go about putting more of their savings into the stock market. Is it better to jump in all at once, to average-in over time, or to wait for a market correction?
December 9, 2016
How much of a good thing is best for you?
You can invest in only two assets: a risk-free asset and public equities. Your choices are: A) 100% risk-free, or B) 10% risk-free and 90% equities. What sort of returns would make you choose B?
May 27, 2016
Elm’s strategy in The Journal of Portfolio Management
Our research paper, “A Case Study for Using Value and Momentum at the Asset Class Level”, was recently published in The Journal of
Portfolio Management!
March 23, 2016
The Unexpectedly High Expected Return of Global Equities
It seems just about everyone I talk to these days is underwhelmed by the long-term expected return of the global stock market. I, too, am more worried than usual…but not for the same reason.
January 26, 2016
Return chasing can be hazardous to your wealth
“Before I tell you what I do, I’m going to ask and answer the most important question you should put to me: Who is losing the money that I’m going to make for you?”
July 18, 2015
ETFs: Better Than Mutual Funds for Long Term Investors too?
We invest with a long-term horizon, and believe that ETFs have three advantages for long-term investors like us: 1) insulation from trading costs, 2) tax efficiency, and 3) cost structure.
March 8, 2013
Vic’s TEDx talk: Where are all the Billionaires? And why should we care?
In this TEDx talk, we detail the basics of Active Index Investing® and how it combines the best features of low-cost index funds with the most successful aspects of active management.