Category: Anomalies

Factors, Fortitude, and Faith

“Fortitude is the guard and support of the other virtues.” – John Locke Factors, factors, factors. Everyone seems to love factors these days. Why? Because they have exhibited high returns in the past and investors love high returns. But just because factors have outperformed over long periods of time in the past doesn’t mean they […]

Amazing what a difference a day makes.  On Tuesday of last week, I wrote the below article which was set to be published on for the following day.  Unfortunately, there were some technical issues during the submission process, and I got too busy to try to re-submit the writing Thursday.  It turns out with […]

False Precision

“There is no science in this world like physics. Nothing comes close to the precision with which physics enables you to understand the world around you. It’s the laws of physics that allow us to say exactly what time the sun is going to rise. What time the eclipse is going to begin. What time […]

The Volatility Cycle

More risk equals more return. Less risk equals less return. These are the commandments of the Capital Asset Pricing Model (CAPM), taught to first-year business students all around the country. Sounds reasonable enough but the CAPM is not one of Newton’s laws of motion; it is just a theory. In reality, while markets are highly efficient […]

Chasing Momentum

Momentum is one of the most powerful and persistent market anomalies. The evidence supporting this assertion is overwhelming. The idea that buying past winners and selling past losers (from 1-12 months) can lead to outperformance, though, is still bewildering to many. It’s not intuitive, especially for value investors, to believe that past performance in security […]