Can quantitative and fundamental approaches be successfully combined?
In my estimate, this has been a top 5 industry question for a long time, including this conference at which I’ll be speaking at tomorrow
The short answer is: Yes
The Largest Cost Facing Investors Today
Value, Momentum and Basis in Commodity Futures: 1877-2017
Commodity Futures contracts were established in 1865, but commercially available data starts in 1959, leaving an 80+ year period of unstudied history. In our latest academic paper “Two Centuries of Commodity Futures Premia” Chris Geczy and I use hand-collected futures data to extend the well-known cross-sectional Value, Momentum and Basis factors in commodity futures back to 1877.
What Do Warren Buffett, George Soros, and Ray Dalio have in common besides being famous investors?
What is Worse: Data-Mining or Not Innovating?
Where Does Alpha Come From?
Two Risks That Ruin Long-Run Investing
A Growing List of Long-Run Factor Studies
While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run.