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Our Strategies
U.S. Equity
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INSIGHTS

Mikhail Samonov
March 18, 2019
Active Investing

10 Ways to Combine Quant and Fundamental Approaches that Work (and 10 that don't)

Mikhail Samonov
March 18, 2019
Active Investing
10 Ways to Combine Quant and Fundamental Approaches that Work (and 10 that don't)

Can quantitative and fundamental approaches be successfully combined?

The short answer is: Yes

Mikhail Samonov
March 11, 2019
Dynamic Asset Allocation

The Largest Cost Facing Investors Today

Mikhail Samonov
March 11, 2019
Dynamic Asset Allocation
The Largest Cost Facing Investors Today

There exist many flavors of market timing.

1 Comment
Mikhail Samonov
March 4, 2019
Factor Investing

Value, Momentum and Basis in Commodity Futures: 1877-2017

Mikhail Samonov
March 4, 2019
Factor Investing
Value, Momentum and Basis in Commodity Futures: 1877-2017

We use hand-collected futures data to extend the well-known cross-sectional Value, Momentum and Basis factors in commodity futures back to 1877.

Mikhail Samonov
February 25, 2019
Active Investing

What Do Warren Buffett, George Soros, and Ray Dalio have in common besides being famous investors?

Mikhail Samonov
February 25, 2019
Active Investing
What Do Warren Buffett, George Soros, and Ray Dalio have in common besides being famous investors?

They can’t do each other’s jobs well.

Mikhail Samonov
February 18, 2019
Active Investing

What is Worse: Data-Mining or Not Innovating?

Mikhail Samonov
February 18, 2019
Active Investing
What is Worse: Data-Mining or Not Innovating?

In most decisions including investing, there are two ways to be wrong:

  • Doing something that doesn’t work

  • Not doing something that would have worked

Mikhail Samonov
February 11, 2019
Active Investing

Where Does Alpha Come From?

Mikhail Samonov
February 11, 2019
Active Investing
Where Does Alpha Come From?

In Finance, Asset managers often hit this wall: “Alpha Is So Hard”.

The market is impossible to beat. Alpha is dead…

Mikhail Samonov
February 4, 2019
DB_Strategy, Dynamic Asset Allocation

Two Risks That Ruin Long-Run Investing

Mikhail Samonov
February 4, 2019
DB_Strategy, Dynamic Asset Allocation
Two Risks That Ruin Long-Run Investing

The first risk of investing is the Drawdown Risk - the loss from the peak. The second risk of investing is the Low Return Risk - the under-performance vs. expectations over a stretched period of time.

Tagged: Asset Allocation

1 Comment
Mikhail Samonov
January 28, 2019
Factor Investing

A Growing List of Long-Run Factor Studies

Mikhail Samonov
January 28, 2019
Factor 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, only during the past decade has there emerged literature studying the cross-sectional factors over the long-run.

Mikhail Samonov
January 21, 2019
Factor Investing

Relevance of Long-Run Historical Data Today: Case of Price Momentum Crashes

Mikhail Samonov
January 21, 2019
Factor Investing
Relevance of Long-Run Historical Data Today: Case of Price Momentum Crashes

Many people ask why I look at long historical data when today is very different from distant past.

Mikhail Samonov
January 14, 2019
Factor Investing

Top Free Factor Investing Tools and Data Websites

Mikhail Samonov
January 14, 2019
Factor Investing
Top Free Factor Investing Tools and Data Websites

Here are some of the best free sites that I recommend for factor investing:

1 Comment
Mikhail Samonov
January 7, 2019
Dynamic Asset Allocation

The Common Failure of Asset Allocation

Mikhail Samonov
January 7, 2019
Dynamic Asset Allocation
The Common Failure of Asset Allocation

Why do so many investors fail to achieve the average returns that various asset allocation approaches provide over the long-run?

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