Academic research behind our investment strategy
The Cross Section of Expected Stock Returns. This is the seminal 1992 paper that introduced Factors of Return Theory for stocks. By Eugene Fama and Kenneth French
Portfolio Selection. A 1952 paper by Harry Markovitz introducing Diversification Theory.
Investor Diversification and International Equity Markets. A 1992 paper by Ken French and James Poterba about international equity diversification benefits and the nature of home bias.
A brief modern history of Efficient Market Theory from the 1950’s, by Eugene Fama.
Eugene Fama describe the shift from the CAPM model to the three factor equity model, the basis for the Factors of Returns Theory.
Efficient market’s shortcomings and behavioral finance. Are markets efficient or are there irrational bubbles?
Harry Markowitz on Diversification, Portfolio Theory and The Efficient Frontier. Or, how to get a dissertation idea from a stockbroker.
Optimizing the risk return trade off and the definition of the efficient frontier, a concept central to Portfolio theory and to our mean variance optimization algorithm