Pim van Vliet
@paradoxinvestor
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Expect the latest research on quantitative investing! Conservative fund manager who likes data, history, and moral philosophy. ⛪️🇳🇱
Nederland
Joined September 2016
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Pinned Tweet
This graph shows that the VOL premium survives 7(!) factors. I use public data only. Here is a thread in 7 steps
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Today is the 21st day in the 21st week of the 21st year of the 21st century. Enjoy!
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New quant on the block: Amar Soebhag. Check his latest paper. Option-implied data has predictive value for stock returns. Interestingly, this risk is rewarded with a premium.
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Deep historical dive in factor style performance. The 2010s resembled the 1930s and 1990s. Avoid single factors, integrate for example with Conservative Formula 👇
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Cool new study: Swiss researchers use Machine Learning to predict stock volatility. Main factors are: volatility, spread and return.
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OUT NOW! Big empirical asset pricing study containing hand-collected market capitalizations for 1,488 major stocks for new 61-year sample. Download here 👇
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📢Stock Quotes in Excel 📈
I have discovered an easy and cost-effective method to import
#stockdata
into Excel, without the need for expensive subscriptions like Bloomberg or complex plugins. It is an Excel function in 365, which I discovered during a
#research
project, designed
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Fama-French on
#momentum
: "We include momentum factors (somewhat reluctantly) now to satisfy insistent popular demand. We worry, however, that opening the game to factors that seem empirically robust but lack theoretical motivation has a destructive downside...” JFE2018
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Google trends shows regional interest in ‘value stocks’ in blue and ‘growth stocks’ in red: Americans search for growth and Europeans for value.
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This graph is pretty shocking. The 2010s were even better than the 1990s and roaring 1920s for real earnings growth... Limits to growth in the 2020s?
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Tomorrow we will launch 🚀 a new paper pushing the frontier of quant investing using short-term signals.
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New white paper out! 150+ years of conservative investing. More evidence, pretty cool!
@BaltussenGuido
@RowanNijboer
@lhamtil
@alphaarchitect
@CliffordAsness
👇
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I’ve a new academic paper on global factor premiums. Replicating 24 alphas in the Multi-asset space going back to 1800... Big database. Online now!
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Quants, please stop using quant language to non-quants. This can be perceived as offensive to the 'mathematically challenged'. Here is a list 😇
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News flash | Ken French data library now contains Emerging Market factor returns. Enjoy quants 🤓
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The biggest market anomaly shortly discussed in the
@TheEconomist
. Should be a special in a future issue.
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New paper on 150+ equity factors today. David Blitz shows a clear low-beta effect also on a meta-level. "Most of the return of factors is made in bear markets, which explains half of their decay in the bullish post-2004 period"
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NEW STUDY | Curious to know what happens ‘when equity factors drop their shorts’? Here you go quants!👇
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Check out the latest Fama-French paper – essential for PhD students in empirical asset pricing. It offers in-depth insights into data production. Key takeaway: a modest increase in the value premium (HML+3bp) and a slight decrease in the size premium (SMB -1bp), attributed to
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This study on life-cycle investing is very popular. Delivering a clear message: Globally diversified equity portfolios (Stk/I) outperform both balanced (Bal) and target-date-funds (TDF). Not just in wealth creation, but also in risk mitigation. This conclusion is supported by a
0
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We updated our Global Factor Premiums paper. Latest version January 2021, with data going back to 1800.
@BaltussenGuido
@LaurensSwinkels
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Do equities outperform bond in the long-run? Not always, according to Edward McQuarrie (FAJ study)
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This new study combines short-term reversal with medium term momentum: Fractional momentum. As expected good results, also internationally. . Black line is fractional momentum and blue line is combination of reversal (green) and momentum (red)
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Think high market volatility leads to high returns? No. Periods with high market volatility are followed by high volatility, but not necessarily better returns. A volatility effect through time. Check out the graph below, based on the US equity market from 1927 to 2023. The
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Cool study about interacting anomalies, also with interactive website. Playground for quants with 102 US stock market variables
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Are we overestimating the diversification potential of bonds versus equities? This graph shows the stock-bond correlation was positive until the 1980s. Will it be +0.3 or -0.3 going forward? Link to full paper (July 2023)
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Low volatility 🤓 nerd
#alert
. Our online database is updated - download volatility and conservative factors going back to 1929👇
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1,000 downloads of new long/short paper in just one day 👍
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New paper on the quant 2018-2020 drawdown shows that there were many ways to fail, but basically one way to succeed: 'buy big growth'. Below picture of double sort on size/beta and big growth had market beta Q3-Q4 resulting in a non-linear pattern
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Nice FT piece on factor investing.
@CliffordAsness
as Bogle of HF investing, quite an honour. Vanguard now offers factor ETFs as well.
#disruption
is good for consumers.
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Two very popular recent studies challenge status quo:
1 Cederburg challenges life cycle investing (SSRN): -> 100% equities
2 McQuarrie challenges the equity premium (FAJ): -> add bonds to mix
🧐How to reconcile these two studies?
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Rich dad poor kid investing... Stocks owned by older and wealthier investors give highest returns (Sharpe ratio). One secret: the rich and wise own low-beta stocks.
@theRealKiyosaki
Nice Norwegian study
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🇮🇳 Conservative Formula tested in India. New paper by
@rajanraju26
and
@anishteli
👇 "The portfolio of 100 stocks significantly outperforms the S&P BSE 100 in absolute returns by 12.6% pa compound"
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Can bond returns be predicted? Using 70 years of international data
@Robeco
colleagues including
@BaltussenGuido
show it can (Sharpe 0.87). Download full study here 👇
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Quants do not really need to short individual stocks.
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New options study. Zero-day options have become very popular recently. Buying them means losing money. Shorting them is hardly profitable: the variance risk premium is only 0.0011% (panel B).
@VilkovGrigory
up-to-date sample is from Sep2016- Jan2024. Link below
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David Blitz, an experienced 25+year quant is 'more bullish than ever on quant'. Interesting thoughts, also personal reflections. What do you think?
@alphaarchitect
@CliffordAsness
@MebFaber
@GestaltU
@jsblokland
@johnauthers
@jasonzweigwsj
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Must reads 12. This classical study shows that value and momentum work 'everywhere', Rigorous work by
@CliffordAsness
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Summer reading 🌞 This excellent book by
@meirstatman
is a great summary of the complete behavioral finance 2.0 literature including his own contributions 🙏 for example, ‘expressive benefits’ 😎 explain why investors like to buy glamorous risky stocks despite their low returns.
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Cool study about interacting anomalies, also with interactive website. Playground for quants with 102 US stock market variables (retweet)
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Momentum is a proven and strong factor style, but capturing momentum efficiently is challenge. Colleague
@HanauerMatthias
contributed to this article
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The Economist on quant investing. “Human investors are about to discover that they are no longer the smartest guys in the room.”
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For those interested in lowvol investing. New paper with counter intuitive outcome available👇
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"Factor Momentum" is a great paper. To construct this powerful timing factor they use 30+ other factors.
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The search for yield. This graph shows global dividends. >4% yields can still be found in most sectors, especially in financials, staples (
@lhamtil
), materials and health care.
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Antti starts and concludes his new book with the serenity prayer. P251 “A serene mindset helps make us into better, more patient, and more consistent investors”. 100% agree.
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New international study
#machineLearning
for 46 stock markets 30 years. The "canonical three" factor styles are Value, Momentum and lowRisk.
@AdamZaremba
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This: "We find that funds with facial unattractive managers outperform funds with attractive managers by over 2% per annum...good-looking managers trade more excessively, prefer lottery-like assets and stocks with higher return volatility" Really?
@egfalken
@CliffordAsness
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Bom dia Brasil! 🇧🇷 Low-beta stocks (Q1 and Q2) win most of the time. Sample 1991-2011, Brazilian market.
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NEW PAPER out today "Investing in
#deflation
,
#inflation
, and
#stagflation
regimes" Link to study:
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As a long-term investor you can influence these four parameters when selecting stocks: 1) investment costs (very easy), 2) stock risk (easy), 3) valuation of your stocks (moderate) 4) future earnings growth (difficult). Still we often spend most time on 4...
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Cliff Asness regrets his ‘venial sin’ on value. Honest piece on performance 2020 in which he coins ‘quantitative whining’ 😂 as a new phrase 👇
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Lowvol investing is not a 'feel good' strategy. In a bull market you have underperformance, while in a bear market you have negative performance... Still, no pain no gain 💪🐢
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With investing you are either:
1) at all time high 🚀
2) in a drawdown 😞
Nothing in between. Thanks
@MebFaber
👊
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Excited about a new survey paper on lowvol investing. If you are curious DM me, we will circulate a draft version this week among ‘lowvol nerds’ and other quants 🤓.
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Is there a replication crisis in finance? Not really. For example, Hou ea (2020) did not control for risk, which is crucial for low risk. This figure from Jensen ea (2021) shows replication rates >80% for most factors.
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Quants, forget the daily factor noise! You can download volatility-sorted portfolios going back to 1929 👇
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Hello 2023, goodbye 2022! This stock market picture says more than a 1,000 words
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Besides keeping distance it becomes more clear that outdoor activities are low-risk while indoor activities are high risk to spread the virus. Are we ready for an ‘outdoor’ economy?
Eg concert in parks, team meetings outside, ..
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Realized returns are not the best predictor for future returns. This is especially true for the value premium. Good piece by
@CliffordAsness
on how changes in multiples affect returns
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Research buddy David Blitz, celebrates 25 years at
@Robeco
! 🥳Proud to be your colleague and co-author. Nice watch, Alibaba...? 😉
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Study "Beyond Fama-French factors" has 2,500+ downloads. Combining signals with negative correlation gives ~12% returns (gross top-bottom). Full paper
0
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There is way too little empirical research on corporate bonds. This new study shows a significant Low-risk effect in corporate bonds. Very comprehensive study, using ~2 million observations 1994-2021.
@phouweling
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Study by
@BaltussenGuido
@LaurensSwinkels
and me won a Savy award ‘best factor investing paper 2019’
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To all value investors: it is always darkest before the dawn.
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My lucky 2010s:
📈 >3% alpha
💶 >€20B clients
🌏 Global visits
🚵♂️ Biked with friends
👶 3 beautiful sons
👰 Bride stayed
🥶 Cold showers
🇿🇦 Afrikaans
📰 Wrote >30 papers
📘 Book 6 languages
🤡 Acting as a fool...
⛪️ Grace and hope
🔥 Kept the faith
❤️ Lots of love
🙏 SDG
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Chart bubble? I’ve seen this graph many many times last week. As a contrarian that means the euphoria wil last? 🧐
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Forbes on Factors |
@4rbrown
on global factor premiums going back 200 years. Work with
@LaurensSwinkels
and
@BaltussenGuido
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34
Thematic indices are "Betting against Quant". New research paper by David Blitz analyzes factor exposure of 48 thematic indices. 47 are negative.
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2020 special issue Journal of Portfolio Management on ‘quantitative investing’
@FrankFabozzi
out now. Topics ‘value’ ‘lowvol, and quant in corporate bonds, FX, carry and private assets.
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@nntaleb
Carbon wheels are like expensive growth stocks. Cool 😎 but vulnerable investment. Aluminum wheels are more robust similar to defensive value stocks.
Disclosure: my wheels are more fragile than my stocks 😉
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October was not a good month for stock markets. Interesting fact, or noise?
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10,000 downloads, same as Bitcoin price a couple of months ago. 😉Thanks
@alphaarchitect
for some extra exposure.
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Machine likes combination of momentum, liquidity and volatility to predict returns.
@lhamtil
@egfalken
@alphaarchitect
👇
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Occam’s razor 👍👇
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NEW PAPER out today. Is Gold a defensive play? Curious to learn what you think
@egfalken
@larryswedroe
@alphaarchitect
@MebFaber
@jsblokland
@florian_weigert
@achenfinance
@CliffordAsness
and others
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Nice deep historical study on global factor investing. Similar outcome as
@LaurensSwinkels
, Baltussen and me. . Thanks
@alphaarchitect
for sharing
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Graph from latest paper on low-volatility effect by AQR quants.
also check this one
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I've seen this mistake on downside risk too many times, even in academic publications. Example: If an asset always goes down by -10% the downside volatility is not zero.😉
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Robeco top SSRN papers. "Value and Momentum" are classic factors which work within equity markets and bond markets. In this popular paper we show that value and momentum also work across markets. >13,000 downloads and counting
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The Journal of Financial Economics study "Global Factor Premiums" is open access available for everyone! Thank you to Dutch tax payers!
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If you are not buying risky stocks in your 20s you have no heart ❤️
If you are not buying conservative stocks in yours 40s you have no brain 🧠
Thanks
@bpsandpieces
for the 💡
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New research on Machine Learning (ML) out today. Traditional ML focuses on 1-month stock return prediction, while longer-term models lean towards traditional factors, but still unlock unique alpha after 2004 and after transaction costs
@HanauerMatthias
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Cool website which connects research papers. Here is an example of 'when equity factors drop their shorts' FAJ 2020
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Can the US equity premium be predicted? According to latest Goyal 2021 replication study: not really. Rigorous empirical work with many falsifications. Still, trend and seasonal are not included, nor international markets.
@MebFaber
0
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“If value investing was like driving my four kids on a long car ride, we’d be very deep into the ‘are we there yet?’ stage of the ride”
@CliffordAsness
😂
#patience
#birthday
of
#Graham
father of
#value
investing 👊
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