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I was having a pool day, you know drinking & doing dumb stuff,  this past weekend with my some friends of mine, and my friend Patrick told me he had recently made an investment into an ETF called “spider”.  I wasn’t familiar with spider, so my spidey senses quickly led me SPY the S&P 500 ETF.  I said asked him that’s what he was talking about and he said “yes”.  Now we were on the same page. Patrick is a…
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My interest in stocks started when I was teenager, before I had cash to invest. I recognized a few things in the equity markets.  First, when stocks are going up they seem to go up for a long time, so in an economics class essay I proposed buying whatever stocks had gone up the most in the last 6 months; I was on to momentum.  I even attempted to implement my momentum strategy in a paper stock market simulator online,…
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Over the long term, small capitalization stocks have produced higher returns than large cap stocks but in exchange for more volatility. After two decades of small cap stocks outperforming large caps in the 1970s and 1980s, investors wanted to know what, if any, premium they were being paid for the bumpy ride. So when an American-Swiss finance professor Rolf Banz analyzed the size effect of small cap stocks in 1982, among the paper’s enthralled  reviewers were three future Nobel laureates…
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It started with an eager quant with a hunch of out-performance lurking in a new index.  The new index would be based on the premise that people love cats, and as such would equal weight holdings of any public US equity that contained ‘CAT’ in the name.  Of course it would re-balance quarterly to keep trading costs low.  It was rules rules based, and systematic meeting the vague criteria we have for smart beta indexes. The strategy proposed by Dani…
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