Nice interview with TCU and Investure folks on CNBC.
French Fama on moving averages: “An ancient tale with no empirical support.”
This really surprised me. I have read dozens of academic papers in support of trendfollowing (including my own) as well as a ton of unpublished literature. It is a strange quote from Fama, who finds that momentum is the most predictive of his four factors and is on paper saying that he is open to analysis “if it is in the data”.
MarketSci has been doing a ton of great work here in the past few weeks.
A great post by Holt over on AllAboutAlpha regarding hedge fund transparency. Hedge fund paranoia over disclosure is unfounded.
In this paper, we examine the use of hedge funds’ 13(f) filings by market participants. While many argue disclosure could harm investment funds, we find hedge funds largely benefit from disclosure while providing little private information to the marketplace. We detect abnormal trading volume around disclosure dates and also find significant, positive abnormal returns immediately after disclosure, suggesting the presence of copy-cat traders. We also find some hedge fund companies have significant volume changes on their positions prior to their disclosures. A long-short portfolio of these companies’ expanded-contracted positions purchased prior to the disclosure date earns positive, significant abnormal returns through the disclosure period. Finally, we find no evidence disclosed holdings offer long-term investors access to profitable information.