“The past is never dead. It’s not even past.” -William Faulkner Academics have been trying to explain stock returns for decades with ever more elaborate models. The classic story—Markowitz portfolios, CAPM betas, Fama-French factors—assumes investors rationally update beliefs when new information arrives. While a massive improvement on what came before (nothing), that tidy picture was […]
CONTINUE READING >The “October Effect” is the idea that October is the worst month for stocks. Except it isn’t an effect. It is a myth. If we look at the longest available sample of US index returns (the Dow Jones Industrial Index) from 1896 to 2025, we find this distribution of annualized returns by month. (Source: Barchart) […]
CONTINUE READING >“If you’re so smart, why aren’t you rich?” Let’s be very clear. It is a great thing to be smart. Being smart is not in any way an impediment to being a good investor. But just as the gift of strength can exacerbate any tendency towards being a bully, intelligence misapplied can lead a […]
CONTINUE READING >Let’s be honest: most Kaggle competitions are like gym membership. Lots of enthusiasm at the start, a few late-night sprints, and then your notebook gathers dust while the leaders grind on without you. Everyone knows the script: a thousand people stack XGBoost and random forests, they play with feature engineering, and the winners are either […]
CONTINUE READING >There’s a curious magic trick in finance: a return that appears when nothing happens. No news, no surprises, no change in price. Just carry—the part of a trade’s return that comes from standing still. Currency traders have long known this sleight of hand. Borrow low-yielding yen, buy high-yielding Aussie dollars, collect the difference in interest […]
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