(Gobble, Gobble) Calendar anomalies are great. All you need to trade them is a reminder in an email app. But because of this, they tend to diminish over time more than other signals. However, they still exist, and it is time to give thanks for a specific one: the Thanksgiving Effect.   The Numbers Let’s […]

The market is full of statements that are true just often enough to be dangerous: “Small caps lead in recoveries.” “Volatility mean-reverts.” “Buy the dip.”   Each of these works. Except when they don’t. They’re not wrong so much as conditionally true: valid under a certain regime, dead wrong outside it. That’s the trouble with […]

Why managing your bad trades matters more than proving you’re a genius.   Contrary to what your mother told you, you are not a unique little snowflake. And you are certainly not as good at investing as you think you are. This is not a personal attack — it’s a statistical reality. Study after study […]

Everyone knows investors can be impatient. A couple of bad quarters and capital starts running for the exits. Fund managers, in particular, live under the sword of short-term performance. Fall behind the benchmark for a few months and redemptions hit. Careers get judged by the quarter, not the decade. The paper, “Exploiting Myopia: The Returns […]

“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 […]