Insights & News

  • Distorted-Statistics-and-Performance-Tests--Part-5 October 11, 2017

    Distorted Statistics and Performance Tests: Part 5

    The example of the sun and moon in Part 3 was somewhat vague and quite unrelated to investment analysis, so this part illustrates the concepts using a more realistic example. Let’s assume all investment...

  • Distorted-Statistics-and-Performance-Tests--Part-4 October 4, 2017

    Distorted Statistics and Performance Tests: Part 4

    When a researcher performs a statistical test on investment returns, the test usually includes a model that specifies how asset returns are assumed to behave in a well-functioning market. For example, the researcher might...

  • Distorted-Statistics-and-Performance-Tests--Part-3 September 27, 2017

    Distorted Statistics and Performance Tests: Part 3

    This part of the series explains Type I and Type II errors as a basis for understanding why the analyst’s conclusion in Part 2 is wrong. Advanced financial researchers begin by setting up a...

  • Distorted-Statistics-and-Performance-Tests--Part-2 September 20, 2017

    Distorted Statistics and Performance Tests: Part 2

    The second major problem with statistical tests as performed in finance and economics is a fundamental misunderstanding of inferential statistics. Researchers perform studies based on models. They attribute great importance to variables that are...

  • Distorted-Statistics-and-Performance-Tests September 13, 2017

    Distorted Statistics and Performance Tests: Part 1

    Investment analysis, particularly alternative investment analysis, relies on empirical analysis of past returns to form predictions of future risk and return. There are two primary problems with many performance studies: data dredging (also called...

  • Pensive-Business-Man August 1, 2017

    Investment Taxation Uncertainty

    by Donald R Chambers President Trump has proposed numerous tax changes that could affect investment income and investment decisions. Proposed tax changes that relate directly to investment income taxation include elimination of the estate...

  • Watch July 12, 2017

    Part 7: Market Timing and Putting it all Together

    Part 6 discussed four common types of investors whose strategies varied from betting on price trending, to betting on price reverting. This part tries to develop conclusions regarding these complex issues and which strategies...

  • Analyzing-Market July 5, 2017

    Part 6: Market Timing and Four Types of Investors

    Part 5 of this series implies a scary conclusion: investors as a group, and buy-and-hold investors in particular, will tend to have their highest percentage allocation to equities when the equity market is topping...

  • Balance June 28, 2017

    Part 5: Market Timing and Market Equilibrium

    Part 4 discusses the effects of rebalancing in various markets but does not provide insight that can help an investor evaluate the different portfolio risk-management approaches. This part takes a look at the concept...

  • Direction June 21, 2017

    Part 4: Market Timing – Portfolio Rebalancing as Market Timing

    In Part 3, portfolio rebalancing was discussed as a method of keeping a portfolio’s risk stable – and presumably matched to an investor’s stable tolerance of risk. For example, an investor targeting a moderate...



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