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Thinking about systematic macro for the first time
I tend to read a lot about systematic investing, but this is largely through the Fama-French literature and the other anomalies that come from it (momentum, for instance). Today I thought I’d dig in to systematic macro. I enjoy few things more than a cup of coffee with a macro podcast on but I rarely
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Momentum in corporate bonds works….but only in non investment grades?
I find the phenomenon of momentum to be fascinating. My introduction to personal finance came first in the form of broad market ETFs, but I’ve spent years now thinking of factor tilts. While many walk away from the space saying “just buy small cap value”, “this is all just data mined” or “the world is
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Low beta in a rising rate environment: reflections on portfolio allocation (2/2)
Picking up on my previous post on portfolio allocation and the trouble with bonds, I began looking towards low beta stocks as a way of reducing volatility in a period where I didn’t believe fixed income would fair all that well. There are a fair few good reasons to hold low beta. My favourite paper
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From fixed income to low beta: reflections on portfolio allocation (1/2)
I’m not a professional investor. Like most people, I spend a large amount of time at work or at school. Thanks to systematic funds, I don’t have to spend much time analyzing stocks or the economy. But that doesn’t mean I don’t think about them. I do, and at times, it leads to portfolio allocation
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Dividends and buybacks are the same…right? Not quite. And the implications for investors.
My position on this has been pretty standard on this. Buybacks and dividends are fairly similar–perhaps not perfect substitutes but not far. To the extent that I cared as to whether a portfolio company holds dividends or buybacks, it’s mostly for tax reasons. Dividends, particularly foreign ones for a Canadian investor, can be a bit
Bells and Tails 