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Literature: authors starting with F

80 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

Faber (2007) · A Quantitative Approach to Tactical Asset Allocation

Faber, Mebane T.. The Journal of Wealth Management 9 (4), pp. 69–79. doi:10.3905/jwm.2007.674809

Ten-month moving averages across five asset classes reduced drawdowns at a similar return (tactical asset allocation).

Cited in: Market timing: can you pick the right moment? · Tactical allocation: momentum, dual momentum and trend following · Trend following: riding each asset's own trend · Tactical allocation methodology: how the eleven tactical models work · Glossary: Tactical asset allocation

Fama and French (2004) · The Capital Asset Pricing Model: Theory and Evidence

Fama, Eugene F; French, Kenneth R. Journal of Economic Perspectives 18 (3), pp. 25–46. doi:10.1257/0895330042162430

A survey article: the CAPM is elegant but explains returns in the data poorly; size and valuation carry additional information.

Cited in: Beta and alpha: how closely a fund moves with the market · CAPM: the capital asset pricing model and the security market line

Fama (1965) · The Behavior of Stock-Market Prices

Fama, Eugene F.. The Journal of Business 38 (1). doi:10.1086/294743

Examines stock prices for random-walk behavior and confirms the fat tails of the return distribution.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Glossary: Random walk

Fama et al. (1969) · The Adjustment of Stock Prices to New Information

Fama, Eugene F.; Fisher, Lawrence; Jensen, Michael C.; Roll, Richard. International Economic Review 10 (1). doi:10.2307/2525569

Early event study: how do stock prices adjust to new information around stock splits?

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Event studies: how to measure and test price reactions to events · Glossary: Event study · Glossary: Abnormal return

Fama (1970) · Efficient Capital Markets: A Review of Theory and Empirical Work

Fama, Eugene F.. The Journal of Finance 25 (2). doi:10.2307/2325486

A review of market efficiency in its three forms (weak, semi-strong, strong) and the tests for each.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Technical analysis, chart patterns and candlesticks from a quant perspective · The efficient market hypothesis: why it is so hard to beat the market · Glossary: Efficient market hypothesis · Glossary: Weak-form efficiency · Glossary: Semi-strong-form efficiency

Fama and MacBeth (1973) · Risk, Return, and Equilibrium: Empirical Tests

Fama, Eugene F.; MacBeth, James D.. Journal of Political Economy 81 (3), pp. 607–636. doi:10.1086/260061

Fama-MacBeth regression: monthly cross-sectional regressions whose averages estimate risk premiums.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Glossary: Fama-MacBeth regression

Fama and Schwert (1977) · Asset returns and inflation

Fama, Eugene F.; Schwert, G.William. Journal of Financial Economics 5 (2), pp. 115–146. doi:10.1016/0304-405x(77)90014-9

In the US, equities and bonds offered little protection against expected and unexpected inflation.

Cited in: Real return: what is left after inflation · Liquid real assets: inflation protection with tradable real assets in a portfolio · Glossary: Inflation beta

Fama (1984) · Forward and spot exchange rates

Fama, Eugene F.. Journal of Monetary Economics 14 (3), pp. 319–338. doi:10.1016/0304-3932(84)90046-1

Decomposes the gap between forward and spot exchange rates into an expected exchange rate change and a time-varying premium, the starting point of the forward premium puzzle.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Forward premium puzzle

Fama (1984) · Term premiums in bond returns

Fama, Eugene F.. Journal of Financial Economics 13 (4), pp. 529–546. doi:10.1016/0304-405x(84)90014-x

Estimates expected returns on US Treasury bills from forward rates and from average returns: they peak at maturities of eight to nine months and do not rise steadily out to twelve months; for longer bonds, volatility rules out precise conclusions.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Glossary: Expectations hypothesis

Fama and French (1989) · Business conditions and expected returns on stocks and bonds

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 25 (1), pp. 23–49. doi:10.1016/0304-405X(89)90095-0

Expected returns on stocks and bonds vary with business conditions: higher in weak phases, lower in strong ones.

Cited in: Macro dashboard and regime analysis: methodology

Fama and French (1992) · The Cross-Section of Expected Stock Returns

Fama, Eugene F.; French, Kenneth R.. The Journal of Finance 47 (2), pp. 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x

Size and the book-to-market ratio explain stock returns, while beta barely does; this was the starting point of the three-factor model.

Cited in: CAPM: the capital asset pricing model and the security market line · Factor investing: understanding the Fama-French factors · Fundamental analysis: valuing a company like an investor · Glossary: HML · Glossary: Value premium · Glossary: Price-to-book ratio (P/B)

Fama and French (2002) · The Equity Premium

Fama, Eugene F.; French, Kenneth R.. The Journal of Finance 57 (2), pp. 637–659. doi:10.1111/1540-6261.00437

Estimates the equity risk premium for 1951–2000 from dividend and earnings growth at 2.55% and 4.32% respectively, far below the 7.43% implied by the average return.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle

Fama and French (2012) · Size, value, and momentum in international stock returns

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 105 (3), pp. 457–472. doi:10.1016/j.jfineco.2012.05.011

Size, value and momentum in international stock markets; premiums in Europe, Japan and Asia Pacific.

Cited in: World portfolio: the whole world in one or two ETFs · Factor investing: understanding the Fama-French factors

Fama (2014) · Two Pillars of Asset Pricing

Fama, Eugene F.. American Economic Review 104 (6), pp. 1467–1485. doi:10.1257/aer.104.6.1467

Nobel lecture on market efficiency and asset pricing models; the section on bubbles finds no reliable evidence that price declines are predictable.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Speculative bubble

Fama and French (2015) · A five-factor asset pricing model

Fama, Eugene F.; French, Kenneth R.. Journal of Financial Economics 116 (1), pp. 1–22. doi:10.1016/j.jfineco.2014.10.010

Extends the model with profitability (RMW) and investment (CMA) into the five-factor model.

Cited in: Factor investing: understanding the Fama-French factors · Factor regression, factor allocation and factor statistics: methodology · Glossary: RMW · Glossary: CMA · Glossary: Five-factor model

Fama and French (2021) · The Value Premium

Fama, Eugene F.; French, Kenneth R.. The Review of Asset Pricing Studies 11 (1), pp. 105–121. doi:10.1093/rapstu/raaa021

The value premium was considerably lower in the second half of the period July 1963 to June 2019, but because of its high volatility an unchanged expected premium cannot be rejected.

Cited in: Fundamental analysis: valuing a company like an investor

Favre and Galeano (2002) · Mean-Modified Value-at-Risk Optimization with Hedge Funds

Favre, Laurent; Galeano, José-Antonio. The Journal of Alternative Investments 5 (2), pp. 21–25. doi:10.3905/jai.2002.319052

Modified value at risk: the normal VaR corrected for skewness and kurtosis (Cornish-Fisher), for assets such as hedge funds.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says

BGH (2011) · Urteile vom 27. September 2011, XI ZR 178/10 und XI ZR 182/10 (Lehman-Zertifikate) [Judgments of September 27, 2011, XI ZR 178/10 and XI ZR 182/10 (Lehman certificates)]

Federal Court of Justice (BGH). XI Civil Senate; report on otto-schmidt.de, accessed October 25, 2026. Source

Certificates of a Lehman subsidiary, guaranteed by the Lehman holding company and sold by a savings bank (Sparkasse), became largely worthless after the insolvency in September 2008; the claims for damages failed.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Issuer risk

DerivateV (2013) · Verordnung über Risikomanagement und Risikomessung beim Einsatz von Derivaten, Wertpapier-Darlehen und Pensionsgeschäften in Investmentvermögen nach dem Kapitalanlagegesetzbuch (Derivateverordnung, DerivateV), § 27 [Ordinance on risk management and risk measurement for the use of derivatives, securities loans, and repurchase agreements in investment funds under the German Capital Investment Code (Derivatives Ordinance, DerivateV), Section 27]

Federal Financial Supervisory Authority (BaFin). Text on gesetze-im-internet.de; accessed October 25, 2026. Source

Limits a fund's counterparty risk from derivatives that are not centrally cleared, securities lending and repurchase agreements to 5% per counterparty, or 10% for credit institutions, and regulates netting and collateral.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently · Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Counterparty risk

KAMaRisk (2017) · Rundschreiben 01/2017 (WA): Mindestanforderungen an das Risikomanagement von Kapitalverwaltungsgesellschaften (KAMaRisk), Abschnitte 4.6 und 4.7 [Circular 01/2017 (WA): Minimum Requirements for the Risk Management of Investment Management Companies (KAMaRisk), Sections 4.6 and 4.7]

Federal Financial Supervisory Authority (BaFin). BaFin, January 10, 2017; text accessed October 25, 2026 via a publication by the law firm Dechert. Source

Internal transactions between investment funds (cross trades) only on the basis of clear rules, with conflict of interest management, on arm's length terms and labeled as such; transactions on non-market terms are generally prohibited.

Cited in: Glossary: Cross trade

BaFin, insider surveillance (2017) · Insider surveillance (topic page)

Federal Financial Supervisory Authority (BaFin). BaFin, English version, as of May 31, 2017; accessed October 25, 2026. Source

BaFin analyses transaction reports from institutions, ad hoc announcements and tip-offs, compares price and volume movements with the information known at the time and reports substantiated suspicions to the public prosecutor.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal

BaFin (2018) · Market manipulation (topic page)

Federal Financial Supervisory Authority (BaFin). BaFin, English version, as of February 21, 2018; accessed October 25, 2026. Source

The supervisor's overview of the ban on market manipulation under Art. 15 MAR, fines and penalties under the WpHG (Securities Trading Act), and publications on recommendations in messenger groups and on short attacks.

Cited in: Pump and dump and penny stocks: how the scam works

BaFin, crypto custody business (2020) · Merkblatt: Hinweise zum Tatbestand des Kryptoverwahrgeschäfts (02.03.2020, geändert am 25.09.2023) [Guidance notice: notes on the definition of crypto custody business (March 2, 2020, amended September 25, 2023)]

Federal Financial Supervisory Authority (BaFin). Federal Financial Supervisory Authority (BaFin); accessed October 25, 2026. Source

The crypto custody business under § 1 (1a) sentence 2 no. 6 KWG (safekeeping, administration and safeguarding of crypto assets or private keys for others) is a financial service that requires a license.

Cited in: Glossary: Crypto custody

BaFin, crypto securities (2023) · Merkblatt 03/2023: Hinweise zum Tatbestand der Kryptowertpapierregisterführung gemäß § 1 Abs. 1a Satz 2 Nr. 8 KWG (Stand November 2023) [Guidance notice 03/2023: notes on the definition of crypto securities registrar business under Section 1(1a) sentence 2 no. 8 of the German Banking Act (KWG) (as of November 2023)]

Federal Financial Supervisory Authority (BaFin). Federal Financial Supervisory Authority (BaFin), November 23, 2023; accessed October 25, 2026. Source

Electronic securities under the eWpG (Electronic Securities Act) are either central register securities or crypto securities; the crypto securities register runs on a tamper-proof recording system, usually a blockchain.

Cited in: Digital assets: tokenization, stablecoins, crypto securities and the digital euro · Glossary: Crypto security (Kryptowertpapier)

BaFin, managers' transactions (2025) · Eigengeschäfte von Führungskräften (Übersichtsseite) und Meldung “Eigengeschäfte von Führungskräften: BaFin hebt Meldeschwelle an” vom 4.12.2025 [Managers' transactions (overview page) and the announcement “Managers' transactions: BaFin raises reporting threshold” of December 4, 2025]

Federal Financial Supervisory Authority (BaFin). BaFin; accessed October 25, 2026. Source

Managers' transactions must be reported under Art. 19 MAR no later than three business days after the trade and published by the issuer within two business days; under a general administrative order, a threshold of €50,000 per calendar year instead of €20,000 has applied in Germany since January 1, 2026, without netting.

Cited in: Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Glossary: Directors' dealings

BaFin, crypto-asset service providers (2025) · Kryptowerte-Dienstleister: Welche Vereinfachungen und Herausforderungen es jetzt gibt (Fachartikel, 22.01.2025) [Crypto-asset service providers: the simplifications and challenges that now apply (article, January 22, 2025)]

Federal Financial Supervisory Authority (BaFin). Federal Financial Supervisory Authority (BaFin); accessed October 25, 2026. Source

Institutions with a license under the KWG (German Banking Act) may continue operating until a decision is made on their MiCAR application; EU-wide distribution is only possible with MiCAR authorization.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

BaFin, MiCAR guidance notice (2025) · Merkblatt Kryptowerte-Dienstleistungen nach MiCAR (Stand Januar 2025) [Guidance notice on crypto-asset services under MiCAR (as of January 2025)]

Federal Financial Supervisory Authority (BaFin). Federal Financial Supervisory Authority (BaFin), January 3, 2025; accessed October 25, 2026. Source

The ten crypto-asset services under MiCAR, including custody and administration on behalf of clients; unique tokens, tokenized financial instruments and tokenized deposits are excluded.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget · Digital assets: tokenization, stablecoins, crypto securities and the digital euro · Glossary: Crypto custody

BaFin, ART and EMT guidance notice (2025) · Merkblatt Zulassungsanforderungen bzgl. ART und EMT nach MiCAR (Stand Januar 2025) [Guidance notice on authorization requirements for ARTs and EMTs under MiCAR (as of January 2025)]

Federal Financial Supervisory Authority (BaFin). Federal Financial Supervisory Authority (BaFin), January 3, 2025; accessed October 25, 2026. Source

Authorization and white paper requirements for issuers of asset-referenced tokens and e-money tokens; an exemption for small issues of up to €5 million on average over twelve months.

Cited in: Digital assets: tokenization, stablecoins, crypto securities and the digital euro · Glossary: Asset-referenced token

BaFin (2026) · Other types of inside information (Issuer Guideline: disclosure obligations for issuers)

Federal Financial Supervisory Authority (BaFin). BaFin, English version of the Issuer Guideline, undated; accessed October 25, 2026. Source

Under recital 28 MAR, analyses and estimates based on publicly available data are not in themselves inside information; exceptions apply, for example, to publications that the market routinely expects.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Insider trading: what is prohibited, what is allowed and what insider purchases reveal · Glossary: Inside information

BaFin (2026) · Grauer Kapitalmarkt (Verbraucherinformation) [Gray capital market (consumer information)]

Federal Financial Supervisory Authority (BaFin). BaFin, undated; accessed October 25, 2026. Source

Offerings that require no authorization, including direct investments in tangible assets: no product oversight, often substantial risk up to total loss and limited ability to sell; an approved prospectus is not a seal of quality.

Cited in: Collectibles as an investment: what art, wine, watches and classic cars really return

ImmoWertV (2021) · Immobilienwertermittlungsverordnung (ImmoWertV) vom 14.7.2021, § 21 (Liegenschaftszinssätze) und §§ 27 ff. (Ertragswertverfahren) [German Real Estate Valuation Ordinance (ImmoWertV) of July 14, 2021, Section 21 (property capitalization rates) and Sections 27 ff. (income approach)]

Federal Government of Germany. BGBl. I p. 2805, effective January 1, 2022; text on gesetze-im-internet.de and buzer.de, accessed October 25, 2026. Source

Rules for determining market value: the income approach works from customary market income, land value, remaining useful life and the property yield (Liegenschaftszinssatz), which is derived from purchase prices and net income.

Cited in: Glossary: Income capitalization approach

Bundesnetzagentur | SMARD.de (2026) · SMARD Strommarktdaten: Stromverbrauch, Gesamt (Netzlast), Tageswerte; Datennutzung [SMARD electricity market data: electricity consumption, total (grid load), daily values; data use]

Federal Network Agency. Federal Network Agency; data from the transmission system operators via ENTSO-E, accessed October 27, 2026. Source

Electricity consumption in Germany as daily grid load from 2015; the market data are licensed under CC BY 4.0 with the attribution “Bundesnetzagentur | SMARD.de”.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Grid load

Bundesnetzagentur (2026) · Bundesnetzagentur konsultiert pauschalierte Kapitalverzinsung für die Gasnetzbetreiber [Federal Network Agency consults on a flat-rate return on capital for gas network operators]

Federal Network Agency. Federal Network Agency, press release, August 14, 2026; accessed October 25, 2026. Source

Draft for the fifth gas regulatory period (2028–2032): cost of capital as a WACC with 40% equity and 60% debt, a pre-tax cost of equity of 5.76%, a cost of debt of 2.43% and a WACC of 3.76%.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Glossary: Regulated return

Weekly Economic Index (Dallas Fed) (2026) · Weekly Economic Index (Lewis-Mertens-Stock), data from 2008 to the present

Federal Reserve Bank of Dallas. Federal Reserve Bank of Dallas (since December 2023, previously New York Fed); accessed October 27, 2026. Source

Weekly index of real economic activity in the US from ten series, scaled to year-on-year GDP growth; under the terms of use it may be reproduced with attribution, but not for private profit.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Weekly Economic Index

Destatis (2024) · Preise für Wohnimmobilien im 4. Quartal 2023: −7,1 % zum Vorjahresquartal (Pressemitteilung Nr. 114) [Residential property prices in Q4 2023: −7.1% year on year (press release No. 114)]

Federal Statistical Office (Destatis). Federal Statistical Office (Destatis), March 22, 2024; accessed October 25, 2026. Source

House price index: on an annual average basis, residential property prices fell by 8.4% in 2023, the sharpest decline since the series began in 2000.

Cited in: Real estate as an investment: rental property, REITs, open-end funds and private real estate

Destatis, truck toll mileage index (2026) · Statistischer Bericht: Täglicher Lkw-Maut-Fahrleistungsindex (EVAS 42191), Datenstand 17.10.2026 [Statistical report: daily truck toll mileage index (EVAS 42191), data as of October 17, 2026]

Federal Statistical Office (Destatis). Federal Statistical Office (Destatis), Deutsche Bundesbank, Federal Office for Logistics and Mobility (BALM); published October 22, 2026, accessed October 27, 2026. Source

Daily values from January 1, 2008 (2021 = 100), unadjusted and calendar and seasonally adjusted (adjustment by the Bundesbank, experimental); mileage of large trucks with at least four axles on federal motorways, updated weekly on Thursdays with a lag of five to twelve days.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Truck toll mileage index

Destatis (2026) · Preise für Wohnimmobilien im 4. Quartal 2025: +3,0 % zum Vorjahresquartal (Pressemitteilung Nr. 101) [Residential property prices in Q4 2025: +3.0% year on year (press release No. 101)]

Federal Statistical Office (Destatis). Federal Statistical Office (Destatis), March 25, 2026; accessed October 25, 2026. Source

House price index: on an annual average basis, residential property prices rose by 3.2% in 2025, the first increase since 2022.

Cited in: Real estate as an investment: rental property, REITs, open-end funds and private real estate

Feigenbaum and Freund (1996) · Discrete Scale Invariance in Stock Markets Before Crashes

Feigenbaum, James A.; Freund, Peter G. O.. International Journal of Modern Physics B 10 (27), pp. 3737–3745. doi:10.1142/S021797929600204X

Crashes as critical points in a system with discrete scale invariance: the complex exponent leads to log-periodic oscillations.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Glossary: Discrete scale invariance

Feigenbaum (2001) · A statistical analysis of log-periodic precursors to financial crashes

Feigenbaum, James A.. Quantitative Finance 1 (3), pp. 346–360. doi:10.1088/1469-7688/1/3/306

Critical test: without the last year before the 1987 crash, the log-periodic component in the S&P 500 is not statistically significant.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them

Fernholz (2002) · Stochastic Portfolio Theory

Fernholz, E. Robert. Springer. doi:10.1007/978-1-4757-3699-1

Textbook on stochastic portfolio theory: portfolio growth rates, stock market diversity, functionally generated portfolios and the excess growth rate, the amount by which dispersion lifts a portfolio's growth rate above the average of its holdings.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Stochastic portfolio theory · Glossary: Excess growth rate · Glossary: Functionally generated portfolio · Glossary: Excess growth

Fernholz and Shay (1982) · Stochastic Portfolio Theory and Stock Market Equilibrium

Fernholz, Robert; Shay, Brian. The Journal of Finance 37 (2), pp. 615–624. doi:10.1111/j.1540-6261.1982.tb03584.x

Stochastic portfolio theory: volatility lowers the growth rate, and a portfolio earns an additional return by rebalancing.

Cited in: CAGR: how to calculate the average annual return correctly · Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Beyond Markowitz: estimation error, noise and true diversification · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Stochastic portfolio theory · Glossary: Excess growth · Glossary: Volatility drag

Fezzi and Fanghella (2020) · Real-Time Estimation of the Short-Run Impact of COVID-19 on Economic Activity Using Electricity Market Data

Fezzi, Carlo; Fanghella, Valeria. Environmental and Resource Economics 76 (4), pp. 885–900. doi:10.1007/s10640-020-00467-4

Estimates the short-term effects of the pandemic from daily Italian electricity market data: the three weeks of the strictest lockdown reduced the corresponding GDP by about 30%, and at the end of June 2020 it was still about 8.5% below the level it would have reached without the outbreak.

Cited in: Economic pulse: how Portfolio Lab calculates early indicators · Glossary: Grid load

Filbeck and Bok (2025) · From Vision to Execution: How Investors Are Operationalizing the Total Portfolio Approach

Filbeck, Aaron; Bok, Jayne. CAIA Association with the Thinking Ahead Institute (WTW), October 2025; accessed October 25, 2026. Source

Analysis of interviews with more than a dozen investors on the move from SAA to the total portfolio approach; success depends more on culture and governance than on organizational structure.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Total portfolio approach · Glossary: Competition for capital

Filimonov and Sornette (2013) · A stable and robust calibration scheme of the log-periodic power law model

Filimonov, Vladimir; Sornette, Didier. Physica A: Statistical Mechanics and its Applications 392 (17), pp. 3698–3707. doi:10.1016/j.physa.2013.04.012

Rewrites the LPPLS formula so that only three nonlinear parameters remain, which makes the cost function smooth and the estimation stable.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Bubble indicator (LPPLS): methodology · Glossary: LPPLS model

Finance Magnates (2025) · CFTC Folds Its Hand in Election Betting Showdown with Kalshi

Finance Magnates. Finance Magnates, May 6, 2025; accessed October 25, 2026. Source

On May 5, 2025, the CFTC moved to withdraw its appeal in the case over Kalshi's election contracts.

Cited in: Prediction markets as bets on events: what they can and cannot do

FASB, ASU 2023-08 (2023) · Accounting Standards Update No. 2023-08: Intangibles—Goodwill and Other—Crypto Assets (Subtopic 350-60): Accounting for and Disclosure of Crypto Assets

Financial Accounting Standards Board. FASB, December 2023; accessed October 25, 2026. Source

Under US GAAP, crypto assets that meet six criteria must be measured at fair value with changes recognized in net income; mandatory for fiscal years beginning after December 15, 2024.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

FINRA (2009) · Regulatory Notice 09-31: Non-Traditional ETFs – FINRA Reminds Firms of Sales Practice Obligations Relating to Leveraged and Inverse Exchange-Traded Funds

Financial Industry Regulatory Authority. FINRA, June 11, 2009; accessed October 25, 2026. Source

Warns that leveraged and inverse ETFs, which reset daily, deviate sharply from their daily target over longer periods; with examples from December 2008 to April 2009.

Cited in: Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · Glossary: Inverse ETF

FINRA Rule 4210 (2026) · FINRA Rule 4210: Margin Requirements

Financial Industry Regulatory Authority. FINRA Rulebook, version including amendments through June 2026. Source

Margin rules for US brokers; the minimum margin for stocks bought on credit is 25% of current market value.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · Glossary: Maintenance margin · Glossary: Margin call

FSB (2026) · Report on Vulnerabilities in Private Credit

Financial Stability Board. Financial Stability Board, Basel, May 6, 2026; accessed October 25, 2026. Source

Financial Stability Board: private credit of US$1.5 to 2 trillion (end of 2024), higher borrower leverage than for leveraged loans, PIK in about 12% of loans, interconnections with banks and insurers, data gaps.

Cited in: Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles · Glossary: Payment in kind (PIK)

Fischer and Krauss (2018) · Deep learning with long short-term memory networks for financial market predictions

Fischer, Thomas; Krauss, Christopher. European Journal of Operational Research 270 (2), pp. 654–669. doi:10.1016/j.ejor.2017.11.054

Before costs, LSTM networks predict the daily direction of S&P 500 stocks better than random forests and other methods; from 2010 onwards the advantage fades.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: LSTM

Fisher (1930) · The Theory of Interest

Fisher, Irving. Macmillan. Source

Distinguishes nominal and real interest rates (Fisher equation) and explains interest from impatience and investment opportunities.

Cited in: Compound interest: how returns on returns make wealth grow · Real return: what is left after inflation · Glossary: Real interest rate · Glossary: Fisher equation

Fisher and Weil (1971) · Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies

Fisher, Lawrence; Weil, Roman L.. The Journal of Business 44 (4). doi:10.1086/295402

Shows how duration can be used to immunize a bond portfolio against interest rate changes.

Cited in: Duration: how strongly bonds react to interest rates · Asset-liability management: aligning your wealth with future spending · Bond math: calculating price, yield, duration, convexity and spreads · Liability-driven investing and cash flow driven investing: covering liabilities with bonds · ALM methodology: how Portfolio Lab measures assets against liabilities · Risk factors in the look-through: methodology · Glossary: Immunization

Fisher (2003) · Common Stocks and Uncommon Profits and Other Writings

Fisher, Philip A.. Wiley, new edition (first published 1958).

Finding growth stocks and holding them for a long time: 15 characteristics of an outstanding company and research among customers, suppliers and competitors (“scuttlebutt”).

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

FIX Trading Community (2012) · Market On Cash Close / Open (forum discussion)

FIX Trading Community. FIX Trading Community, posts of May 17-18, 2012; accessed October 27, 2026. Source

Practitioners ask how MOCC/MOCO orders (market on cash close/open) for index futures can be represented in the FIX protocol; there is no dedicated standard value, and brokers implement them via the time in force or custom fields.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Market on cash close

Flavin and Yamashita (2002) · Owner-Occupied Housing and the Composition of the Household Portfolio

Flavin, Marjorie; Yamashita, Takashi. American Economic Review 92 (1), pp. 345–362. doi:10.1257/000282802760015775

The owner-occupied home as a constrained asset in a mean-variance framework: because it makes up a large share of net worth, young households should hold fewer equities than older ones.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car · Glossary: Owner-occupied home

Fletcher and Hillier (2001) · An Examination of Resampled Portfolio Efficiency

Fletcher, Jonathan; Hillier, Joe. Financial Analysts Journal 57 (5), pp. 66–74. doi:10.2469/faj.v57.n5.2482

Tests resampling out of sample in international asset allocation 1983–2000: somewhat better Sharpe ratios, but hardly any significant excess returns.

Cited in: Michaud resampled optimization: more stable portfolio weights through simulation

Forbes and Rigobon (2002) · No Contagion, Only Interdependence: Measuring Stock Market Comovements

Forbes, Kristin J.; Rigobon, Roberto. The Journal of Finance 57 (5), pp. 2223–2261. doi:10.1111/0022-1082.00494

Shows that higher correlations in crises are partly a statistical effect of higher volatility.

Cited in: Correlation and diversification: why mixing assets reduces risk · Scenario analysis and sensitivity analysis: stress testing equity, interest rate, credit and currency risk · Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Troutman Pepper Locke (2024) · SEC Approves Spot Ether ETFs (July 24, 2024)

Ford, John M.; Falco, John P.; Edwards, Theodore D.; Goldman, Joseph A.. Troutman Pepper Locke LLP; accessed October 25, 2026. Source

On July 22, 2024 the SEC declared nine registrations of spot ether ETFs effective; trading began on July 23, 2024.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Frank et al. (2004) · Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry

Frank, Mary Margaret; Poterba, James M.; Shackelford, Douglas A.; Shoven, John B.. The Journal of Law and Economics 47 (2), pp. 515–541. doi:10.1086/422982

Copycat funds that immediately buy the disclosed holdings of active funds were statistically on a par after costs, and possibly ahead, in a small sample of expensive funds from the 1990s.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons · Glossary: Copycat strategy

Franzoni et al. (2012) · Private Equity Performance and Liquidity Risk

Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic. The Journal of Finance 67 (6), pp. 2341–2373. doi:10.1111/j.1540-6261.2012.01788.x

Private equity carries the same liquidity risk as listed equities; the premium for it is about 3% a year and explains the measured alpha.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies · Glossary: Illiquidity premium

Frazzini et al. (2018) · Buffett’s Alpha

Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje. Financial Analysts Journal 74 (4), pp. 35–55. doi:10.2469/faj.v74.n4.3

Berkshire Hathaway achieved a Sharpe ratio of 0.79; its alpha becomes insignificant when controlling for the betting-against-beta and quality-minus-junk factors, and its leverage averages about 1.7 to 1.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

French and Poterba (1991) · Investor Diversification and International Equity Markets

French, Kenneth; Poterba, James. National Bureau of Economic Research, Working Paper 3609. doi:10.3386/w3609

Investors in the US, Japan and the UK hold almost exclusively domestic equities (home bias), even though diversification would reduce risk.

Cited in: Correlation and diversification: why mixing assets reduces risk · Home bias: the preference for your home market and what it costs · World portfolio: the whole world in one or two ETFs · Look-through: what is really inside your ETFs · Glossary: Home bias

French (2008) · Presidential Address: The Cost of Active Investing

French, Kenneth R.. The Journal of Finance 63 (4), pp. 1537–1573. doi:10.1111/j.1540-6261.2008.01368.x

Estimates the cost of active investing in the US at about 0.67% of market value per year.

Cited in: Active or passive investing: ETFs versus fund managers · ETF basics: costs, replication and distributions · The efficient market hypothesis: why it is so hard to beat the market · Tracking error and information ratio: deviation from the index · Glossary: Active fund

EIA (2020) · Crude oil tanker rates are likely to remain low until global petroleum demand increases

French, Matt. U.S. Energy Information Administration, Today in Energy, October 28, 2020. Source

Tanker rates and floating storage in spring 2020: the volume of crude oil stored on tankers multiplied between March and July.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Floating storage

Frieder and Zittrain (2006) · Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Frieder, Laura; Zittrain, Jonathan. SSRN Working Paper 920553; published in 2008 in the Hastings Communications and Entertainment Law Journal. doi:10.2139/ssrn.920553

Touted US penny stocks rise before heavy spam promotion, trade heavily during it and fall afterward; investors who buy on the day of peak promotion lose on average.

Cited in: Pump and dump and penny stocks: how the scam works

Frino and Gallagher (2001) · Tracking S&P 500 Index Funds

Frino, Alex; Gallagher, David R.. The Journal of Portfolio Management 28 (1), pp. 44–55. doi:10.3905/jpm.2001.319822

Tracking error of index funds and its causes: costs, dividends, index changes.

Cited in: ETF basics: costs, replication and distributions · Index providers and valuation points: why the same index is calculated differently · Tracking error and information ratio: deviation from the index · Index replication: full replication, optimized sampling and swaps · Glossary: Index rebalancing

Frongello (2002) · Linking Single Period Attribution Results

Frongello, Andrew Scott Bay. The Journal of Performance Measurement 6 (3), pp. 10–22. Source

Presents a method for linking single-period attribution results over several periods; according to Bacon's (2019) survey, it gives the same results as the method of the French working group GRAP but depends on the order of the periods.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays

Froot et al. (2017) · What do measures of real-time corporate sales say about earnings surprises and post-announcement returns?

Froot, Kenneth; Kang, Namho; Ozik, Gideon; Sadka, Ronnie. Journal of Financial Economics 125 (1), pp. 143–162. doi:10.1016/j.jfineco.2017.04.008

Real-time measures of retailers' sales, based in part on mobile device data, explain revenue and earnings surprises and the share price reaction to quarterly results.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Geolocation data

Froot and Thaler (1990) · Anomalies: Foreign Exchange

Froot, Kenneth A.; Thaler, Richard H.. Journal of Economic Perspectives 4 (3), pp. 179–192. doi:10.1257/jep.4.3.179

Survey of the test for forward discount bias, which clearly rejects the null hypothesis, and of possible explanations.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Uncovered interest parity · Glossary: Forward premium puzzle

Froot (1993) · Currency Hedging over Long Horizons

Froot, Kenneth A.. National Bureau of Economic Research, Working Paper 4355. doi:10.3386/w4355

Full currency hedging reduces volatility over short horizons, but hardly at all over several years, and sometimes even increases it.

Cited in: Currency risk: how exchange rates change your return · Asset classes with a long history: methodology

FTSE Russell GEIS Dates (2023) · FTSE Global Equity Index Series: Index review reference data and dates 2023

FTSE Russell. LSEG/FTSE Russell, January 2023; accessed October 25, 2026. Source

Semi-annual reviews in March and September and quarterly reviews in June and December, effective from the Monday after the third Friday; monthly preview lists.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Smart indexing: added value for index funds around corporate actions and index changes

FTSE All-World Factsheet (2026) · FTSE All-World Index, Factsheet, as of February 27, 2026

FTSE Russell. LSEG/FTSE Russell; accessed October 26, 2026. Source

4,254 large and mid cap constituents; US 59.77%, Japan 6.30%, the ten largest constituents 22.12%, technology (ICB) 29.47%.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations

FTSE Russell Country Classification (2026) · FTSE Equity Country Classification – Annual Announcement (September 2026 Review)

FTSE Russell. LSEG/FTSE Russell, October 6, 2026; accessed October 25, 2026. Source

FTSE Russell's list of developed and emerging markets; South Korea and Poland count as developed markets, and Greece has done so since September 21, 2026.

Cited in: MSCI World vs ACWI vs FTSE All-World: structure, concentration and combinations · Index providers and valuation points: why the same index is calculated differently · Glossary: Country classification

FTSE Russell Calculation Guide (2026) · Guide to Calculation FTSE Global Equity Index Series, v3.9

FTSE Russell. LSEG/FTSE Russell, August 2026; accessed October 25, 2026. Source

Index formulas of the FTSE equity indices, with exchange rates at 16:00 London time and total return indices net of withholding tax for investors without treaty benefits.

Cited in: Index providers and valuation points: why the same index is calculated differently · Glossary: FX fixing

FTSE Russell Reconstitution (2026) · Russell US Indexes Reconstitution 2026 Schedule

FTSE Russell. LSEG/FTSE Russell, press release, March 2, 2026; accessed October 25, 2026. Source

Schedule of the 2026 Russell reconstitution with rank day on April 30, preliminary lists from May 22 and implementation on June 26; semi-annual in June and December in future.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes

Fung and Hsieh (1997) · Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

Fung, William; Hsieh, David A.. Review of Financial Studies 10 (2), pp. 275–302. doi:10.1093/rfs/10.2.275

Hedge funds follow dynamic strategies that differ sharply from those of mutual funds; five dominant styles complement Sharpe's style analysis.

Cited in: Short selling, hedge funds and hedging: types and how they work · Glossary: Hedge fund

Fung and Hsieh (2001) · The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers

Fung, William; Hsieh, David A.. Review of Financial Studies 14 (2), pp. 313–341. doi:10.1093/rfs/14.2.313

Replicates trend followers with lookback straddles: these explain their option-like returns better than linear models with market indices.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Short selling, hedge funds and hedging: types and how they work · Glossary: Managed futures · Glossary: Crisis alpha

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