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Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?

By |2018-06-25T13:08:26+00:00July 10th, 2018|Factor Investing, Research Insights|

What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is an entertaining topic to discuss--enter CNBC and the financial media. [...]

Artificial Intelligence and Value Investing

By |2018-06-25T11:15:37+00:00July 9th, 2018|Basilico, Academic Research Insight|

Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What [...]

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#Women in Finance Know Stuff: A Conversation with Lauren Simmons

By |2018-07-05T09:13:09+00:00July 5th, 2018|Basilico|

After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, is an inspirational figure and her presence in a top [...]

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DIY Asset Allocation Weights: July 2018

By |2018-07-03T13:22:00+00:00July 3rd, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

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For Consistency Across Market Conditions, Try a Quant Manager

By |2018-07-01T10:10:34+00:00July 2nd, 2018|Basilico, Academic Research Insight, Research Insights|

The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

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Podcast: Momentum in Theory, Momentum in Practice (Jack)

By |2018-06-27T09:41:51+00:00June 29th, 2018|Podcasts, Momentum Investing Research|

Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. I’ve known Jack for some time now and was particularly [...]

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Explaining the Beta Anomaly

By |2018-06-27T09:40:49+00:00June 28th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The superior performance of low-beta and low-volatility stocks was documented in the literature back in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” [...]

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Podcast: Corporate Bankruptcy with Kate Waldock (Wes)

By |2018-06-26T12:06:17+00:00June 26th, 2018|Podcasts, Corporate Governance|

Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets Jeremy and Wes talk to Kate Waldock, Assistant Professor of Finance at Georgetown University and Jeff Korzenik, [...]

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Financial Constraints Generate a 6.5% 5-Factor Fama-French Alpha?

By |2018-06-25T10:26:34+00:00June 25th, 2018|Basilico, Academic Research Insight|

Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

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Trust the Process

By |2018-06-25T15:02:05+00:00June 21st, 2018|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

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A Smarter CAPE Ratio to Better Forecast Expected Stock Returns

By |2018-06-18T08:33:22+00:00June 18th, 2018|Basilico, Academic Research Insight, Research Insights, Tactical Asset Allocation Research|

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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The 52 Week High and the Q-Factor Investment Model

By |2018-06-15T12:15:54+00:00June 14th, 2018|Factor Investing, Research Insights, Momentum Investing Research|

In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the performance of stocks relative to their respective 52-week high (highlighted [...]

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Commodities for the Long Run

By |2018-06-11T07:07:14+00:00June 11th, 2018|Basilico, Academic Research Insight|

Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

The Future for Factor Investing May Be Different Than its Backtested Past

By |2018-06-07T07:27:05+00:00June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while [...]

Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras

By |2018-06-25T16:50:17+00:00June 5th, 2018|Machine Learning, Research Insights|

Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine Learning Approach." The paper presents a strategy that forecasts industry [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By |2018-06-04T10:20:01+00:00June 4th, 2018|Factor Investing, Basilico, Academic Research Insight, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

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DIY Asset Allocation Weights: June 2018

By |2018-06-01T17:26:40+00:00June 1st, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

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Factor Regressions Problems and How to Fix Them

By |2018-06-01T12:51:45+00:00June 1st, 2018|Factor Investing, Research Insights, Value Investing Research|

Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, Quality, etc. Luckily, there are some great free tools available [...]

Sharpening the Arithmetic of Active Management

By |2018-05-31T09:31:43+00:00May 31st, 2018|Research Insights, Active and Passive Investing|

For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study after study has demonstrated that only a small portion of [...]

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