Alpha Architect Weekly Recap: Affiliated Funds and Diversification
You can watch the video via the link below: This week Ryan and I discuss two topics. First, we discuss a paper examining the performance [...]
About Jack Vogel, PhD
Jack Vogel, Ph.D., conducts research in empirical asset pricing and behavioral finance, and is a co-author of DIY FINANCIAL ADVISOR: A Simple Solution to Build and Protect Your Wealth. His dissertation investigates how behavioral biases affect the value anomaly. His academic background includes experience as an instructor and research assistant at Drexel University in both the Finance and Mathematics departments, as well as a Finance instructor at Villanova University. Dr. Vogel is currently a Managing Member of Alpha Architect, LLC, an SEC-Registered Investment Advisor, where he heads the research department and serves as the Chief Financial Officer. He has a PhD in Finance and a MS in Mathematics from Drexel University, and graduated summa cum laude with a BS in Mathematics and Education from The University of Scranton.How large is the tracking error created by trend following?
A question I've received in the past is the following: If you could go back in time five years ago and tell yourself something about [...]
Alpha Architect Weekly Recap: ETF Tax Efficiency, Profitability Factor, Trend Following
You can watch the video via the link below: This week Ryan and I have a discussion on three topics. First, we discuss ETF tax [...]
What is the correct benchmark for trend following?
"What is the correct benchmark for trend following?" This is a difficult question, and there really is no perfect answer. As many of our readers [...]
Video: Alpha Architect Weekly Research Recap
You can watch the video via the link below: Video Summary Today, Ryan and I discuss three topics discussed on our blog over the past [...]
Video: Alpha Architect Weekly Research Recap
You can watch the video via the link below: Video Summary Last week's video (slightly delayed) involves interviews of three guests of Alpha Architect. The [...]
How can the Investment CAPM Price Momentum?
"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing [...]
Value and Momentum and Risk
Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk [...]
Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
Video: Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
Accruals Momentum as an Investment Strategy
Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for [...]
Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?
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 [...]
Why you should trust the investment process (even though it’s hard)
In this article, we discuss why trusting an investment process can be very hard, and how you should approach the challenge. Trust the Process - [...]
The 52 Week High and the Q-Factor Investment Model
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 [...]
Factor Regressions Problems and How to Fix Them
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, [...]
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of [...]
Bond Investing: Reach for Safety
Yield. Within almost any asset class, investors want to know, what is the "yield" on the investment? For some investors, this is the most important [...]
Timing Country Exposure with Value: A Valuation Measure Horserace
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, "buying cheap" stocks [...]
Stock Buybacks are Bad? What About the Alternative — Investment
Recently there has been a fairly active discussion within the financial media on the topic of stock buybacks, or share repurchases. This is probably due [...]
Academic Research Papers and Presentations Galore!
It is that time of year again, the American Finance Association Annual Meeting is underway. The conference is in Philadelphia, starting today (January 5) and running [...]