Looking to Improve your Factor Investing? Examine the Trend of Profits
A few years ago, the profitability "quality" factor was originally proposed by Robert Novy-Marx. Here is a snippet from the abstract of the paper: Profitability, [...]
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.Firm-Specific Information and Momentum Investing
When it comes to momentum investing, everyone is always looking for a better way to implement a momentum-based stock selection strategy (the same goes for a [...]
Is the Low Volatility Anomaly driven by Lottery Demand?
A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still [...]
Value Investing using Enterprise Multiples — Is the Premium Due to Risk and/or Mispricing?
At Alpha Architect, we are big fans of Value investing (and Momentum). In the past, Wes and I examined which valuation measure had the largest spread [...]
How to Measure Momentum?
Since we've released our new book, Quantitative Momentum, we've received a handful of basic questions related to momentum--specifically as it relates to stock selection. To [...]
When Academics Disagree on Momentum Investing
The academic standard for intermediate-term momentum measurement is "12_2 momentum:" simply sort all stocks based on a stock's total return over the past twelve months, ignoring [...]
Taming the Momentum Investing Roller Coaster: Fact or Fiction?
Intermediate-Term Price momentum, originally researched by Jegadeesh and Titman in 1993, documented a how recent stock returns tended to continue in the future. Stocks that [...]
How Portfolio Construction Affects Value Funds
Value investing is an investment philosophy that has been extensively discussed and examined at least since the days of Ben Graham, who popularized it as [...]
Alternative Beta can be Great: But Beware of Data-Mining!
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez A version of the paper can be found here. Want a summary [...]
Have benchmarks made us bad active investors?
Curse of the Benchmarks Vayano and Woolley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Can Losing Lead to Winning?
Can Losing Lead to Winning Berger and Pope A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
The Quantitative Momentum Investing Philosophy
Eugene Fama, the 2014 co-recipient of the Nobel Prize in Economics and father of the efficient market hypothesis, and his equally well-credentialed co-author, Ken French, [...]
How Portfolio Construction Affects Momentum Funds
We have already documented the returns to generic momentum investing strategies. Within the fund marketplace, many investors focus on fees and less on process. For example, Morningstar highlights the fees [...]
Which Asset Allocation Weights Work the Best?
What is the optimal method to weigh an index? Everyone seems to have a story these days for the "best" way to weigh an index. In this study we look at simple ways to weigh a large-cap stock index using prices only. Bottom-line up front: Low volatility worked the best on a risk-adjusted basis over the past 87 years. However, low volatility, was close followed by momentum, equal-weighting, and value-weighting, respectively. Across the board, results are similar.
Absolute Strength Momentum Investing Strategy
Here we highlight an interesting working paper titled "Absolute Strength: Exploring Momentum in Stock Returns" by Gulen and Petkova (2015). The abstract is the following: [...]
How to Use Factor Funds in a Diversified Portfolio
Active management has been out of favor for a while--high fees, high tax burdens, and poor long-term performance. But with the slow rise of actively [...]
Value and Momentum in Sports Betting
As noted through our previous posts, we are big proponents of Value investing and Momentum investing strategies. We even highlight the best way to combine [...]
The Active Share Debate: AQR versus the Academics
There is an interesting discussion in the geeky world of academic finance literature between the intellectual muscle at AQR and academia. The discussion revolves around [...]
Corporate Sport Sponsorship and Stock Returns
The NFL is back!!! Unfortunately, the Eagles may need a new kicker...and now we have to listen to Wes talk trash about the Cowboys victory [...]