Many of you have asked for the slides I presented at the ETF conference on tactical asset allocation. Note, the 2nd slide is an animation slide that doesn't translate to PDF. Slides are below: https://alphaarchitect.com//wp-content/uploads/2014/09/Asset_Allocation_Facts_and_Fiction_v03.pdf
We were all chatting in the office today making fun of our own predictions and the predictions of others. The conversation quickly turned to the ridiculous Dow Jones Index projections that were being discussed in [...]
Combining Value and Momentum Fisher, Shah and Titman (2014) A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: This paper considers [...]
Strategy Summary The flexible asset allocation strategy was first proposed by Keller and Putten (2012), in their paper "Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach". The flexible asset allocation strategy, hereafter, FAA, incorporates [...]
Recency Bias and Post-Earnings Announcement Drift Qingzhong Ma, David Whidbee, and Wei Zhang A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. [...]
Tadas has a nice recap piece on the BIG news that Calpers is sending their hedge fund managers to the scrapyard. But why so sad Calpers? Well, the facts don't lie. Here are the [...]
Used car salesmen types are everywhere, especially in the asset management business. What defines the used car salesman? Used car salesmen are often focused on selling something—anything on their lots that has four wheels—rather than identifying the right vehicle for the client. The same holds true with the asset management business. Some asset management salesmen just want to sell something—anything, regardless of its suitability. Alpha Architect’s experience working with family offices in the dual role of consultant and investment manager has given us the opportunity to see a lot of indecipherable marketing materials and esoteric investment strategies over the years, neither of which appear to be in the best interest of the investor. We’ve always sought a simple framework that would facilitate a quick evaluation of any strategy that came through the door, but nothing really existed. Necessity is indeed the mother of invention: We developed our own framework for determining strategy selection and assessment. Our method is based on a few simple concepts, which should be clearly understood within the context of any investing approach, regardless of objective. In the end, choosing investment opportunities simply comes down to the FACTS.
If you can recall something, you think it's important From 1990 through 2000 there were 1.4 deaths per 10 million passengers on U.S. scheduled airlines. Flying understandably feels dangerous. But we have actually been less [...]
Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But this mission is not our product. Our product is Affordable Alpha: We seek to delivers alpha (highly differentiated risk/reward profiles) at low costs, thereby giving sophisticated (taxable) investors a higher chance of winning net of fees and taxes.
The blogosphere is spammed with commentary related to the current high market valuations and the inevitable crash that "must" ensue. We've even been involved in the conversation at different points, trying to add some depth [...]
CEO Fitness and Firm Value Limbach and Sonnenburg A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We provide evidence for [...]
In this post we explore the trade-off between diversification and alpha generation. Here is a high level summary of the situation: Owning more stocks in a portfolio lowers "idiosyncratic" risk, or risk that can be eliminated through diversification...however...Owning more stocks dilutes performance of an "alpha" generating process. (e.g., forcing Warren Buffett to hold a 500 stock equal-weighted portfolio would dampen his alpha). In summary, fewer stocks in a portfolio imply more expected alpha and more idiosyncratic risk; more stocks in a portfolio imply less expected alpha and less idiosyncratic risk. But what is the optimal trade-off between alpha and idiosyncratic risk? Do we want to own a 1 stock portfolio? A 50 stock portfolio? A 1000 stock portfolio?
Passive versus Active Fund Performance: Do Index Funds Have Skill? Alan Crane, Kevin Crotty A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]
I'm sure most of you know about this resource, but if not, check it out! The Ben Graham Centre for Value Investing: http://www.bengrahaminvesting.ca/Research/Academic_Research/published_papers.htm Empower yourself through education!
Investment Restrictions and Fund Performance Clifford, Fulkerson, Hong, and Jordan A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category! Abstract: We examine [...]
Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns Kevin Oversby A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Remark: The Fama-French [...]
We've got a box of books (20 copies) in the office that we want to share with our readers at a discount. We posted them to Amazon.com for $29.99, which is a nice discount off the normal price [...]
In our last post, we looked at tactical allocation using valuation metrics and trend-following measures. Our conclusion from the analysis is that discerning robust trading signals based on market valuations is difficult at best. This [...]
Yes, it is true, lower risk securities have historically outperformed higher risk securities. We've seen this in a variety of academic research pieces, but sometimes you gotta grind the data on your own to really [...]
Simple Technical Trading Rules and the Stochastic Properties of Stock Returns Brock, Lakonishok, and LeBaron A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research [...]