Loading...

Factor Timing Investigation: Interest Rates, Value Spreads, and Factor Premiums

By | 2017-09-22T09:34:38+00:00 September 22nd, 2017|Factor Investing, Larry Swedroe, Research Insights, Guest Posts|

Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, [...]

Academic Research Insight: Does Gender Matter on Wall Street?

By | 2017-09-19T13:37:21+00:00 September 18th, 2017|Basilico, Academic Research Insight|

Title: GENDER AND CONNECTIONS AMONG WALL STREET ANALYSTS Authors: LILY FANG AND STERLING HUANG Publication: THE REVIEW OF FINANCIAL STUDIES, V.30, SEPTEMBER 2017 (version here) What are the research questions? By studying a sample of Wall Street analysts [...]

Ben Graham on Passive Investing

By | 2017-09-14T07:26:08+00:00 September 14th, 2017|Research Insights, Value Investing Research|

The passive investing revolution is truly upon us. Ever since 1975, when Jack Bogle introduced the first index mutual fund, passive indexing has marched on relentlessly. Jack Bogle is everywhere. He was on TV this [...]

Comments Off on Ben Graham on Passive Investing

What Happens When you Data Mine 2 million Fundamental Quant Strategies

By | 2017-09-13T11:37:57+00:00 September 13th, 2017|Factor Investing, Academic Research Insight, Research Insights|

As we have mentioned before, here, here and here, there is overwhelming evidence that the number of stock anomalies in the universe is much lower than originally thought. Most of the previous research papers attempt to [...]

Support Academic Research by Filling Out The Financial Analysts Survey

By | 2017-09-11T18:00:00+00:00 September 12th, 2017|Research Insights|

Prof. Richard Price, an old friend, co-author, and Alpha Architect advisory board member, is working on some cool new co-authored research that requires audience participation! Dr. Price, alongside Professors Dipankar Ghosh, and  Atul Rai, are [...]

Academic Research Insight: Do Dividends Still Matter?

By | 2017-09-10T18:38:19+00:00 September 11th, 2017|Basilico, Research Insights|

Title:  WHAT DIFFERENCE DO DIVIDENDS MAKE? Authors: C. Mitchell Conover, CFA, CIPM, Gerald R. Jensen, CFA and Marc W. Simpson, CFA Publication: Financial Analysts Journal, Volume 72, Number 6, 2016 (version here) What are the [...]

Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)

By | 2017-09-08T08:48:12+00:00 September 8th, 2017|Introduction Course|

In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. [...]

How ETF Trading Works: A Deep Dive Into ETF Market Making

By | 2017-09-06T10:24:19+00:00 September 6th, 2017|Research Insights, ETF Investing|

Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use ETFs as trading vehicles. Either way, ETF assets continue to [...]

Want to Work for Alpha Architect? We’re Hiring!

By | 2017-09-10T10:15:22+00:00 September 5th, 2017|Business Updates|

Our firm is growing rapidly and we're looking to hire new teammates (one initially, possibly another down the road). If you are passionate about investor education and helping us deliver affordable alpha, please reach out! [...]

Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)

By | 2017-09-01T08:02:37+00:00 September 1st, 2017|Trend Following, Trend-Following Course, Introduction Course|

The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a [...]

March for the Fallen Weekly Training Series: Secret Weapons

By | 2017-09-01T08:00:48+00:00 September 1st, 2017|MFTF Training Series|

Team: This post is part six in the training series for those participants in this year's March for the Fallen event. We are about 2 weeks out from the event and Dave Babulak is helping educate March for [...]

Short Term Momentum and Long Term Reversals Can Coexist

By | 2017-08-28T10:27:32+00:00 August 30th, 2017|Factor Investing, Larry Swedroe, Research Insights, Other Insights, Momentum Investing Research|

In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns to buying winners and selling losers in the U.S. equity [...]

Academic Research Insight: Global Equities and Overreaction

By | 2017-08-28T09:45:47+00:00 August 28th, 2017|Basilico, Academic Research Insight, Research Insights|

Title: OVERREACTION AND THE CROSS-SECTION OF RETURNS: INTERNATIONAL EVIDENCE Authors: Douglas W. Blackburn, Nusret Cakici Publication: Journal of Empirical Finance 42 (2017) 1-14  https://ssrn.com/abstract=2800188 What are the research questions? Is there a consistent and reliable [...]

Trend-Following with Valeriy Zakamulin: Testing Profitability of Trading Rules (Part 6)

By | 2017-08-25T09:27:35+00:00 August 25th, 2017|Trend-Following Course, Investor Education, Introduction Course|

The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. Specifically, any trading rule considered in Part 3 has at [...]

March for the Fallen Weekly Training Series: Nutrion

By | 2017-08-25T08:13:24+00:00 August 25th, 2017|MFTF Training Series, Business Updates|

Team: This post is part five in the training series for those participants in this year's March for the Fallen event. Dave Babulak, Dave Taggart, and I hit a 16.5miler in the Tetons this week -- [...]

Portfolio Allocations using Enterprise Multiples (and others)

By | 2017-08-19T13:44:34+00:00 August 22nd, 2017|Factor Investing, Value Investing Research|

A common question asked in the factor investing field is the following -- "how much of the model's performance is driven by sector allocations, and how much is driven by security selection?" Our answer is to simply buy Value stocks or Momentum stocks, regardless of sector constraints. Why? Well a nice anecdote (but not data) is that investing in "cheap" technology stocks was not a great idea in the internet bubble crash.

Comments Off on Portfolio Allocations using Enterprise Multiples (and others)

Academic Research Insight: Abusing ETFs

By | 2017-08-21T11:08:06+00:00 August 21st, 2017|Basilico, Academic Research Insight|

Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? By studying the trading data (provided by a German brokerage [...]