The predictability of crowding on factor strategy performance

By |2020-01-27T11:39:22-05:00January 27th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)

By |2020-01-24T11:33:49-05:00January 24th, 2020|Research Insights, Factor Investing, Momentum Investing Research|

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Visualization Sector Trends with R Code

By |2020-01-23T11:52:41-05:00January 23rd, 2020|Reproducible Finance, Research Insights, Trend Following, Tool How-To-Guides, Momentum Investing Research|

Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha Architect (see here for my last post). We will search [...]

Enterprise Multiples and Expected Stock Returns

By |2020-01-21T10:54:39-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Timing Low Volatility with Factor Valuations

By |2020-01-06T15:03:33-05:00January 16th, 2020|Research Insights, Factor Investing, Guest Posts, Low Volatility Investing|

INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data availability as few market participants disclose their holdings as well [...]

Top 5 Most Interesting Papers from the Annual Finance Geek Fest

By |2020-01-06T18:24:33-05:00January 14th, 2020|Research Insights, Conferences|

The American Finance Association Annual Meetings have now come and gone (here is information on the broader conference). The conference was in sunny San Diego this year and I'm told it did not disappoint!I wasn't able [...]

How ESG Affects Valuation, Risk, and Performance

By |2020-01-13T10:43:46-05:00January 13th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio ManagementA version of this paper can be found hereWant to read [...]

The Idiosyncratic Volatility Puzzle: Then and Now

By |2020-01-06T15:03:35-05:00January 9th, 2020|Research Insights, Larry Swedroe, Low Volatility Investing|

One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This is an anomaly because idiosyncratic volatility is viewed as a [...]

Forecasting US Equity Market Returns with Machine Learning

By |2020-01-06T14:09:24-05:00January 7th, 2020|Research Insights, Machine Learning, Tactical Asset Allocation Research|

Shiller's CAPE ratio is a popular and useful metric for measuring whether stock prices are overvalued or undervalued relative to earnings. Recently, Vanguard analysts Haifeng Wang, Harshdeep Singh Ahluwalia, Roger A. Aliaga-Díaz, and Joseph H. [...]

Quant Tools for Private Equity and Real Assets

By |2020-01-06T12:14:02-05:00January 6th, 2020|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

DIY Asset Allocation Weights: January 2020

By |2020-01-03T12:13:00-05:00January 3rd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Is Active Investing Doomed as a Negative Sum Game? A Critical Review.

By |2020-01-04T11:20:21-05:00January 2nd, 2020|Research Insights, Factor Investing, Academic Research Insight, Key Research, Active and Passive Investing|

1. Introduction In an influential piece, Sharpe (1991)Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9 put forward the proposition that active investing must be a losing pursuit in aggregate, [...]

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

By |2019-12-30T11:25:44-05:00December 30th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

International Evidence on Factor Premiums

By |2019-12-23T16:31:28-05:00December 26th, 2019|Research Insights, Factor Investing|

Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, “Another Look on Choosing Factors: The International Evidence.” Using bootstrap simulations, Grobys examined international markets, specifically the four regions of [...]

Compound Your Knowledge Ep 21: Christmas Special

By |2019-12-23T13:04:12-05:00December 23rd, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

In today's episode, we had Wes join the show and decided to have Wes and myself answer questions from Ryan on two research summaries we each wrote this year. One summary was original content, and [...]

The market impact of rebalancing factor investing strategies

By |2019-12-23T13:12:33-05:00December 23rd, 2019|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

An Analysis of “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”

By |2019-12-16T08:52:50-05:00December 17th, 2019|Research Insights, Factor Investing|

Authors: Ying Xiao and Glen C. Arnold A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction This is our [...]

Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2

By |2019-12-16T12:32:08-05:00December 16th, 2019|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Improving the Performance of Deep Value Strategies

By |2019-12-10T19:32:32-05:00December 12th, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher long-term returns than the broad market. Motivated by such legendary [...]

Protecting the Downside of Trend When It Is Not Your Friend : Part 1

By |2019-12-09T12:07:59-05:00December 9th, 2019|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]