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Factor Investing Fact Check: Are Value and Momentum Dead?

By |2018-11-15T16:13:03+00:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset classes. It doesn't matter whether you look at the other [...]

Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments

By |2018-11-13T12:17:12+00:00November 13th, 2018|Research Insights, Guest Posts, Tax Efficient Investing|

If you have a large "low-basis stock problem," or an "embedded capital gain problem," the Opportunity Zone (OZ) program could possibly be the single largest tax break you’ll ever see. With the right investment, the [...]

Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing

By |2018-11-12T12:14:37+00:00November 12th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance [...]

Video: SEC Cybersecurity Requirements and Advisors

By |2018-11-09T07:50:41+00:00November 9th, 2018|Podcasts and Video, Media, Weekly Research Recap Videos|

You can watch the video via the link below: Video Summary In this webinar, Patrick Cleary will demystify the world of cybersecurity and provide actionable next steps for financial advisors looking to implement a best [...]

Webinar Tomorrow (11/8): SEC Cybersecurity Requirements and Advisors

By |2018-11-07T10:58:11+00:00November 7th, 2018|Cyber Security Programs, Investment Advisor Education|

Readers: Pat Cleary, our CCO/COO, will be sharing his insights on cybersecurity. (see here for a sample of his work). Webinar abstract: In this webinar, Patrick Cleary will demystify the world of cybersecurity and provide [...]

Fund Capacity Analysis: How Much Capital Will a Strategy Handle?

By |2018-11-05T08:07:56+00:00November 5th, 2018|Basilico and Johnsen, Academic Research Insight|

Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Alpha Architect Weekly Recap: Affiliated Funds and Diversification

By |2018-11-02T09:03:44+00:00November 2nd, 2018|Weekly Research Recap Videos|

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 of bank affiliated mutual funds. Second, we examine a post [...]

DIY Asset Allocation Weights: November 2018

By |2018-11-01T08:32:11+00:00November 1st, 2018|Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]

Asset Diversification in a Flat World

By |2018-11-01T08:09:48+00:00November 1st, 2018|Research Insights, Tactical Asset Allocation Research|

Diversification is a fundamental principle of prudent investing due to its ability to mitigate/minimize risks. In fact, it has been called the only free lunch in investing because, done properly, it can reduce risk without [...]

Cybersecurity for Financial Advisors (Pat and Brandon)

By |2018-11-01T08:19:23+00:00November 1st, 2018|Factor Investing, Podcasts and Video|

Here is a link to our podcast on Behind the Markets: In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha Architect brings on cybersecurity experts to discuss breaches and the [...]

Do Bank Affiliated Funds Underperform Unaffiliated Funds?

By |2018-10-30T11:36:13+00:00October 29th, 2018|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of [...]

Alpha Architect Weekly Recap: Tracking Error and the “Mix Versus Integrate” Debate

By |2018-10-26T19:01:17+00:00October 26th, 2018|Research Insights, Media, Weekly Research Recap Videos|

You can watch the video via the link below: This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by [...]

How large is the tracking error created by trend following?

By |2018-10-25T13:09:54+00:00October 25th, 2018|Research Insights, 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 investing, what would it be? My response is the following: [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

Alpha Architect Weekly Recap: ETF Tax Efficiency, Profitability Factor, Trend Following

By |2018-10-19T11:45:44+00:00October 19th, 2018|Research Insights, Media, Weekly Research Recap Videos|

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 efficiency based on the findings in a new paper by [...]

The Profitability Factor: International Evidence

By |2018-10-18T13:46:08+00:00October 18th, 2018|Quality Investing, Research Insights, Factor Investing|

Robert Novy-Marx’s 2013 paper “The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock returns, but also helped further explain some of Warren Buffett’s [...]

What is the correct benchmark for trend following?

By |2018-10-22T09:30:53+00:00October 16th, 2018|Research Insights, 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 know, we are fans of trend following and trend-followed portfolios. For [...]

Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.

By |2018-10-15T10:51:14+00:00October 15th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Video: Alpha Architect Weekly Research Recap

By |2018-10-12T10:12:17+00:00October 12th, 2018|Podcasts and Video, Media, Weekly Research Recap Videos|

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 two weeks. First, we discuss a post by Wes, discussing [...]

How a Multi-factor Portfolio is Constructed Matters

By |2018-10-10T10:27:23+00:00October 11th, 2018|Research Insights, Factor Investing, Larry Swedroe|

The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected Stock Returns,” Eugene Fama and Kenneth French introduced a new-and-improved [...]

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