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Video: Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-17T08:11:56+00:00September 14th, 2018|Academic Research Insight, Podcasts and Video, Weekly Research Recap Videos, Research Insights, Low Volatility Investing|

You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting [...]

How Leverage Constraints Effect Mutual Fund Risk Taking

By |2018-09-14T15:56:24+00:00September 13th, 2018|Factor Investing, Larry Swedroe, Research Insights, Low Volatility Investing|

The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34+00:00September 11th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

What’s in Your Benchmark?

By |2018-09-09T17:20:47+00:00September 10th, 2018|Basilico, Academic Research Insight, Research Insights|

What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Video: Smart Beta is Officially Dead, but Not Forgotten (Jack & Ryan)

By |2018-09-07T18:18:12+00:00September 7th, 2018|Podcasts and Video|

You can watch the video via the link below:  Video Summary Ryan Kirlin walks through his experience growing up in smart beta. He was there in the beginning and has seen it to the [...]

Smart Beta is Officially Dead, but Not Forgotten

By |2018-09-07T09:21:53+00:00September 6th, 2018|Factor Investing, Research Insights, ETF Investing|

What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original definition (from a great piece attempting to bring sanity to [...]

DIY Asset Allocation Weights: September 2018

By |2018-09-04T13:35:43+00:00September 4th, 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 [...]

Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence

By |2018-09-04T10:52:33+00:00September 4th, 2018|Basilico, Academic Research Insight|

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance [...]

Buybacks: Why They Don’t Matter, Why They Do, and Why You Should Care Yet Still Relax.

By |2018-08-30T16:15:16+00:00August 30th, 2018|Research Insights|

U.S. Companies bought back $217 Billion of their $1.3bn in overseas cash in the first quarter helping fuel a record $189 billion in stock buybacks. More are expected throughout the year. Even Warren Buffett is [...]

Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices

By |2018-08-27T09:50:12+00:00August 27th, 2018|Basilico, Academic Research Insight, Research Insights|

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management A version of this paper can be found here Want to [...]

Podcast: Quantitative Value Investing on the Stansberry Investor Hour (Wes)

By |2018-08-28T11:13:43+00:00August 27th, 2018|Factor Investing, Podcasts and Video|

You can listen to the podcast via the link below: Here is a link to our podcast on the Stansberry Investor Hour. Show Summary It’s the 10-year anniversary of this extraordinary bull market, officially – [...]

March for the Fallen 2018: Detailed Logistics Outline and What to Expect

By |2018-08-24T10:12:03+00:00August 24th, 2018|MFTF Training Series, Training Section, Research Insights|

We are 5 weeks away and the March for the Fallen living memorial is about to begin. Here are the links to prior updates if you'd like to review: Minimalist Training Program Training Rules Workout Plans Footwear and [...]

Academic Factor Portfolios are Extremely Painful. Unless you are an Alien.

By |2018-08-24T11:48:20+00:00August 23rd, 2018|Factor Investing, Research Insights|

Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a problem: compound $1,000,000. The goal: compound your extraterrestrial face off. [...]

Looking at Alternatives? Avoid Complexity and Magical Backtests

By |2018-09-17T15:49:19+00:00August 20th, 2018|Basilico, Academic Research Insight|

Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic [...]

Accruals Momentum as an Investment Strategy

By |2018-08-14T09:33:20+00:00August 16th, 2018|Factor Investing, Research Insights|

Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for (1) revenue that has been earned but not received and [...]

The Best Research Paper Ever Written on Trading Costs

By |2018-08-14T09:49:04+00:00August 14th, 2018|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a [...]

Macro Conditions May Enhance Short-term Predictability of the Shiller P/E

By |2018-08-13T13:28:25+00:00August 13th, 2018|Basilico, Academic Research Insight, Research Insights|

King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version of this paper can be found here Want to read our [...]

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