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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 |2018-10-16T11:29:13+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, 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 [...]

Fixed Income Factors: An Overlooked Corner of the Market

By |2018-10-09T10:59:08+00:00October 9th, 2018|Research Insights, Factor Investing, Guest Posts, Fixed Income|

Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good places to start). However, many of these strategies focus on [...]

Investment Factor Timing: Challenging, but Not Impossible

By |2018-10-08T11:36:08+00:00October 8th, 2018|Research Insights, Factor Investing, Basilico, Academic Research Insight, Tactical Asset Allocation Research|

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

Summing up the Potential Benefits and Pitfalls of Diversification in 3 Slides

By |2018-09-27T16:27:45+00:00October 4th, 2018|Research Insights, Tactical Asset Allocation Research|

Not long ago I used to teach investment management courses to Master's students (MBAs and MS Finance types). A core aspect of my course was so-called modern portfolio theory. We did a lot of math [...]

DIY Asset Allocation Weights: October 2018

By |2018-10-02T16:22:53+00:00October 2nd, 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 [...]

How can the Investment CAPM Price Momentum?

By |2018-10-04T09:09:54+00:00October 2nd, 2018|Research Insights, Factor Investing, Momentum Investing Research|

"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing in empirical asset pricing -- can neoclassic economic models explain [...]

When Diversification Fails

By |2018-10-01T11:46:22+00:00October 1st, 2018|Basilico, Academic Research Insight, Tactical Asset Allocation Research|

When Diversification Fails Sebastien Page and Robert Panariello Financial Analyst Journal, forthcoming 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 [...]

SEC Cybersecurity Requirements for Registered Investment Advisors (RIAs)

By |2018-09-26T09:47:03+00:00September 26th, 2018|Research Insights, Cyber Security Programs, Investment Advisor Education|

Warning: This cybersecurity post is a monster and meant to be a reference for financial advisors looking to build out a robust cybersecurity advisor solution. If blog posts were food, this would be a steaming [...]

Value and Momentum and Risk

By |2018-09-25T10:16:46+00:00September 25th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite [...]

The Trillion Dollar Question: Why so few women in finance?

By |2018-09-20T15:45:57+00:00September 24th, 2018|Basilico, Academic Research Insight|

Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-21T11:25:57+00:00September 21st, 2018|Research Insights, Podcasts and Video, Academic Research Insight, Weekly Research Recap Videos|

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 paper by Linda Zhang investigating the volatility of [...]

Illustrating the Value of Retirement Accounts

By |2018-09-19T13:29:54+00:00September 19th, 2018|Research Insights, Guest Posts, Tax Efficient Investing|

What do most people consider to be the biggest benefit of retirement accounts? Many investors and advisors will say, "tax deferral." But a recent article (pdf version) I wrote highlighted that the real value of retirement [...]

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