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Investor Attention and the Low Volatility Anomaly

By | 2018-05-20T11:58:54+00:00 May 24th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]

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What to do with Underperforming Investments? Assessment via Bayesian Inference

By | 2018-05-22T10:24:08+00:00 May 22nd, 2018|Guest Posts|

Assume you made a decision to invest in an active strategy based on, say, a backtest of the underlying process (to be clear, active means NOT passive market-cap weight in my context). Over the next few [...]

Technical Analysis in the Chinese Stock Market: Does it Work?

By | 2018-05-21T09:08:19+00:00 May 21st, 2018|Basilico, Academic Research Insight, Research Insights|

Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version of this paper can be found here Want to read our [...]

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Explaining the Demand for Higher Beta Stocks

By | 2018-05-17T07:52:53+00:00 May 17th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, as I’ve previously discussed, the historical evidence demonstrates that, while [...]

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 5 Cutting Edge Investment Research Articles

By | 2018-05-14T11:27:58+00:00 May 15th, 2018|Conferences, Research Insights|

This year’s annual financial research “geekfest,” officially known as the American Finance Association Annual Meeting, assembles the world’s top-tier academic researchers to discuss their latest financial research. Source: Wes's art studio and a photo [...]

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Automating Earnings Forecasts: Can a “MIDAS” touch help?

By | 2018-05-14T10:18:58+00:00 May 14th, 2018|Basilico, Academic Research Insight|

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

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Podcast: Value Investing in India and Technology

By | 2018-05-14T09:56:14+00:00 May 14th, 2018|Podcasts, Value Investing Research|

Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's Reunion Radio. Hosts Jeremy Schwartz and Wes Gray talk to [...]

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Don’t be Afraid of Commodity Futures: Understand Them.

By | 2018-05-09T13:38:35+00:00 May 10th, 2018|Research Insights, Managed Futures Research|

An often overlooked corner of the investing world is the futures market.  Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics of daily cash settlement, or new terminology and lingo [...]

Momentum Investing Talk: Seattle, WA May 19, 2018…Say Hello!

By | 2018-05-10T10:18:43+00:00 May 10th, 2018|Business Updates|

Background: I'll be chatting about the momentum anomaly out in Seattle, WA on May 19th. We'll cover some hard-hitting questions related to momentum investing: What is momentum? (background here) Do transaction costs destroy the strategy? (background here) Is [...]

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#Women in Finance Know Stuff: A Conversation with Nicole Boyson

By | 2018-05-08T09:33:05+00:00 May 8th, 2018|Basilico, Women in Finance Know Stuff, Interviews|

Today, we are interviewing Dr. Nicole Boyson, Professor of Finance at Northeastern University. (Here is a link to her SSRN page) I had the pleasure to personally meet Nicole at the 2018 “Democratize Quant” conference [...]

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Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.

By | 2018-05-07T11:02:53+00:00 May 7th, 2018|Basilico, Academic Research Insight, Research Insights|

Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev,  Felipe Ruiz and Tomas Sorensson Journal of Financial Research Studies A [...]

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Market Volatility? Hang On and Enjoy the Ride

By | 2018-05-04T13:29:44+00:00 May 4th, 2018|Research Insights, Tactical Asset Allocation Research|

As you are no doubt experiencing, stock market volatility has spiked this year with the S&P 500 dropping or rising 2% or more on eight different days. Jolts of this size didn't happen at all in [...]

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Value Investing Portfolios are Not Dead, But Some Have Done Better than Others

By | 2018-05-07T18:10:10+00:00 May 3rd, 2018|Factor Investing, Guest Posts, Value Investing Research|

Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that value is dead and may never come back. Of course, most [...]

Welcome Aboard our Newest Teammate: Emeka Oguh!

By | 2018-04-27T08:23:21+00:00 May 2nd, 2018|Business Updates|

We wanted to formally introduce our newest independent Trustee to the Alpha Architect team, Emeka Oguh (pronounced Uh-meh-kah)! Emeka (Chukwuemeka) is a native of Union, New Jersey. After studying electrical engineering at Rutgers, he moved to [...]

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DIY Asset Allocation Weights: May 2018

By | 2018-05-01T20:33:42+00:00 May 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 [...]

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Understanding the State of the ETF Industry through Mergers, Acquisitions, and Fragility

By | 2018-05-01T08:18:37+00:00 May 1st, 2018|Research Insights, ETF Investing|

Last year I wrote the following: In 2014 and 2015 there was a wave of ETF company acquisitions by large asset management firms. The reason was simple: if an asset management company was not in the [...]

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Does Higher Financial Literacy Lead to Better Portfolio Performance?

By | 2018-04-25T16:18:09+00:00 April 30th, 2018|Basilico, Academic Research Insight|

Financial Literacy and Portfolio Dynamics Milo Bianchi Journal of Finance, 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 are the [...]

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The Weirdest Anti-Finance-Conference Ever: March for the Fallen 2018

By | 2018-04-29T17:12:29+00:00 April 29th, 2018|MFTF Training Series, Business Updates|

May 1 marks the day when we begin our training for the 28-mile march (with 35lb+ attached) to honor the fallen. Alpha Architect will be participating in the event for the 3rd year in a row. March [...]

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Are Trend-Following and Time-Series Momentum Research Results Robust?

By | 2018-04-27T07:56:56+00:00 April 27th, 2018|Trend Following, Research Insights, Momentum Investing Research, Tactical Asset Allocation Research|

When it comes to trend following and/or time-series momentum research, we got ya covered! A few places to dig in: Evidence for Long-Term Trend-Following by Alpha Architect World's Longest Trend-Following backtest by Alpha Architect Diversification Benefits of [...]

The Costs of Implementing Momentum Strategies

By | 2018-04-18T14:48:55+00:00 April 26th, 2018|Research Insights, Momentum Investing Research|

There are now hundreds of factors in what John Cochrane famously called the “zoo of factors.” However, there are only a small number that meet the requirements for investment that my co-author, Andrew Berkin, and [...]