Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? By studying the trading data (provided by a German brokerage [...]
Team: This post is part four in the training series for those participants in this year's March for the Fallen event. We are about 4 weeks out from the event and Dave Babulak is helping educate March for [...]
We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example of a risky asset is an investable stock market index. [...]
Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts Journal, Vol. 3 No. 2, 2017 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322) What are the research questions? Can the concepts contained in equity [...]
Team: This post is part three in the training series for those participants in this year's March for the Fallen event. We are about 5 weeks out from the event and Dave Babulak is helping educate March for [...]
In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]
A trend following strategy is based on switching between a financial asset and cash depending on whether the asset prices trend upward or downward. Specifically, when the strategy identifies that prices trend upward (downward), it [...]
Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.
The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value and Momentum Everywhere A Century of Evidence on Trend Following [...]
Title: MITIGATING ESTIMATION RISK IN ASSET ALLOCATION: DIAGONAL MODELS VERSUS 1/N DIVERSIFICATION Authors: CHRIS STIVERS, LICHENG SUN Publication: THE FINANCIAL REVIEW, 2016 (version here) What are the research questions? In spite of several efforts by researchers [...]
Team: This post is part two in the training series for those participants in this year's March for the Fallen event. You are reading this for the following reasons: You're probably insane. You are already signed up [...]
Medical scientists have identified a disorder, known as Traumatic 1042 Election Distress, that can afflict business owners who pursue Section 1042 sales of their company stock to an ESOP. The researchers recently concluded their clinical study, based on observations of hundreds patients over the past 30 years. Their newly published findings identify common stress patterns observed among business owner patients. The disorder is curable if diagnosed early.
Title: INEFFICIENCIES IN THE PRICING OF EXCHANGE TRADED FUNDS Authors: ANTTI PETAJISTO Publication: FINANCIAL ANALYST JOURNAL, I Q 2017 (version here) What are the research questions? The article provides new empirical evidence on the state of market efficiencies in [...]
This post is part one in the training series for those participants in this year's March for the Fallen event. You are on reading this for the following reasons: You're probably insane. You are already signed [...]
We wanted to formally welcome the newest addition to the Alpha Architect team, Kyle Baxter, who joins us as a Director of Portfolio Services. Kyle Baxter Kyle is new to finance after working as [...]
Like many advisors, I often find myself reviewing accounts and historical performance for clients and prospects with investments at other firms. Of course I see all the usual suspects like annuities, mutual funds with loads, [...]
If you ask your typical long-only investor (or financial advisor) how momentum is doing this year they'll likely say, "Amazing!" This statement will almost surely be based on the fact they own (or know about) the [...]
Title: MONONATIONALS: THE DIVERSIFICATION BENEFITS OF INVESTING IN COMPANIES WITH NO FOREIGN SALES Authors: CORMAC MULLEN AND JENNY BERRILL Publication: FINANCIAL ANALYST JOURNAL, II Q 2017 (version here) What are the research questions? Market globalization is said to be [...]
In this post we aim to give an overview of some specific types of moving averages. Specifically, we cover "ordinary" moving averages and mention some examples of exotic moving averages.
Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday. But we can't fulfill our mission alone. We need help and our two newest teammates, Elisabetta [...]