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Podcast: Managed Futures and Trend-Following with Dr. Kaminski (Wes)

By | 2018-02-22T07:30:37+00:00 February 22nd, 2018|Podcasts|

Here is a link to our podcast on Behind the Markets Wes and Jeremy chat with Katy Kaminski, Visiting Lecturer in Finance at the MIT Sloan School of Management and co-author of the book, "Trend [...]

Explaining the Value Effect in Emerging Markets

By | 2018-02-21T07:36:22+00:00 February 21st, 2018|Academic Research Insight, Research Insights, Value Investing Research|

Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]

How to Evaluate Multi-Asset Strategies

By | 2018-02-20T11:52:40+00:00 February 20th, 2018|Basilico, Academic Research Insight|

Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue 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 [...]

Pat Cleary, our CCO, will be at the TradersEXPO in NYC on February 25th

By | 2018-02-14T08:32:11+00:00 February 14th, 2018|Business Updates|

Pat Cleary, our CCO/COO and former Marine Captain, will be giving a keynote on his experience in the military and the applications in running an asset management business. You read our piece on the subject, [...]

Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements

By | 2018-02-12T08:34:41+00:00 February 12th, 2018|Basilico, Academic Research Insight, Research Insights|

Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research A version of this paper can be found here Want to read our summaries of [...]

Book Review: Thinking in Bets: Making Smarter Decisions When You Don’t Have All the Facts

By | 2018-02-10T11:06:05+00:00 February 9th, 2018|Book Reviews|

Behavioral psychology is going mainstream in American culture, from Michael Lewis’s “Moneyball,” to recent Nobel prizes won by behavioral economics giants Daniel Kahneman and Richard Thaler. While there has been a spate of recent books [...]

Time Series Momentum (aka Trend-Following): A Good Time for a Refresh

By | 2018-02-09T10:57:32+00:00 February 8th, 2018|Trend Following, Research Insights, Momentum Investing Research, Managed Futures Research|

Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]

DIY Asset Allocation Weights: February 2018

By | 2018-02-06T12:17:05+00:00 February 6th, 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 [...]

The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures

By | 2018-02-06T08:32:03+00:00 February 6th, 2018|Basilico, Academic Research Insight, Research Insights|

Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

Podcast: Behavioral Finance and the Future of the Asset Management Business (Wes)

By | 2018-02-10T10:32:24+00:00 February 6th, 2018|Podcasts|

Here is a link to our podcast on Behind the Markets Wes and Jeremy chat with University of Chicago Professor, Sam Hartzmark, and the new CEO of O'Shaughnessy Asset Management, Pat O'Shaughnessy. They discuss behavioral [...]

Alpha Architect in Scottsdale AZ Talking ESOP Strategy — Give us a Shout!

By | 2018-02-06T08:16:02+00:00 February 6th, 2018|Business Updates|

Doug Pugliese, the Alpha Architect resident expert on all things ESOP, will be presenting, "Investing the 1042 Rollover," at the NCEO conference Wed and Thurs. I know...I know...esoteric tax-structuring and corporate organization/optimization discussions. Probably too exciting [...]

An Inside Look at How ETF Firms are Competing. Hint: Price Isn’t Everything

By | 2018-01-31T10:05:35+00:00 January 31st, 2018|Research Insights, ETF Investing|

Morgan Housel had a post on the idea of conflicting skill sets. Morgan makes the following comment: F. Scott Fitzgerald said intelligence is "the ability to hold two opposing ideas in your head at the [...]

Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility

By | 2018-01-29T08:46:33+00:00 January 29th, 2018|Basilico, Academic Research Insight, Research Insights|

Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

A Quantitative Strategy for Enhancing Merger Arbitrage

By | 2018-01-25T21:31:25+00:00 January 25th, 2018|Research Insights, Guest Posts|

Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, shares of the target tend to trade below the offered [...]

Podcast: The Future of the Advisory Business with Matt Topley and Don Riley (Wes)

By | 2018-01-24T19:46:38+00:00 January 24th, 2018|Podcasts|

Here is a link to our podcast on Behind the Markets Wes and Ryan discuss Matt and Don's investment positioning going into 2018. We also discuss the future of the advisory business. We end with [...]

Academic Research Insight: Results on Financial Misconduct Depend on the Database One Uses

By | 2018-01-22T05:18:01+00:00 January 22nd, 2018|Basilico, Academic Research Insight, Research Insights|

Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of this paper can be found here Want to read our summaries [...]

Warm Weather…Here We Come! Let us Know if You’re In Florida Next Week!

By | 2018-01-18T11:07:29+00:00 January 19th, 2018|Business Updates|

We'll have a small contingent from the Alpha Architect team down at the 2018 InsideETFs conference -- myself, Jack Vogel, and Ryan Kirlin. Make sure you say, "Hello," if you run into us down at the [...]