Academic Finance Research and Insights

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Smart Money Indicator Rebuttal

By |2020-02-28T12:19:55-05:00February 28th, 2020|Research Insights, Trend Following, Tactical Asset Allocation Research|

In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the subject that summarized the results of a paper introducing my [...]

Compound Your Knowledge Ep 22: 2019 Factor Performance

By |2020-02-24T13:12:15-05:00February 24th, 2020|Compound Your Knowledge, Research Insights, Factor Investing, Podcasts and Video, Media|

In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. Article Links: Factor Investing Update: An Analysis of [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Massive Performance Divergence Between Large Growth and Small Value Stocks

By |2020-02-21T12:04:41-05:00February 21st, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Size Investing Research|

From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by 10.8 percentage points a year; and the Russell 2000 Growth [...]

Factor Investing Update: An Analysis of 2019 International Factor Returns

By |2020-02-19T10:17:00-05:00February 19th, 2020|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So below I dig into the 2019 performance for International Factor [...]

Brokers, Retail Investors, and Conflict of Interests

By |2020-02-18T13:25:39-05:00February 18th, 2020|Research Insights, Basilico and Johnsen|

Mark EganJournal of Finance, Winter 2019A version of this paper can be found hereAn old version of the paper that is easily accessible is HERE Want to read our summaries of academic finance papers? Check out [...]

“Price”, ETFs, and Bond Market Liquidity

By |2020-03-30T15:11:25-04:00February 13th, 2020|Guest Posts, Fixed Income, ETF Investing|

Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public market balked at the price the private market (ok, manly [...]

Factor Investing Update: An Analysis of 2019 U.S. Factor Returns

By |2020-02-11T12:49:15-05:00February 11th, 2020|Research Insights, Factor Investing|

In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ 30%, Developed International Markets were up ~ 22%, and Emerging [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Case Against REIT’s

By |2020-03-13T08:54:05-04:00February 6th, 2020|Research Insights, Guest Posts, Academic Research Insight|

Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction [...]

Book Review: Smart(er) Investing by Elisabetta and Tommi

By |2020-02-04T10:20:41-05:00February 4th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Book Reviews, Other Insights|

It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta Basilico and Tommi Johnsen! If you haven't read Elisabetta and [...]

DIY Asset Allocation Weights: February 2020

By |2020-02-03T14:02:02-05:00February 3rd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Conflict of Interest and Mutual Fund Sales

By |2020-02-03T10:54:41-05:00February 3rd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version of this paper can be found hereWant to read our summaries [...]

Low Volatility-Momentum Factor Investing Portfolios

By |2020-01-30T09:00:31-05:00January 30th, 2020|Research Insights, Factor Investing, Guest Posts, Momentum Investing Research, Low Volatility Investing|

INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary or structural issues and are usually rated “Sell” by brokers, [...]

The predictability of crowding on factor strategy performance

By |2020-01-27T11:39:22-05:00January 27th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)

By |2020-01-24T11:33:49-05:00January 24th, 2020|Research Insights, Factor Investing, Momentum Investing Research|

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Visualization Sector Trends with R Code

By |2020-01-23T11:52:41-05:00January 23rd, 2020|Reproducible Finance, Research Insights, Trend Following, Tool How-To-Guides, Momentum Investing Research|

Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha Architect (see here for my last post). We will search [...]

Enterprise Multiples and Expected Stock Returns

By |2020-03-06T10:04:29-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]