My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]
Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and here. Want to read our summaries of academic finance papers? [...]
In this week's post, we discuss three articles. The first article examines the effect of concentration (i.e. how many stocks does one own) within a Value portfolio. The second paper, summarized by Larry Swedroe, examines [...]
We are 8-weeks out. In theory, participants should have already been training, but we recognize that some people like to procrastinate and wait until the last minute. Fear not, your procrastination is actually a benefit. [...]
A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]
When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
In this week's post, we discuss four articles. The size, written by the folks at AQR, is titled "Fact, Fiction, and the Size Effect" and is a deep dive into the Size effect--I highly recommend [...]
Here is a link to our podcast on "The Bogleheads on Investing Podcast": Dr. Wesley R. "Wes" Gray is my guest in Episode 9, and our focus is on "factor" investing. Dr. Gray is the [...]
As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) has underperformed (1) the market and (2) Growth stocks. So [...]
Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity risk. Here’s the simple math demonstrating the point. Well-diversified equity [...]
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]
In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or absolute, trend following) momentum, not only increases the explanatory power [...]
Here is a link to our podcast on "The Living with Money Podcast": In Ep. 73, Tim talks with CEO of Alpha Architect – Wes Gray. Wes tells the story of getting his PhD at [...]
Welcome to the first installment of Reproducible Finance by way of Alpha Architect. For the uninitiated, this series is a bit different than the other stuff on AA - we'll focus on writing clean, reproducible [...]
We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone does not tell us much. The questions I want to [...]
We hope everyone had a nice 4th of July weekend! In this week's post, we discuss one paper, titled "Buyback Derangement Syndrome." The paper was summarized on our site by Tommi, and the paper was [...]
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Here is a link to our podcast on "The Money Savage Podcast": On this show, we talked about the important role education plays in cutting through the noise and confusion surrounding finance, and understanding the [...]
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 [...]
Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight [...]
