This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]
BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]
We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]
Attention all finance geeks. The latest and greatest from academic researchers is available for all to review. The WFA recently released their sessions. WFA is one of the more prestigious academic conferences and papers presented [...]
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements of risk and/or systematic mispricing. However, what if we could [...]
Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A 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 Research Questions When hunting [...]
We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation was elevated after Cliff Asness posted the best piece of [...]
The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market Value of Common Stocks,” published in the Journal of Financial [...]
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic [...]
Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal 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 category [...]
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 [...]
A common question we receive at Alpha Architect is the following: Why do you focus on EBIT/TEV as a value screen for stocks instead of the more traditional measures such as book to price? In [...]
Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend following it's worth your time to review Alpha Architects white [...]
In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start by computing the active share for two hypothetical funds, and [...]
Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Building on the concepts presented in my Dividends Are Different article, here we present data and observations highlighting the relationship between inflation and 1) company fundamentals, 2) dividends, and 3) stock market movements.It may be [...]
Are you doing independent factor research? Have you spent countless hours on Ken French's website? Do you run factor regressions for "fun"? Congrats -- you are officially a finance geek and you will probably benefit [...]
It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict.editor's note: This [...]
What are the two most annoying words in forecasting? IT DEPENDS. In this piece we look at the "value" of value, which has been beaten down recently. A few questions arise in this scenario: How [...]
