Fund Capacity Analysis: How Much Capital Will a Strategy Handle?
Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want [...]
Do Bank Affiliated Funds Underperform Unaffiliated Funds?
Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this [...]
Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.
This blog discusses the academic research about after-tax alpha by exploring how taxable asset management has evolved over time, and the predictors of tax-efficient asset [...]
Investment Factor Timing: Challenging, but Not Impossible
The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper [...]
When Diversification Fails
When Diversification Fails Sebastien Page and Robert PanarielloFinancial Analyst Journal, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance [...]
The Trillion Dollar Question: Why so few women in finance?
Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want [...]
Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
Leveraged ETFs and Volatility Jumps
Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here [...]
Video: Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
What’s in Your Benchmark?
What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of [...]
Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence
Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can [...]
Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices
Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management [...]
Looking at Alternatives? Avoid Complexity and Magical Backtests
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper [...]
Macro Conditions May Enhance Short-term Predictability of the Shiller P/E
King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version [...]
An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges
Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read [...]
Finance Journals Rarely Publish Articles with low T-stats
Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper [...]
Investment Performance of Female CEOs
Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our [...]
Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.
Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be [...]
Artificial Intelligence and Value Investing
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries [...]