How Portfolio Construction Impacts the Reliability of Outcomes

By |April 16th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.Please note that in the context of long/short factor investing, which is more focused on Sharpe optimization and the use of leverage, [...]

Inflation and the Value Premium

By |April 15th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering strongly—the Fed’s latest forecast for 2021 GNP growth is 6.5 percent—has led many investors to begin [...]

Global Factor Performance: April 2021

By |April 7th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

The ETF Store: Nate/Wes Discuss Value, Momentum, and Launching ETFs

By |April 7th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Wes Gray, CEO of Alpha Architect, talks about the value rotation, momentum stocks, the ETF white-labeling business, and more with Nate Geraci. External link to the podcast here. https://open.spotify.com/show/4FTkbBgTiC1AFJgMmtwKX3?si=q7UbCIYfSjmDAPa7dL5DkQ

Fixed Income when you’re Between a Rock and a Hard Place – Part 1/2

By |March 31st, 2021|Research Insights, Factor Investing, Guest Posts, Other Insights, Fixed Income|

Figure 1: Investors are between a rock and a hard place.Source: Getty Images. Invesco. Investors are stuck between a rock and a hard place. On one hand, it is painful to buy bonds that deliver [...]

More on the Factor Investing Replication Debate

By |March 26th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Open Source Cross-Sectional Asset Pricing Andrew Chen and Tom ZimmermannWorking paperA version of this paper can be found here What are the research questions? There has been a wave of articles (and press) suggesting that academic [...]

Democratize Quant Conference Recap and Materials

By |March 25th, 2021|ESG, Research Insights, Factor Investing, Investor Education, Conferences, Value Investing Research, Momentum Investing Research|

COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific and I personally learned a lot from them. This post [...]

Is There a Replication Crisis in Finance?

By |March 23rd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

In recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies cannot be replicated and/or their findings are the result of [...]

Conditional Volatility Targeting

By |March 18th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights|

Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper “Studies of Stock Price Volatility Changes.”  This relationship results in the tendency to produce negative [...]

Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?

By |March 8th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Betting against correlation: Testing theories of the low-risk effect Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje PedersenJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic [...]

Global Factor Performance: March 2021

By |March 8th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Momentum Factor Investing: What’s the Right Risk-Adjustment?

By |March 4th, 2021|Research Insights, Factor Investing, Momentum Investing Research|

Momentum? What Momentum? Erik Theissen and Can YilanciA 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? [...]

The Forecasting Power of Value, Profitability, and Investment Spreads

By |February 25th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to time investments based on their value spreadsThe difference in the [...]

RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations

By |February 23rd, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. They break down the [...]

The R&D Premium: Is it Risk or Mispricing?

By |February 18th, 2021|Quality Investing, Research Insights, Factor Investing|

Asset pricing models are important because they help us understand which factors explain the variation of returns across diversified portfolios. However, models are not like cameras that provide a perfect picture of the world. If [...]

Meb Faber Podcast: Doug Discusses 1042 QRP and ESOP Transactions

By |February 18th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Doug Pugliese, the head of our 1042 QRP business, was recently invited on the Meb Faber Podcast to discuss the ESOP landscape and the costs and benefits of 1042 QRP transactions. (article on the topic [...]

ESG Factors and Traditional Factors

By |February 16th, 2021|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education|

Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens Ananth Madhavan, Aleksander Sobczyk and Andrew AngFinancial Analyst Journal, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Global Factor Performance: February 2021

By |February 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Will the Real Value Factor Funds Please Stand Up?

By |February 8th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo ManoelWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Excess Returns Podcast: Jack discussing Momentum and Trend

By |February 5th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

I was recently invited on the Excess Returns podcast with Justin Carbonneau and Jack Forehand. We discussed Momentum and Trend-following. Commentary/Links: In the conversation, I mentioned a post titled "Factor Investing and Trading [...]

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