Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. review more in [...]
When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one screen, to form a single portfolio of stocks? ("Blended", "combined", [...]
Our chat with Wes Gray illuminates the subtle nuance and discipline of concentrated factor investing, the difference between behavioural and risk-based factor premiums, and the pros and cons of active management over passive and index-based [...]
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, [...]
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
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 [...]
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? [...]
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 [...]
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 [...]
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 [...]
Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Initial research on [...]
The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]
In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, [...]
Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same asset class that have performed poorly over the prior year. [...]
The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk securities, they demand higher compensation in the form of higher [...]
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month [...]
