Combining Value and Profitability Factors: the International Evidence
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our [...]
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 [...]
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 [...]
The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit [...]
I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and [...]
Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s [...]
In the past, I've seen comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. Let's talk [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Part 1: The End of Accounting This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of [...]
The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since [...]
Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the [...]
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 [...]
We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.[ref]Please note that in the context of long/short factor investing, which is [...]
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 [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
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 [...]
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 [...]
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 [...]
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