Momentum Factor Investing: What’s the Right Risk-Adjustment?
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 [...]
The Forecasting Power of Value, Profitability, and Investment Spreads
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 [...]
RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations
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 [...]
The R&D Premium: Is it Risk or Mispricing?
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 [...]
Meb Faber Podcast: Doug Discusses 1042 QRP and ESOP Transactions
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 [...]
ESG Factors and Traditional Factors
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 [...]
Global Factor Performance: February 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
Will the Real Value Factor Funds Please Stand Up?
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo Manoel Working paper A version of this paper can [...]
Excess Returns Podcast: Jack discussing Momentum and Trend
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 [...]
Do Security Analysts Follow the Academic Evidence?
As my co-author Andrew Berkin and I explain in our new book “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return [...]
Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?
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 [...]
The Quality Factor—What Exactly Is It?
The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been [...]
A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than [...]
Is the Market Getting more Efficient?
Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]
Trend-Following Filters – Part 2/2
1. Introduction Part 1 of this analysis, which is available here, examines filters modeled on second-order processes from a digital signal processing (DSP) perspective to [...]
Global Factor Performance: January 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
The Definitive Study on Long-Term Factor Investing Returns
Global Factor Premiums Baltussen, Swinkels, VlietJournal of Financial Economics, forthcomingA version of this paper can be found hereHere are the slides tied to the paper.Want to [...]
Value and Momentum and Investment Anomalies
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 [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
“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 Size a Useful Investing Factor or Not?
In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns [...]