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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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
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 [...]
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 [...]
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 [...]
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 [...]
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