Smart Money Indicator Rebuttal
In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the [...]
Global Low Volatility and Momentum Factor Investing Portfolios
Betting on Boring Winners
Compound Your Knowledge Ep 22: 2019 Factor Performance
In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. [...]
Macroeconomic Risks in Equity Factor Investing: Part 2/2
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Massive Performance Divergence Between Large Growth and Small Value Stocks
From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by [...]
Factor Investing Update: An Analysis of 2019 International Factor Returns
Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So [...]
Factor Investing Update: An Analysis of 2019 U.S. Factor Returns
In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ [...]
Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary [...]
How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to [...]
Visualization Sector Trends with R Code
Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]
Timing Low Volatility with Factor Valuations
INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data [...]
How ESG Affects Valuation, Risk, and Performance
Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio [...]
The Idiosyncratic Volatility Puzzle: Then and Now
One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This [...]
Is Passive Investing Better than Active Investing?A Critical Review.
The broad thrust of this paper is that Sharpe’s proposition is not water-tight upon closer examination, and certainly should not be received as gospel.
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper [...]
International Evidence on Factor Premiums
Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, “Another Look on Choosing Factors: The International Evidence.” Using bootstrap [...]
The market impact of rebalancing factor investing strategies
Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read [...]
An Analysis of “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”
Authors: Ying Xiao and Glen C. Arnold A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]