Enhancing the Performance of Momentum Strategies
In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or [...]
Living with Money Podcast (Wes Gray)
Here is a link to our podcast on "The Living with Money Podcast": In Ep. 73, Tim talks with CEO of Alpha Architect – Wes [...]
Momentum, Quality, and R Code
Welcome to the first installment of Reproducible Finance by way of Alpha Architect. For the uninitiated, this series is a bit different than the other [...]
Fact, Fiction, and the Size Effect
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to [...]
Money Savage Podcast (Wes Gray)
Here is a link to our podcast on "The Money Savage Podcast": On this show, we talked about the important role education plays in cutting [...]
Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt
In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written [...]
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
Curious Investor Podcast (Wes Gray)
Here is a link to our podcast on "The Curious Investor Podcast": AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray [...]
Factor Investing Research On Steroids
Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of [...]
Meb Faber Podcast: Trust The Process (Jack Vogel)
Here is a link to our podcast on "The Meb Faber Podcast": This year, we’re bringing you the entire volume of The Best Investment Writing [...]
Does Leverage Explain the Investment Premium?
Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, [...]
Value Factor Valuations Over Time: US and Developed
We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool [...]
The Cross-Section of Emerging Market Stock Returns
Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Compound Your Knowledge Ep. 15: Factor Momentum, Value, & Equity Comp
In this week's post, I discuss three papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the [...]
The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]
Is factor momentum really everywhere?
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
Compound Your Knowledge Ep. 14: Sentiment and Bonds, Volatility, & ESG
In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The [...]
Volatility Targeting Improves Risk-Adjusted Returns
There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates [...]
Volatility Anomalies: IVOL and Vol-of-Vol
Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high [...]
Compound Your Knowledge Ep. 12: Tax-Managed Strategies & Stocks Above 10x Sales
In this week's episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines [...]