The Variance Risk Premium is Pervasive
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same [...]
There and Back Again: My 180 Back to Simplicity
I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance [...]
Betting Against Beta (BAB) Construction
One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in [...]
Can Low Vol Strategies Be Improved
My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, [...]
Purchasing Managers’ Index (PMI) and Factor Performance
A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, [...]
Bogleheads on Investing Podcast (Wes Gray)
Here is a link to our podcast on "The Bogleheads on Investing Podcast": Dr. Wesley R. "Wes" Gray is my guest in Episode 9, and [...]
Value Investing & Concentration
As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) [...]
Pathetic Protection via Protective Puts
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]
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 [...]