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 [...]
Buying Stocks Trading Above 10x Sales–A Good Idea?
Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea [...]
Compound Your Knowledge Ep. 11: ETFs, Manager Wealth, TLH, Value
In this week's episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs [...]
Deep Dive into the Value Factor
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to [...]
All About ETFs with The 15 Minute Financial Advisor (Ryan & Mike)
Here is a link to our podcast on "The 15 Minute Financial Advisor" Show: Ryan Kirlin knows ETFs. He used to work at the New [...]
Compound Your Knowledge Episode 10: Factor Investing & Hedge Fund Performance
In this week's video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by [...]
Compound Your Knowledge Episode 9: Investor Confidence & Issues with Factor Investing
In this week's post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. [...]
The Factors that Plague Factor Investing
For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, “Alice’s Adventures in [...]