The Profitability Factor: International Evidence
Robert Novy-Marx’s 2013 paper “The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock [...]
How a Multi-factor Portfolio is Constructed Matters
The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]
Investment Factor Timing: Challenging, but Not Impossible
The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper [...]
How can the Investment CAPM Price Momentum?
"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing [...]
Value and Momentum and Risk
Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk [...]
Momentum Investing, Like Value Investing, is Simple, but NOT Easy
We've covered momentum investing extensively over the years, to include 94 posts, a book on the subject, and numerous discussions on various podcast outlets. There [...]
Video: Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
How Leverage Constraints Effect Mutual Fund Risk Taking
The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies [...]
The Conservative Formula: Quantitative Investing made Easy
The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our [...]
Smart Beta is Officially Dead, but Not Forgotten
What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original [...]
Podcast: Quantitative Value Investing on the Stansberry Investor Hour (Wes)
You can listen to the podcast via the link below: Here is a link to our podcast on the Stansberry Investor Hour. Show Summary It’s [...]
Academic Factor Portfolios are Extremely Painful. Unless you are an Alien.
Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a [...]
Accruals Momentum as an Investment Strategy
Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for [...]
The Best Research Paper Ever Written on Trading Costs
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via [...]
Podcast: Factor Investing with Vanguard Factor Fund PM Liqian Ren (Wes & Jack)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets host Wes Gray talks factor investing as [...]
Factor Investing Insights You Won’t Hear from Fama and French
Factor investing research has a long storied past. Fama and French's 1992 and 1993 papers arguably put factor investing "on the map," but truth be [...]
Which Investment Factors Drive Corporate Bond Returns
Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen A version of this paper can be found here. Want to [...]
Deconstructing the Low Volatility/Low Beta Anomaly
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it [...]
Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?
What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is [...]