Factor Investing Deep Dive with Jack Vogel
Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions
Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our [...]
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many [...]
Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic [...]
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on [...]
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our [...]
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our [...]
When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one [...]
The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit [...]
I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and [...]
In the past, I've seen comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. Let's talk [...]
The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since [...]
We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.[ref]Please note that in the context of long/short factor investing, which is [...]
The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering strongly—the Fed’s latest forecast for 2021 [...]
COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific [...]
Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to [...]
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo Manoel Working paper A version of this paper can [...]
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