Box Spreads: An Alternative to Treasury Bills?
Box spreads represent an opportunity to borrow and lend via the options market, at similar (and often better) rates than those that are available in the treasury bill market.
Does Emerging Markets Investing Make Sense?
The analysis above suggests that portfolios that include or exclude emerging allocations are roughly the same. For some readers, this may be a surprise, but for many readers, this may not be "news." That said, even if the data don't strictly justify an Emerging allocation, the first principle of "stay diversified" might be enough to make an allocation.
Of course, the assumptions always matter.
How to Start an ETF? Resources and FAQ
We get the following question at least 1x a day: "How do I start an ETF? Because we have so many requests for information on the topic of "How to Start an ETF?", Wes asked that I compile a list of materials on the topic and a "FAQ" to address all of your burning questions.
Value and Momentum Investing: Combine or Separate?
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 screen, to form a single portfolio of stocks? ("Blended", "combined", [...]
How Portfolio Construction Impacts the Reliability of Outcomes
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 more focused on Sharpe optimization and the use of leverage, [...]
A Short Research Library Outlining Why Traditional Stock Picking is Challenging
There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible and crush every other investment approach; but stock picking can [...]
Value Investing: An Examination of the 1,000 Largest Firms
Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relatively cheaper on price/fundamental ratios. Is Value investing dead? The idea behind why value investing works is that Value stocks [...]
Value Factor Diversification: Is Quality Better Than Momentum?
What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.” You may be learning a humbling lesson right now that Mr. Market has taught [...]
ETF-prenuers: An Introduction to ETF White Label Services
Interested in starting an ETF? Interested in converting a managed account, hedge fund, or mutual fund into an ETF? Simply want to learn more about the process of launching an ETF? This piece is an [...]
What’s the Story Behind EBIT/TEV?
A common question we receive at Alpha Architect is the following: "Why do you focus on EBIT/TEV as a value screen for stocks instead of the more traditional measures such as book to price?" In [...]
Is Active Investing Doomed as a Negative Sum Game? A Critical Review.
1. Introduction In an influential piece, Sharpe (1991)[ref]Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9[/ref] put forward the proposition that active investing must be a losing pursuit in aggregate, as [...]
Trend Following: The Epitome of No Pain, No Gain
One of the recurring themes we see in our research is the concept of "no pain; no gain." Or as Corey Hoffstein says, "No pain, no premium." Cliff Asness may put it best when he [...]
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 are a few things one notices after thinking about a [...]
Why you should trust the investment process (even though it’s hard)
In this article, we discuss why trusting an investment process can be very hard, and how you should approach the challenge. Trust the Process - the 76ers fans' rally cry As a native Philadelphian and [...]
Do factor portfolios survive transaction costs?
Factor investing, and the associated intellectual battles, have raged for decades in academic finance journals. However, now that factor investing has gone mainstream via ETFs, the debate has broader interest among the investing public. In [...]
Do Portfolio Factors or Characteristics Drive Expected Returns?
This article examines a somewhat overlooked, but important, discussion that raged among academic researchers on the source of the value investing premium in the late 1990s and early 2000s—the topic: factors vs characteristics.
Reconciling Individual Stock Returns and Factor Portfolio Returns
Those in the financial media have recently been writing multiple stories on a fascinating working paper, "Do Stocks Outperform Treasury Bills?" by Hendrik Bessembinder. We originally highlighted the paper on our blog in January. However, recent [...]
Factor Investing: Evidence Based Insights
I will be talking on the Factor Investing panel at the upcoming Evidence-Based Investing Conference in Dana Point, CA next Sunday –Tuesday. I am excited for the opportunity to chat and figured I would highlight [...]
The Global Value Momentum Trend Philosophy
Our Global Value Momentum Trend Index ("GVMT" or "GVMT Index") is a globally diversified equity strategy that leverages trend-following to manage tail-risks. The strategy can be summarized as follows: Turns out that this [...]
“Alternative” Facts about Formulaic Value Investing
A paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half of my inbox is filled with questions regarding this paper, [...]