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Even God Would Get Fired as an Active Investor

By | 2017-08-18T17:05:24+00:00 February 2nd, 2016|Research Insights, Key Research, Tactical Asset Allocation Research|

Empirical asset pricing research can sometimes get monotonous because you end up circling back relentlessly to the same conclusions: value, momentum, trend-following are all interesting, and yet, markets are remarkably competitive (perhaps not efficient). But, sometimes, research [...]

An Introduction to Investing and How to Use Our Site

By | 2017-08-29T06:49:53+00:00 January 3rd, 2015|Research Insights, Key Research, Investor Education, Introduction Course, Business Updates|

What We Do? We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures.[ref]More broadly, we seek to deliver Affordable Alpha.[/ref] Here is a complete list of our systematic investment strategies. [...]

Why We Built An Active Robo-Advisor and Why You Should Too.

By | 2017-08-18T16:52:05+00:00 March 3rd, 2016|Key Research, Robo Advisor, Business Updates|

Assuming you haven't been living under a rock, you've almost certainly heard something about robo-advisors. Millenials seem to love them while "old school" advisors are dismissive at best or terrified at worst. Some even believe they [...]

Creating an Alternative Investment Strategy with Value and Momentum

By | 2017-08-18T17:07:49+00:00 July 7th, 2016|Key Research, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction (<50 stock) value and momentum portfolios, deployed as a system, seems like [...]

1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies

By | 2017-08-18T17:11:32+00:00 December 28th, 2016|Key Research, 1042 QRP Solutions|

Executive Summary PDF of this document Employee Stock Ownership Plans (“ESOP”) offer a variety of liquidity, tax and operating benefits to business owners who are contemplating a sale or partial sale of their business. This [...]

How to Build Expected Return Forecasting Models

By | 2017-08-18T17:03:28+00:00 July 14th, 2014|Research Insights, Key Research, Tactical Asset Allocation Research, Macroeconomics Research|

Investors are enamored with various investment houses and personalities who claim insight into the prospects for long-term expected market returns. Some classic examples include Nouriel Roubini, John Hussman, David Rosenberg, or Jeremy Grantham. All really smart people. But have you ever asked "How" these folks came to their conclusions? In most cases, the answer is probably "No" and the reason is because there is a lack of transparency from the author(s) and/or a lack of knowledge/understanding on behalf of the reader. We also want to highlight that one can develop incredibly complex return forecasting models -- super sexy, super interesting, super compelling, etc. -- but that still doesn't mean they are any good at forecasting much of anything.

A Simulation Study on Simple Moving Average Rules

By | 2017-08-18T17:11:16+00:00 July 28th, 2014|Key Research, Tactical Asset Allocation Research|

The mention of technical analysis in the halls of academia can cause serious angst. The disdain for technical analysis likely stems from a firm belief that markets can't possibly be weak-form inefficient. The other reason researchers [...]

Can Market Valuations Be Effective Market-Timing Signals?

By | 2017-08-18T17:08:24+00:00 June 12th, 2014|Research Insights, Key Research, Value Investing Research, Tactical Asset Allocation Research|

We know that valuation metrics such as the CAPE, or Shiller P/E, ratio are correlated with long-term returns (notice we didn't say "predict" long-term returns--that is debatable). Here is a brief background on the measure: http://www.alphaarchitect.com/blog/2011/10/06/the-shiller-pe-ratio/ [...]

Does the size effect exist? Probably.

By | 2017-08-18T17:06:07+00:00 July 2nd, 2014|Research Insights, Key Research, Value Investing Research|

The traditional small-minus-big value-adjusted long/short factor (SMB) developed by Gene Fama and Ken French has arguably added NO value over time. Performance over the past 30 years has been flat and highly volatile (1983-2013). The results [...]

How to Use Active Funds in a Diversified Portfolio

By | 2017-08-18T17:03:16+00:00 September 30th, 2015|Key Research, Investor Education, Introduction Course, Tactical Asset Allocation Research|

Active management has been out of favor for a while--high fees, high tax burdens, and poor long-term performance. But with the slow rise of actively managed ETFs, which have lower costs and more tax efficiency [...]

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Low-Volatility Investing: Avoid High Beta Stocks. Period.

By | 2017-08-18T17:01:16+00:00 October 9th, 2014|Key Research, Low Volatility Investing|

We've posted simulation and research-based studies on value and momentum. The evidence was pretty clear: never buy expensive stocks (Value) and ride winners and cut losers (Momentum). Another common "anomaly" is the low volatility anomaly. [...]

Tactical Asset Allocation During Cheap Markets

By | 2017-08-18T16:56:25+00:00 August 22nd, 2014|Key Research, Tactical Asset Allocation Research|

In our last post, we looked at tactical allocation using valuation metrics and trend-following measures. Our conclusion from the analysis is that discerning robust trading signals based on  market valuations is difficult at best. This [...]

The Fascinating Relationship Between Low Volatility and Value

By | 2017-08-18T16:55:37+00:00 October 14th, 2014|Key Research, Low Volatility Investing|

A week ago, we posted an article that presented simulation performances of low-volatility strategies. The results illustrated that low-volatility portfolios do have higher returns and lower risks than high-volatility portfolios. The point of this research piece is to [...]

Not so Simple: Valuations and Low Volatility Strategies

By | 2017-08-18T16:59:46+00:00 May 17th, 2016|Key Research, $SPLV, Low Volatility Investing|

Low volatility funds are everywhere. The reasons for their proliferation are clear: Who wouldn't want to own something with the label "low volatility" and Recent performance has been great. Open the AUM floodgates! But perhaps [...]

Is the Low Volatility Anomaly driven by Lottery Demand?

By | 2017-08-18T17:01:38+00:00 November 30th, 2016|Research Insights, Key Research, Low Volatility Investing|

A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still a working paper, and has been updated (unfortunately they took [...]

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Tactical Asset Allocation: Beware of Geeks Bearing Formulas

By | 2017-08-18T16:56:15+00:00 May 19th, 2015|Research Insights, Key Research, Tactical Asset Allocation Research, $GMOM|

How Should I Tactically Allocate my Assets? A lot of investors ask this question as their wealth grows and the number of financial products grows exponentially. In order to generate a response, investors pay money to [...]

Factor Investing is More Art, and Less Science

By | 2017-08-18T17:05:14+00:00 February 3rd, 2017|Factor Investing, Research Insights, Key Research, Value Investing Research, Momentum Investing Research, Size Investing Research|

Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. I can relate. Having studied finance for a long time (PhD, professor, books, [...]

“Alternative” Facts about Formulaic Value Investing

By | 2017-08-18T17:12:00+00:00 April 22nd, 2017|Research Insights, Key Research, Behavioral Finance, Value Investing Research, $vlue, $brk-a|

A new 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 [...]

The Value Momentum Trend Philosophy

By | 2017-08-18T16:55:07+00:00 June 6th, 2017|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

If you've been reading our blog for a number of years you're 1) probably a finance geek, and you're 2) probably tired of us discussing the following themes: Value investing: buy cheap stocks (see our [...]