Factor Investing in Sovereign Bond Markets: 221 years of evidence!
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 [...]
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 [...]
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]
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 [...]
Our chat with Wes Gray illuminates the subtle nuance and discipline of concentrated factor investing, the difference between behavioural and risk-based factor premiums, and the [...]
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 [...]
Wes Gray, CEO of Alpha Architect, talks about the value rotation, momentum stocks, the ETF white-labeling business, and more with Nate Geraci. External link to the [...]
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 [...]
Momentum? What Momentum? Erik Theissen and Can YilanciA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on [...]
Doug Pugliese, the head of our 1042 QRP business, was recently invited on the Meb Faber Podcast to discuss the ESOP landscape and the costs [...]
I was recently invited on the Excess Returns podcast with Justin Carbonneau and Jack Forehand. We discussed Momentum and Trend-following. Commentary/Links: In the [...]
Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be [...]
The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a [...]
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation [...]
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]
The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs [...]
In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse [...]
Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same [...]
The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk [...]
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the [...]
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