Research Insights

//Research Insights

Measuring Factor Exposures: Uses and Abuses

By |2018-12-03T11:15:12+00:00December 3rd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Is Financial Advice Conflicted…Or is it Simply Misguided?

By |2018-11-29T13:21:57+00:00November 29th, 2018|Research Insights, Guest Posts, Corporate Governance|

The Misguided Beliefs of Financial Advisers Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero Kelley School of Business Research Paper No. 18-9 A version of this paper can be found here Want to read our summaries [...]

A Proxy for the Unobservable Global Market Portfolio

By |2018-11-26T11:45:20+00:00November 26th, 2018|Basilico and Johnsen, Academic Research Insight|

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio Gregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 A version of this paper can be found here Want to [...]

Short volatility strategies are extensive and widespread

By |2018-11-19T11:32:50+00:00November 19th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Alpha Architect Weekly Recap: Factors, Opportunity Zones, and HFs

By |2018-11-17T08:21:36+00:00November 17th, 2018|Research Insights|

You can watch the video via the link below: This week Ryan and I discuss three topics. First, we examine the returns to U.S. stock broken down by (1) size and (2) factors (mega-cap stocks were [...]

Factor Investing Fact Check: Are Value and Momentum Dead?

By |2018-11-15T16:13:03+00:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset classes. It doesn't matter whether you look at the other [...]

Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments

By |2018-11-13T12:17:12+00:00November 13th, 2018|Research Insights, Guest Posts, Tax Efficient Investing|

If you have a large "low-basis stock problem," or an "embedded capital gain problem," the Opportunity Zone (OZ) program could possibly be the single largest tax break you’ll ever see. With the right investment, the [...]

Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing

By |2018-11-12T12:14:37+00:00November 12th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance [...]

Fund Capacity Analysis: How Much Capital Will a Strategy Handle?

By |2018-12-19T08:14:44+00:00November 5th, 2018|Basilico and Johnsen, Academic Research Insight|

Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Asset Diversification in a Flat World

By |2018-11-01T08:09:48+00:00November 1st, 2018|Research Insights, Tactical Asset Allocation Research|

Diversification is a fundamental principle of prudent investing due to its ability to mitigate/minimize risks. In fact, it has been called the only free lunch in investing because, done properly, it can reduce risk without [...]

Cybersecurity for Financial Advisors (Pat and Brandon)

By |2018-11-01T08:19:23+00:00November 1st, 2018|Factor Investing, Podcasts and Video|

Here is a link to our podcast on Behind the Markets: In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha Architect brings on cybersecurity experts to discuss breaches and the [...]

Do Bank Affiliated Funds Underperform Unaffiliated Funds?

By |2018-10-30T11:36:13+00:00October 29th, 2018|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of [...]

Alpha Architect Weekly Recap: Tracking Error and the “Mix Versus Integrate” Debate

By |2018-10-26T19:01:17+00:00October 26th, 2018|Research Insights, Media, Weekly Research Recap Videos|

You can watch the video via the link below: This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by [...]

How large is the tracking error created by trend following?

By |2018-10-25T13:09:54+00:00October 25th, 2018|Research Insights, Trend Following|

A question I've received in the past is the following: If you could go back in time five years ago and tell yourself something about investing, what would it be? My response is the following: [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

Alpha Architect Weekly Recap: ETF Tax Efficiency, Profitability Factor, Trend Following

By |2018-10-19T11:45:44+00:00October 19th, 2018|Research Insights, Media, Weekly Research Recap Videos|

You can watch the video via the link below: This week Ryan and I have a discussion on three topics. First, we discuss ETF tax efficiency based on the findings in a new paper by [...]

The Profitability Factor: International Evidence

By |2018-10-18T13:46:08+00:00October 18th, 2018|Quality Investing, Research Insights, Factor Investing|

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 returns, but also helped further explain some of Warren Buffett’s [...]

What is the correct benchmark for trend following?

By |2018-10-22T09:30:53+00:00October 16th, 2018|Research Insights, Trend Following|

"What is the correct benchmark for trend following?" This is a difficult question, and there really is no perfect answer. As many of our readers know, we are fans of trend following and trend-followed portfolios. For [...]

Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.

By |2018-10-15T10:51:14+00:00October 15th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Yes No
This website uses cookies and third party services. Settings Ok

Cookies

We use “cookies” on this site. A cookie is a piece of data stored on a site visitor’s hard drive to help us improve your access to our site and identify repeat visitors to our site. For instance, when we use a cookie to identify you, you would not have to log in a password more than once, thereby saving time while on our site. Cookies can also enable us to track and target the interests of our users to enhance the experience on our site. Usage of a cookie is in no way linked to any personally identifiable information on our site. Some of our business partners may use cookies on our site (for example, advertisers). However, we have no access to or control over these cookies.

Embedded Content

Articles on this Site may include embedded content (e.g. videos, images, articles, etc.). Embedded content from other websites behaves in the exact same way as if the visitor has visited the other website.These websites may collect data about you, use cookies, embed additional third-party tracking, and monitor your interaction with that embedded content, including tracking your interaction with the embedded content if you have an account and are logged in to that website.