Value Investing and Intangibles
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 [...]
Macro risks and the term structure of interest rates
Macro risks and the term structure of interest rates Bekaert, Engstrom, ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read [...]
March for the Fallen is This Weekend
Team, This Saturday (September 25th, 2021) is a time to represent for Gold Star families and to show our gratitude for their sacrifices. ***As noted [...]
Crowding and Factor Premiums
My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that [...]
Jack Discusses Value Investing on Meb Faber Show
Here is a link to our recent chat on The Meb Faber Show regarding the details on Value Investing: An Examination of the 1,000 Largest [...]
ESG Ratings are Noisy. Buyer Beware.
Aggregate Confusion: The divergence of ESG ratings Florian Berg, Julian F. Koelbel, and Roberto RigobonMIT Working PaperA version of this paper can be found hereWant to [...]
Is Currency Momentum Factor Momentum?
A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor [...]
Can ETF white label platforms “steal” your ETF?
As readers know, our firm's mission is to empower investors through education. We live that mission every day. In this piece, we walk through the [...]
Impact Investing: When Finance Meets Psycology
Impact Investing: Killing Two Birds with One Stone? Caseau and GrolleauFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
Is The Value Premium Smaller Than We Thought?
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 [...]
Global Factor Performance: September 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Do Cryptocurrencies Improve Portfolio Diversification?
The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper [...]
How to Launch an ETF with Meb, Patrick, and Wes
Here is a link to our recent chat on The Meb Faber Show regarding the details on how to launch an ETF: This topic is [...]
Factor Timing Is Tempting
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of [...]
DIY Asset Allocation Weights: September 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
AA Welcomes the Newest Deadlifter to the Team: Jess Bost
BROOMALL, PA -- Alpha Architect, LLC announces that Jess Bost, RICPⓇ has joined the firm as Vice President - Brand Partnerships. In her newly created [...]
Mutual Funds: Negative $125B in Value-Add?
The Persistence of Fee Dispersion among Mutual Funds Cooper, Halling and YangReview of Finance, 2021A version of this paper can be found hereWant to read our [...]
International Tests of Factor Anomalies: Most Don’t Survive
Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive [...]
The Value Premium Might be Smaller Than We Originally Thought
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 [...]
The Impact of Goodwill on Stock Returns
A firm’s stock price should reflect the value of both its tangible and intangible capital. While tangible capital has been widely studied, intangible capital has [...]