Smart(er) Investing – The Easy Way
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic [...]
Free Tool Announcement: Visualizing Unemployment Claims
Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us [...]
Tactically Adjusting Everything in a Financial Crisis? Bad Idea.
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here [...]
Foreign Dividend Withholding Tax Refunds: A Practical Walkthrough
The world of withholding tax recovery on foreign dividends and interest is woven with intricacies, challenges, and a general lack of transparency. This is mainly [...]
Prospect Theory Helps Explain Return Anomalies
The field of behavioral finance provides us with fascinating insights into individual investor behavior, including how individuals view risk, as well as the impact of [...]
Compound Your Knowledge Ep 29: What’s the Story Behind EBIT/TEV?
This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value [...]
Trend Following the S&P 500? Some Practical Advice
BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, [...]
Discussion: Managing the Costs of Passively Investing in Active Strategies
We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and [...]
Academic Finance Research Galore. WFA Sessions Announced
Attention all finance geeks. The latest and greatest from academic researchers is available for all to review. The WFA recently released their sessions. WFA is [...]
Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles
Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements [...]
Skulls, Financial Turbulence and Risk Management
Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Absolute Value Versus Relative Value: A Quick Note on the Value Debate
We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation [...]
The Size Effect in Multifactor Portfolios
The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market [...]
Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?
Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging [...]
Why Passively Investing in Active Methods May Not Work.
Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
DIY Asset Allocation Weights: May 2020
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 [...]
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 [...]
Ways to Measure Extreme Downside Risk
Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be [...]
Trend Following is Everywhere
Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend [...]
How to Compute Active Share
In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start [...]