Fact, Fiction, and the Size Effect
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to [...]
Money Savage Podcast (Wes Gray)
Here is a link to our podcast on "The Money Savage Podcast": On this show, we talked about the important role education plays in cutting [...]
DIY Asset Allocation Weights: July 2019
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 [...]
Debunking myths about stock buybacks
Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]
Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt
In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written [...]
Is Active Management Skilled? If So, Who Benefits?
According to Christian mythology, the Holy Grail was the dish, plate or cup with miraculous powers that were used by Jesus at the Last Supper. [...]
Trend Following: The Epitome of No Pain, No Gain
One of the recurring themes we see in our research is the concept of "no pain; no gain." Or as Corey Hoffstein says, "No pain, [...]
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
Curious Investor Podcast (Wes Gray)
Here is a link to our podcast on "The Curious Investor Podcast": AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray [...]
The Curse of Popularity
We can define popularity as the condition of being admired, sought after, well-known, and/or accepted. One would think popularity is a good thing. However, when [...]
Factor Investing Research On Steroids
Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of [...]
Meb Faber Podcast: Trust The Process (Jack Vogel)
Here is a link to our podcast on "The Meb Faber Podcast": This year, we’re bringing you the entire volume of The Best Investment Writing [...]
Fama French Factors and ESG: The Good Minus Bad Factor
Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer, and Margaret StumppJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
Does Leverage Explain the Investment Premium?
Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, [...]
Value Factor Valuations Over Time: US and Developed
We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool [...]
The Cross-Section of Emerging Market Stock Returns
Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Compound Your Knowledge Ep. 15: Factor Momentum, Value, & Equity Comp
In this week's post, I discuss three papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the [...]
Passive Sustainable Funds
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our [...]
Equity Compensation Planning in a TCJA World
Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a [...]
The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]