Compound Your Knowledge Ep 22: 2019 Factor Performance
In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. [...]
Macroeconomic Risks in Equity Factor Investing: Part 2/2
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Massive Performance Divergence Between Large Growth and Small Value Stocks
From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by [...]
Factor Investing Update: An Analysis of 2019 International Factor Returns
Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So [...]
Brokers, Retail Investors, and Conflict of Interests
Mark EganJournal of Finance, Winter 2019A version of this paper can be found here[ref]An old version of the paper that is easily accessible is HERE[/ref]Want to [...]
“Price”, ETFs, and Bond Market Liquidity
Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public [...]
Factor Investing Update: An Analysis of 2019 U.S. Factor Returns
In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ [...]
Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Case Against REIT’s
Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional [...]
Book Review: Smart(er) Investing by Elisabetta and Tommi
It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta [...]
DIY Asset Allocation Weights: February 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 [...]
Conflict of Interest and Mutual Fund Sales
Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary [...]
The predictability of crowding on factor strategy performance
The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to [...]
Visualization Sector Trends with R Code
Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]
Timing Low Volatility with Factor Valuations
INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data [...]
Top 5 Most Interesting Papers from the Annual Finance Geek Fest
The American Finance Association Annual Meetings have now come and gone (here is information on the broader conference). The conference was in sunny San Diego this [...]
How ESG Affects Valuation, Risk, and Performance
Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio [...]