Is Active Alpha Enough to Cover Taxes?
Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to [...]
Alpha Architect Weekly Recap: Editorials on Machine Learning
You can watch the video via this link: https://www.youtube.com/embed/tVwwZ1-bThI This week Ryan and I discuss two editorials on machine learning and its impact and [...]
Machine Learning Classification Methods and Factor Investing
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
Data Science is Revolutionizing Investment Practice
Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this [...]
A Protocol to Prevent “Quants Gone Wild”
A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to [...]
Alpha Architect Weekly Recap: Value Performance & ETFs’ impact on correlations & liquidity
You can watch the video via the link below: https://www.youtube.com/embed/QaFK9GuUB5o This week Ryan and I discuss two posts. First, we examine a guest [...]
After a Lost Decade, Will Value Get its Groove back in 2019?
Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of [...]
Alpha Architect Weekly Recap: Trend-Following, Portfolios, and Risk Factors
You can watch the video via the link below: This week Ryan and I discuss three posts. First, we examine a guest post titled, [...]
Trend Following on Steroids
Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and [...]
How to Use Trend Following within a Portfolio
A question we have been receiving recently is the following: How should I use trend following within a portfolio? Generally, the questions are related to [...]
Measuring Factor Exposures: Uses and Abuses
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 [...]
Alpha Architect Weekly Recap: FAs and the Global Market Portfolio
You can watch the video via the link below: This week Ryan and I discuss two topics. First, we examine a paper titled, "The Misguided [...]
Is Financial Advice Conflicted…Or is it Simply Misguided?
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 [...]
A Proxy for the Unobservable Global Market Portfolio
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 [...]
Short volatility strategies are extensive and widespread
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 [...]
Alpha Architect Weekly Recap: Factors, Opportunity Zones, and HFs
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 [...]
Factor Investing Fact Check: Are Value and Momentum Dead?
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 [...]
Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments
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 [...]
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing
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 [...]