Bogleheads on Investing Podcast (Wes Gray)
Here is a link to our podcast on "The Bogleheads on Investing Podcast": Dr. Wesley R. "Wes" Gray is my guest in Episode 9, and [...]
Value Investing & Concentration
As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) [...]
Strategies to Reduce Crash Risk in Stocks
Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity [...]
Pathetic Protection via Protective Puts
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]
Enhancing the Performance of Momentum Strategies
In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or [...]
Living with Money Podcast (Wes Gray)
Here is a link to our podcast on "The Living with Money Podcast": In Ep. 73, Tim talks with CEO of Alpha Architect – Wes [...]
Momentum, Quality, and R Code
Welcome to the first installment of Reproducible Finance by way of Alpha Architect. For the uninitiated, this series is a bit different than the other [...]
Market Sell-off Analysis: Baseline Historical Facts
We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone [...]
Compound Your Knowledge Ep. 17: Stock Buyback Myths
We hope everyone had a nice 4th of July weekend! In this week's post, we discuss one paper, titled "Buyback Derangement Syndrome." The paper was [...]
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 [...]