Fund Capacity Analysis: How Much Capital Will a Strategy Handle?
Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want [...]
Asset Diversification in a Flat World
Diversification is a fundamental principle of prudent investing due to its ability to mitigate/minimize risks. In fact, it has been called the only free lunch [...]
Cybersecurity for Financial Advisors (Pat and Brandon)
Here is a link to our podcast on Behind the Markets: In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha [...]
Do Bank Affiliated Funds Underperform Unaffiliated Funds?
Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this [...]
Alpha Architect Weekly Recap: Tracking Error and the “Mix Versus Integrate” Debate
You can watch the video via the link below: This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated [...]
How large is the tracking error created by trend following?
A question I've received in the past is the following: If you could go back in time five years ago and tell yourself something about [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this [...]
Alpha Architect Weekly Recap: ETF Tax Efficiency, Profitability Factor, Trend Following
You can watch the video via the link below: This week Ryan and I have a discussion on three topics. First, we discuss ETF tax [...]
The Profitability Factor: International Evidence
Robert Novy-Marx’s 2013 paper “The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock [...]
What is the correct benchmark for trend following?
"What is the correct benchmark for trend following?" This is a difficult question, and there really is no perfect answer. As many of our readers [...]
Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.
This blog discusses the academic research about after-tax alpha by exploring how taxable asset management has evolved over time, and the predictors of tax-efficient asset [...]
How a Multi-factor Portfolio is Constructed Matters
The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]
Investment Factor Timing: Challenging, but Not Impossible
The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper [...]
Video: Alpha Architect Weekly Research Recap
You can watch the video via the link below: Video Summary Last week's video (slightly delayed) involves interviews of three guests of Alpha Architect. The [...]
Summing up the Potential Benefits and Pitfalls of Diversification in 3 Slides
Not long ago I used to teach investment management courses to Master's students (MBAs and MS Finance types). A core aspect of my course was [...]
How can the Investment CAPM Price Momentum?
"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing [...]
When Diversification Fails
When Diversification Fails Sebastien Page and Robert PanarielloFinancial Analyst Journal, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance [...]
SEC Cybersecurity Requirements for Registered Investment Advisors (RIAs)
Warning: This cybersecurity post is a monster and meant to be a reference for financial advisors looking to build out a robust cybersecurity advisor solution. [...]
Value and Momentum and Risk
Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk [...]