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 and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this [...]
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 [...]
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?" This is a difficult question, and there really is no perfect answer. As many of our readers [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 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 Sebastien Page and Robert PanarielloFinancial Analyst Journal, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance [...]
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