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 [...]
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 [...]