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 [...]
The Trillion Dollar Question: Why so few women in finance?
Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want [...]
Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
Illustrating the Value of Retirement Accounts
What do most people consider to be the biggest benefit of retirement accounts? Many investors and advisors will say, "tax deferral." But a recent article (pdf [...]
Momentum Investing, Like Value Investing, is Simple, but NOT Easy
We've covered momentum investing extensively over the years, to include 94 posts, a book on the subject, and numerous discussions on various podcast outlets. There [...]
Leveraged ETFs and Volatility Jumps
Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here [...]
Video: Alpha Architect Weekly Research Recap (Jack & Ryan)
You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we [...]
How Leverage Constraints Effect Mutual Fund Risk Taking
The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies [...]
The Conservative Formula: Quantitative Investing made Easy
The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our [...]
What’s in Your Benchmark?
What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of [...]
Smart Beta is Officially Dead, but Not Forgotten
What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original [...]
Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence
Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can [...]
Buybacks: Why They Don’t Matter, Why They Do, and Why You Should Care Yet Still Relax.
U.S. Companies bought back $217 Billion of their $1.3bn in overseas cash in the first quarter helping fuel a record $189 billion in stock buybacks. [...]