An Evidence-Based Low Volatility Investing Discussion
Jack and I had the honor of attending the Evidence-Based Investing conference, hosted by the team at Ritholz Wealth Management. Wow. What a great event and [...]
Long-Short Investing Might Shorten Your Investment Lifespan
Over the past several decades, academics have identified numerous variables that seem to predict future expected returns. This has led to a proliferation of so-called [...]
Calling All Veterans Interested in Finance: How Can we Help?
Today is the 241st birthday of the Marines, which is celebrated by all Marines around the world. Tomorrow is Veteran's Day. A great time of [...]
Earth to Passive Investors: Lunch is Never Free.
Imagine the following scenario: A strategy that outperforms everything. An ability to scale the strategy at no costs. A beating drum highlighting the infallible logic [...]
Value Investing using Enterprise Multiples — Is the Premium Due to Risk and/or Mispricing?
At Alpha Architect, we are big fans of Value investing (and Momentum). In the past, Wes and I examined which valuation measure had the largest spread [...]
The Rebalance Bonus for Value and Momentum Porfolios
A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and [...]
Book Review — Common Stocks and Common Sense
Investing can perhaps be best learned through a combination of applied practice and continuous study. While there is no substitute for real-world experience and the [...]
Reflexivity and the Feedback Effect in Financial Markets
Eugene Fama's Efficient Market Hypothesis argues that because stock prices follow a "random walk," future price behavior cannot be predicted. In his seminal paper, "Random Walks [...]
How to Measure Momentum?
Since we've released our new book, Quantitative Momentum, we've received a handful of basic questions related to momentum--specifically as it relates to stock selection. To [...]
What is the best “Risk-Off” Asset for Trend-Followers?
So you're a trend-follower. Great. But here is a question: What do you invest in when your rules suggest "risk off?" Many investors suggest low [...]
Digging Deeper into Closed End Fund Investment Opportunities
A couple of weeks ago, I received Franklin Templeton Investments' letter to shareholders of Franklin Limited Duration Trust (ticker FTF) imploring us to not let "self-serving" Saba [...]
Value Investing Got Crushed During the Internet Bubble — Here’s Why…
The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were [...]
Want to Learn Way Too Much About Stock Market Factors? Read This Paper.
During the past few decades, newly discovered stock anomalies have been embarrassing existing factor models, such as the Fama-French 3-factor. As many readers know, each [...]
Quantitative Momentum: A Guide to Momentum-Based Stock Selection
The long wait is over. Our newest book--Quantitative Momentum--is finally here. After 2 years of research review, results replication, reverse engineering, internal idea generation, writing, editing, [...]
Introducing the Global Earnings Announcement Premium
How do stock prices react to earnings announcements? Sometimes prices go up, and sometimes they go down. But here is a potentially more interesting question: What is [...]
Predicting Booms and Busts in Low Volatility Strategies
Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant [...]
Why a Stock Market Double Would Not be Weird
This morning we got a sad note from a famous former hedge fund manager (a friend of the firm who shall remain nameless): What if the [stock] [...]
Tactical Asset Allocation: A Practitioner’s Defense of Return Predictability
The prospect of being able to successfully anticipate and predict future market returns is irresistible to practitioners and academics alike, although success has proven elusive. Many [...]
How Dumb Money and Smart Money Drive Stock Market Anomalies
Stock market anomalies behave in mysterious ways. Over long periods of time they can provide expected outperformance versus passive indexes, but in the short run they can [...]
Was the Financial Crisis Really a Valuation Crisis?
Most people look back at the dot-com bubble and acknowledge valuations were elevated far above historical norms. Investors ignored historically useful fundamentals, such as earnings [...]