Time Series Momentum, Volatility Scaling, and Crisis Alpha
If you couldn't tell from our recent monster commodity futures post, we've been thinking a lot about futures recently. The futures research area is relatively "fresh," and [...]
Commodity Futures Investing: Complex and Unique
Commodity futures investing is arguably the most misunderstood asset class in the financial marketplace. We want to change that state of affairs. Commodity futures strategies are [...]
An Interview with a Leading Academic Expert on ETFs
We spend a lot of our time thinking and learning about ETFs, since they are a critical new investor weapon in the war for after-tax [...]
Interest Rates and Value Investing
There is still no value in bonds today. The typical knee-jerk reaction to bold bond statements (such as the one above) is as follows: This guy is [...]
A really cool paper (and graphic) on ETFs
Zahi Ben-David has an excellent new summary paper on the state of academic research on exchange traded funds with colleagues Rabih Moussawi and Francesco Fanzoni.[ref]We focused on Zahi [...]
Is the Low Volatility Anomaly driven by Lottery Demand?
A few years ago I wrote a summary on a working paper titled "A Lottery Demand-Based Explanation of the Beta Anomaly." The paper is still [...]
Active Fee Over Time: Retail and Institutional Trends Over Time
We've been focused on understanding how to communicate the concept of active fee to the broader investment community. Active fee is an important concept because it [...]
Great Minds Agree to Disagree on the Source of the Value Investing Premium
Active investing sounds so easy. But we all know it is extremely difficult. Ask any deep value investor how they have felt over the past [...]
In Calm Markets Should We Buy “Cheap” Put Protection?
Time for a little myth busting. Recently, the Motley Fool posted an article that argued the following: when market volatility is low, protective put options are cheap. From the [...]
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 [...]