Relative Sentiment and Market Returns
Market Returns and A Tale of Two Types of Attentions Da, Hua, Hung, and PengA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Leading EMH Economist John Cochrane Advocates for Advisor Fees
Sorry for the clickbait, but Hoover Institute fellow and “Grumpy Economist" John Cochrane's answers to the seemingly benign question, "How should long-term investors form portfolios," is too important to both advisors and academics to overlook. [...]
How to NOT Sound like a Washing Machine Salesman on LinkedIn
I’m constantly hearing from financial advisors who are getting nowhere on LinkedIn, despite having invested considerable time and money. In this post, I'll provide some guidance on how to avoid sounding like the typical (boring) [...]
Selling a Business? Here are 8 Ways to Minimize Your Taxes:
When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment [...]
This Time is Different? Consider Quantifying Subjective Priors
This time is different. --John Templeton "This time is different," is a sentiment that leads many investors to stray from using data analysis in their investment decision process and more towards discretionary judgment. The logic [...]
Are Ben Graham’s Disciples Value and Quality Factor Investors?
I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and Stan Perlmeter. The research question I seek to address is [...]
Bond Ladders and Income Annuities: Simple is Beautiful
I spent some time on Google, but could not ascertain the origins of the term fixed income. Presumably, it was created to describe investments where cash flows are dictated via a contractual obligation. A simple [...]
Fixed income when you’re between a rock and a hard place — Part 2/2
Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s problem. Below, we extend the discussion by walking through a [...]
Text-Based Factor Investing
Part 1: The End of Accounting This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital. The Factor Zoo As readers of Alpha Architect’s [...]
Market Timing Using Aggregate Equity Allocation Signals
When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without [...]
It Starts with Freedom
A few years ago, before launching our freedom-weighted emerging markets index, I was in a coffee shop where I overheard a group of students talking at the next table. They were anxious about an upcoming [...]
Trend-Following Filters – Part 3
Introduction This is the third article in a series of three, the first two are available here and here. Those articles focus on examining from a digital signal processing (DSP) perspectiveFor background information on DSP, [...]
Fixed Income when you’re Between a Rock and a Hard Place – Part 1/2
Figure 1: Investors are between a rock and a hard place.Source: Getty Images. Invesco. Investors are stuck between a rock and a hard place. On one hand, it is painful to buy bonds that deliver [...]
A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than their “current-asset value”, “a rough index of the liquidating value”. [...]
Trend-Following Filters: Part 1/2
1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order to “buy low” and “sell high”. A trend is considered [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]
Buying Quality: Is the Juice Worth the Squeeze?
Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]
Building Factor Portfolios Based with the Lowest Correlations
INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]