Book Blowout for Christmas
Our three quant finance books are up on Amazon at cost ($19.99, 2-day shipping included). If you know someone looking to improve their knowledge of financial markets, time to make move an deliver a fun [...]
The Future for Factor Investing May Be Different Than its Backtested Past
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense and easily observable - like fire creates smoke - while [...]
Risk-Based Explanations for the Momentum Premium
Most of the literature on the momentum factor has focused on behavioral explanations, generally either investor underreaction or overreaction. For example, in his paper “Explanations for the Momentum Premium,” Yale University professor Tobias Moskowitz points [...]
Quant Job Available in Chicago
From a friend in the business -- Andrew Carter. I’m hiring for a junior position right now, based in Chicago. It’s a highly quant based role, and while I’ve put down experience required, I would [...]
Academic Research Papers and Presentations Galore!
It is that time of year again, the American Finance Association Annual Meeting is underway. The conference is in Philadelphia, starting today (January 5) and running through Sunday (January 7). This 3-day conference has 73 sessions, [...]
What’s the Scale of Your ETF Portfolio?
In most industries, whether it be cars, jewelry, food or beverages, some products are built for scale and mass distribution, while others are niche and serve a distinct customer segment. However, some products simply aren't [...]
How ETFs Might Affect Financial Markets
We've heard a lot of questions recently from clients and readers regarding how ETFs might affect financial markets. The short answer is "nobody knows." The long answer is researchers are trying to figure it all [...]
See you at the ETF Conference!
Myself, Jack Vogel, and Yang Xu are at the ETF conference the next few days. See below for mugshots. Give us a shout if you are around!
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 for this interview, but Rabih and Francesco have some wonderful [...]
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 of the strategy. And the best part is this strategy [...]
Evidence-Based Nutrition
Evidence matters. Consider the history of evidence about the universe. In the days of Ptolemy in 100 AD, a "geocentric" model described the universe, in which the sun, moon and stars all revolved around the [...]
Active, Irregular Day in the Stock Market–What Else is New?
A news article from September 29, 2016 -- 100 years ago, today. The lead article of the Evening Star highlights that there was an "active, irregular day in the stock market." The article is followed by commentary [...]
March for the Fallen. Come Join the Alpha Architect Team!
Looking for a great challenge on a Saturday morning on September 24th? Come join some members of the Alpha Architect team and our tribe of friends/clients when we take part in the “March for the Fallen” on Saturday, September [...]
Asset Pricing with–and without–garbage.
If you are into consumption-based asset pricing theory and the associated empirical attempts to reconcile the theory with the data from the realized equity premium, garbage is a fascinating subject. So let's talk about asset pricing both with--and [...]
DIY Asset Allocation Weights: July 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities. Full exposure to [...]
DIY ASSET ALLOCATION WEIGHTS: June 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities. Full exposure to [...]
An Epic Historical Performance Streak: Domestic 60/40
US-centric 60/40 portfolios have knocked it out of the park since 2010. Nearly a 10 percent compound annual growth rate, less than a 7 percent worst drawdown, and a Sharpe ratio of 1.33 (see below). This [...]
DIY Asset Allocation Weights: May 2016
Do-It-Yourself tactical asset allocation weights are posted. Create a free account here if you want to access the site directly. Sign in here if you already have a free account. Exposure Highlights: Full exposure to domestic equities. Full exposure to [...]
What happens when the intern makes your slide deck
and by "intern" I mean Chief Investment Officer.
Quantcon 2016 in NYC — Stop by and say hello!
If you're attending Quantcon this year be sure to say hello.