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The Future for Factor Investing May Be Different Than its Backtested Past

By |2018-06-07T07:27:05+00:00June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

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

By |2018-03-25T18:06:08+00:00March 27th, 2018|Uncategorized|

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 [...]

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Academic Research Papers and Presentations Galore!

By |2018-01-05T10:19:37+00:00January 5th, 2018|Uncategorized|

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, [...]

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What’s the Scale of Your ETF Portfolio?

By |2017-08-18T16:52:26+00:00June 8th, 2017|Uncategorized|

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 [...]

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Portfolio Rebalancing Research: Momentum and Tolerance Bands

By |2017-08-18T16:59:21+00:00May 31st, 2017|Uncategorized|

If you are looking for research on stock selection, you're in luck -- the research is everywhere and has arguably been overdone. Get started with Moon Cycles & Stock Market Returns and The Congressional Calendar & Stock Market [...]

Current Research on How ETFs Can Affect Financial Markets

By |2017-08-18T17:07:46+00:00April 25th, 2017|Uncategorized|

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 [...]

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A really cool paper (and graphic) on ETFs

By |2017-08-18T17:11:17+00:00December 8th, 2016|Uncategorized, ETF Investing|

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 [...]

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Earth to Passive Investors: Lunch is Never Free.

By |2017-08-18T17:05:54+00:00November 7th, 2016|Uncategorized, Tactical Asset Allocation Research, Active and Passive Investing, Macroeconomics Research|

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 [...]

Active, Irregular Day in the Stock Market–What Else is New?

By |2017-08-18T17:10:51+00:00September 29th, 2016|Uncategorized|

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 [...]

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March for the Fallen. Come Join the Alpha Architect Team!

By |2017-08-18T17:01:05+00:00August 26th, 2016|Business Updates, Uncategorized|

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 [...]

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Asset Pricing with–and without–garbage.

By |2017-08-18T17:09:57+00:00August 12th, 2016|Uncategorized, Macroeconomics Research|

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 [...]

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DIY Asset Allocation Weights: July 2016

By |2017-08-18T17:06:36+00:00July 11th, 2016|Tool Updates, Uncategorized|

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 [...]

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DIY ASSET ALLOCATION WEIGHTS: June 2016

By |2017-08-18T17:06:35+00:00June 2nd, 2016|Tool Updates, Uncategorized|

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: May 2016

By |2017-08-18T17:06:33+00:00May 3rd, 2016|Tool Updates, Uncategorized|

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 [...]