Is The Value Premium Smaller Than We Thought?
From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many [...]
Global Factor Performance: September 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Do Cryptocurrencies Improve Portfolio Diversification?
The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper [...]
March for the Fallen 2021: Important Updates
***Important update*** Due to COVID complications, MFTF 2021 will be decentralized and conducted via local team leaders. Please see the MFTF Virtual page to identify [...]
How to Launch an ETF with Meb, Patrick, and Wes
Here is a link to our recent chat on The Meb Faber Show regarding the details on how to launch an ETF: This topic is [...]
Factor Timing Is Tempting
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of [...]
DIY Asset Allocation Weights: September 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
AA Welcomes the Newest Deadlifter to the Team: Jess Bost
BROOMALL, PA -- Alpha Architect, LLC announces that Jess Bost, RICPⓇ has joined the firm as Vice President - Brand Partnerships. In her newly created [...]
Mutual Funds: Negative $125B in Value-Add?
The Persistence of Fee Dispersion among Mutual Funds Cooper, Halling and YangReview of Finance, 2021A version of this paper can be found hereWant to read our [...]
International Tests of Factor Anomalies: Most Don’t Survive
Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive [...]
The Value Premium Might be Smaller Than We Originally Thought
Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic [...]
The Impact of Goodwill on Stock Returns
A firm’s stock price should reflect the value of both its tangible and intangible capital. While tangible capital has been widely studied, intangible capital has [...]
Financial Media, Price Discovery, and Merger Arbitrage
Financial Media, Price Discovery, and Merger Arbitrage Buehlmaier and ZechnerReview of Finance, forthcomingA version of this paper can be found hereWant to read our summaries of [...]
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 [...]
Value Investing and the Role of Intangibles
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
Disentangling measures of carbon risk
Decarbonizing Everything Alexander Cheema-Fox, Bridget Realmuto LaPerla, George Serafeim, David Turkington, & Hui (Stacie) WangFinancial Analysts JournalA version of this paper can be found hereWant to [...]
Global Factor Performance: August 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
The Active vs Passive: Smart Factors, Market Portfolio, or Both?
Matúš PadyšákQuantpedia.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Abstract [...]
Behavioral Finance Warning: Humans Love Complexity
People systematically overlook subtractive changes Gabrielle S. Adams, Benjamin A. Converse, Andrew H. Hales & Leidy E. Klotz Nature 592, 258-161A version of this paper can be found hereWant to read [...]
DIY Asset Allocation Weights: August 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]