The Carry Factor and Global Risks
The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets — it is a cousin to the value factor, [...]
Warning: Stock and Bond Correlation Assumptions are Regime Dependent!
It ain't what you don't know that gets you into trouble. It's what you know for sure that just ain't so. -- attributed to Mark [...]
An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges
Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read [...]
A Q&A Discussion with Vanguard Researchers on the “Fair Value CAPE Ratio”
As everyone who's been invested for the last ten years knows, post-financial crisis stock returns have been incredible. The chart below highlights the total returns [...]
DIY Asset Allocation Weights: August 2018
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The [...]
Vendor Management and Cybersecurity Compliance for RIAs
The Maginot Line, built by the French after World War One, is a perfect metaphor for most cybersecurity programs, particularly those of financial advisors. [...]
Finance Journals Rarely Publish Articles with low T-stats
Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper [...]
Podcast: Factor Investing with Vanguard Factor Fund PM Liqian Ren (Wes & Jack)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets host Wes Gray talks factor investing as [...]
March for the Fallen 8-Week Training Program for Busy Professionals
The March for the Fallen event is quickly approaching (sign up if you haven't and Please notify us if you are attending.). I've locked in space [...]
Factor Investing Insights You Won’t Hear from Fama and French
Factor investing research has a long storied past. Fama and French's 1992 and 1993 papers arguably put factor investing "on the map," but truth be [...]
Investment Performance of Female CEOs
Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our [...]
Which Investment Factors Drive Corporate Bond Returns
Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen A version of this paper can be found here. Want to [...]
Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.
Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be [...]
Deconstructing the Low Volatility/Low Beta Anomaly
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it [...]
Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?
What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is [...]
Artificial Intelligence and Value Investing
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our summaries [...]
#Women in Finance Know Stuff: A Conversation with Lauren Simmons
After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, [...]
DIY Asset Allocation Weights: July 2018
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The [...]
For Consistency Across Market Conditions, Try a Quant Manager
The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper [...]
Podcast: Momentum in Theory, Momentum in Practice (Jack)
Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. [...]