Academic Research Insight: Do Dividends Still Matter?
Title: WHAT DIFFERENCE DO DIVIDENDS MAKE? Authors: C. Mitchell Conover, CFA, CIPM, Gerald R. Jensen, CFA and Marc W. Simpson, CFA Publication: Financial Analysts Journal, [...]
Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets (Part 8)
In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following [...]
How ETF Trading Works: A Deep Dive Into ETF Market Making
Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use [...]
Want to Work for Alpha Architect? We’re Hiring!
Our firm is growing rapidly and we're looking to hire new teammates (one initially, possibly another down the road). If you are passionate about investor [...]
Academic Research Insight: Does one size retail financial advice fits all?
Title: RETAIL FINANCIAL ADVICE: DOES ONE SIZE FITS ALL? Authors: FOERSTER S., LINNAINMAA J.T., MELZER B.T., PREVITERO A. Publication: JOURNAL OF FINANCE, V.72, AUGUST 2017 (version here ) What [...]
This Week We May Be In Your Neighborhood: Chicago and NYC
Readers: A few of us on the team will be on the road this week. Ryan Kirlin, Yang Xu, and I will all be attending [...]
Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)
The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This [...]
March for the Fallen Weekly Training Series: Secret Weapons
Team: This post is part six in the training series for those participants in this year's March for the Fallen event. We are about 2 weeks [...]
Short Term Momentum and Long Term Reversals Can Coexist
In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns [...]
Academic Research Insight: Global Equities and Overreaction
Title: OVERREACTION AND THE CROSS-SECTION OF RETURNS: INTERNATIONAL EVIDENCE Authors: Douglas W. Blackburn, Nusret Cakici Publication: Journal of Empirical Finance 42 (2017) 1-14 https://ssrn.com/abstract=2800188 What [...]
Podcast: Foreign Exchange Research with Nick Roussanov (Wes)
Here is a link to our podcast on Behind the Markets We discuss research on FX. You can listen to the podcast via the link [...]
Podcast: Compound Your Face off (Wes)
Here is a link to our podcast on Invest Like the Best. My guest this week is a version of me—a funnier, cooler version who [...]
Trend-Following: Testing the Profitability of Trading Rules (Part 6)
The difficulty in testing the profitability of trend-following rules stems from the fact that the procedure of testing involves either a single- or multi-variable optimization. [...]
March for the Fallen Weekly Training Series: Nutrion
Team: This post is part five in the training series for those participants in this year's March for the Fallen event. Dave Babulak, Dave Taggart, and [...]
Portfolio Allocations using Enterprise Multiples (and others)
A common question asked in the factor investing field is the following -- "how much of the model's performance is driven by sector allocations, and how much is driven by security selection?" Our answer is to simply buy Value stocks or Momentum stocks, regardless of sector constraints. Why? Well a nice anecdote (but not data) is that investing in "cheap" technology stocks was not a great idea in the internet bubble crash.
Academic Research Insight: Abusing ETFs
Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? [...]
MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: UNIFORM/GEAR
Team: This post is part four in the training series for those participants in this year's March for the Fallen event. We are about 4 weeks [...]
Trend-Following with Valeriy Zakamulin: Performance Measurement and Outperformance Tests (Part 5)
We consider an investor and a financial market that consists of only two assets: one risky asset and one safe (or risk-fee) asset. An example [...]
Academic Research Insight: Can Bond Portfolios Be “Factorized”?
Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts Journal, Vol. 3 No. 2, 2017 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322) What [...]
MARCH FOR THE FALLEN WEEKLY TRAINING SERIES: FOOTWEAR & FOOT CARE
Team: This post is part three in the training series for those participants in this year's March for the Fallen event. We are about 5 weeks [...]