There are now hundreds of factors in what John Cochrane famously called the “zoo of factors.” However, there are only a small number that meet the requirements for investment that my co-author, Andrew Berkin, and I establish in our book, […]
Author: Alpha Architect
Are Trend-Following And Time-Series Momentum Research Results Robust?
When it comes to trend following and/or time-series momentum research, we got ya covered! Q1 hedge fund letters, conference, scoops etc A few places to dig in: Evidence for Long-Term Trend-Following by Alpha Architect World’s Longest Trend-Following backtest by Alpha […]
Short Sellers Can Predict Deteriorating Bank Fundamentals
Can short sellers inform bank supervision? Bhanu Balasubramnian and Ajay Palvia Journal of Financial Services Research A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category […]
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: “Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607730 Most of the research on […]
Quantifying The Value Of Retirement Accounts
Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when the topic is addressed, many of the discussions rely on flawed logic and do not […]
Bond Investing: Reach For Safety
Yield. Within almost any asset class, investors want to know, what is the “yield” on the investment? Q1 hedge fund letters, conference, scoops etc For some investors, this is the most important and only screen used when sorting funds. Mutual […]
ESG And Factor Investing
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research […]
What The CFOs Think About The Equity Premium In 2018: 6.31% Real Premium?
Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we’ve covered this research here, here, and here, if interested). See 2017 Hedge Fund Letters. In their […]
Timing Country Exposure With Value: A Valuation Measure Horserace
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, “buying cheap” stocks was a good idea (i.e., the so-called “value” premium). See 2017 Hedge Fund Letters. But […]
Tail Risk Hedging: An Alternative Approach To Risk Management
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant allocation to hiqh-quality bonds. However, this approach has historically reduced expected returns over the long […]
