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 […]
Author: Alpha Architect
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 […]
Alpha Architect To Launch Long/Short Cryptocurrency ETF
Originally posted on April 1st 2018 When asked for details around the methodology, Dr. Wes Gray, CEO of Alpha Architect, said: We saw a lot of talk about it on twitter. Our methodology is pretty straightforward. Jack and I will […]
Risk-Based Explanations For The Momentum Premium
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 out: See 2017 Hedge Fund […]
How To Perform Investment Sentiment Analysis On Twitter
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version of this paper can be found here Want to read our summaries of academic finance papers? […]
Investing In IPOs? Look At IPOs From Firms With More SEC Comment Letters
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version of this paper can be found here Want to read our summaries of academic finance […]
Podcast: Eric Balchunas’s Adventures In ETF Land (Wes)
Here is a link to our podcast on Behind the Markets See 2017 Hedge Fund Letters. ETF guru Eric Balchunas discusses his adventures in the ETF industry and where he thinks the industry is heading. You can listen to the […]