The Alpha Architect Round Up

In mid-February, prior to the market craziness, Jon Seed posted an article on our site titled: “Price”, ETFs, and Bond Market Liquidity. This was a prescient article, as it highlighted some of the issues with pricing bonds since they do not necessarily trade thousands or millions of times a day like stocks. Jon also mentioned how this affected mutual funds and ETFs, so we thought it was a good ide...

In this week’s video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs. Article Links: The Gap Between Large and Small Companies is Growing. Why? https://alphaarchitect.com/2020/03/05/the-gap-between-large-and-small-companies-is-growing-why/ The Case Against REIT’s https://alphaarchitect.com/2020/02/06/the-case-against-reits/ Ex...

In this week’s video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation). -- Article Links: Why Do Enterprise Multiples Predict Expected Stock Returns? alphaarchitect.com/2020/01/21/ente…-stock-returns/ Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? alphaarchitect.com/2019/12/30/asse…unified-m...

In this week’s post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and commission-free trading. Article Links: The Massive Performance Divergence Between Large Growth and Small Value Stocks https://alphaarchitect.com/2020/02/21/the-massive-performance-divergence-between-large-growth-and-small-value-stocks/ Boutique ETF Issu...

Compound Your Knowledge Holiday Episode by Alpha Architect

Factor Investing Update: An Analysis of 2019 International Factor Returns: https://alphaarchitect.com/2020/02/19/factor-investing-update-an-analysis-of-2019-international-factor-returns/

In this week’s post, we discuss two articles. The first article examines the financial performance of collectibles, such as Cars, Wine, and Art. The second article examines PMI and its impact on factor performance. Research on the Financial Performance of Collectibles https://alphaarchitect.com/2019/07/22/research-on-the-financial-performance-of-collectibles/ Purchasing Managers’ Index (PMI) and F...

Value Investing & Concentration https://alphaarchitect.com/2019/07/18/value-investing-concentration/ Strategies to Reduce Crash Risk in Stocks https://alphaarchitect.com/2019/07/16/strategies-to-reduce-crash-risk-in-stocks/

In this week’s post, we discuss four articles. The size, written by the folks at AQR, is titled “Fact, Fiction, and the Size Effect” and is a deep dive into the Size effect–I highly recommend everyone read the underlying paper as well. The second article examines the baseline historical facts of market sell-offs, both within the U.S. and other markets. The third paper, summarized by Larry Swedroe,...

We hope everyone had a nice 4th of July weekend! In this week’s post, we discuss one paper, titled “Buyback Derangement Syndrome.” The paper was summarized on our site by Tommi, and the paper was written by Clifford Asness, Todd Hazelkorn, and Scott Richardson, all of AQR. Debunking Myths About Stock Buybacks https://alphaarchitect.com/2019/07/01/debunking-myths-about-stock-buybacks/

In this week’s post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written by Andrew Miller, examines Large-Cap Value portfolios. The last post, written by Larry Swedroe, examines Active Management. Trend Following: The Epitome of No Pain, No Gain https://alphaarchitect.com/2019/06/26/trend-following-the-epitome-of-no...

This week Ryan and Jack discuss two topics. First, they discuss a paper examining the performance of bank affiliated mutual funds. Second, they examine a post by Larry Swedroe on diversification. Paper Links: Do Bank Affiliated Funds Underperform Affiliated Funds? https://alphaarchitect.com/2018/10/29/do-bank-affiliated-funds-underperform-unaffiliated-funds/ Asset Diversification in a Flat World....

Today, Ryan and Jack discuss three topics discussed on Alpha Architect's blog over the past two weeks. First, they discuss a post by Wes, discussing the benefits and pitfalls of portfolio diversification. Second, they discuss a new working paper which questions how the Investment CAPM can price momentum. Last, they discuss a guest post by Larry Swedroe, which examines Portfolio Construction for fa...

In this week’s post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle–while most are discounting factors in the new “Factor Zoo” world, this is definitely an interesting factor to examine. Second, I briefly summarize Larry Swedroe’s paper on Risk versus Uncertainty, and how one can build alternative portfolios to deal with the fact that we make investment decision...

In this week’s episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines the performance of funds by differentiating the fund’s manager on his/her family wealth. The third article, written by Maneesh Shanbhag, examines the benefits of Tax-Loss Harvesting (...

This week Ryan and Jack have a discussion on three topics. First, they discuss ETF tax efficiency based on the findings in a new paper by the RAFI team. Second, they discuss the profitability factor as Larry Swedroe highlights a new paper on international evidence. Third, they discuss Jack's article on how one should benchmark a trend following strategy. Paper Links: Can Your Alpha Cover the Tax B...

In today’s video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over the past 10 years. Last, we examine a guest post by Elisabetta discussing a new paper on rankings/incentives. 1042 QRP: How to Finance a Seller Note 00:35 https://alphaarchitec...

In today’s video, we examine three posts. First, we examine Larry Swedroe’s rebuttal to the “failure” of factor investing. Second, we examine a paper examining the performance of the Size and Value factors in China. Last, we examine a fun and light-hearted post by Doug on EBITDA. Article Links: “The Failure of Factor Investing was Predictable” https://alphaarchitect.com/2019/01/28/the-failure-of-f...

This week Ryan and Jack discuss two editorials on machine learning and its impact and use within Research. The first paper is an Editorial by Rob Arnott, Cam Harvey, and Harry Markowitz discussing, in their opinion, proper protocols for research (back-testing) in the era of machine learning. The Second paper, summarized by Elisabetta, is by Joseph Simonian, Marcos Lopez de Prado, and Frank Fabozzi...

In this week’s post, I discuss four papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the momentum of (L/S) factors. The second article, written by Larry Swedroe, asks the following: “The Re-Death of Value, or Déjà Vu All Over?” The third article is a guest post by Robinson Crawford, who gives an overview of equity compensation. Article Links:...

In this week’s video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by Tommi, uses Hedge Funds’ past performance to identify if one can predict future Hedge Fund performance. The last post discusses Wes’ video examining an older article–Factor Investing is Simple, but Not Easy. Quarterly Index Analysis and Commentary: Q1 2019...

This week Ryan and Jack discuss three topics. First, they examine the returns to U.S. stock broken down by (1) size and (2) factors (mega-cap stocks were the place to invest over the last 5 years!). Second, they examine a post by Adam Tkaczuk on Opportunity Zones–a must read for those with low basis securities. Third, they examine a post by Tommi on Hedge Funds and their role in reducing mispricin...

Welcome to the newly re-titled weekly video, Compound Your Knowledge. In today’s video, we examine three posts. First, we examine a simple analysis of 2018 Factor portfolio returns. Second, we examine a guest post by Jon Seed examining Warren’s put options, and how they are different than most investors put options. Last, we examine a guest post by Tommi, discussing a new Fama and French article h...

In this week’s post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that plague Factor Investing. Article Links: Aggregate Investor Confidence in the Stock Market https://alphaarchitect.com/2019/04/15/aggregate-investor-confidence-in-the-s...

This week Ryan and I discuss two topics. First, we examine a paper titled, “The Misguided Beliefs of Financial Advisers”, which examines if financial advisors are conflicted, or simply misguided. Second, we examine a post on the Unobservable Global Market Portfolio. A Proxy for the Unobservable Global Market Portfolio https://alphaarchitect.com/2018/11/26/a-proxy-for-the-unobservable-global-market...