The Alpha Architect Round Up

In today’s video, we examine three articles from last week. The first article, written by Larry Swedroe, examines the Momentum of News. The second article, written by Wes, examines an out-of-sample test on Momentum by looking at Russian stocks in the 19th century. The third article, written by Tommi, examines the impacts that short sellers have within markets–are they manipulative or do they carry...

In this week’s video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using volatility targeting to improve risk-adjusted returns. The third article, also written by Larry Swedroe, examines the volatility anomaly. The last article, written by T...

In this week’s video, we examine three articles. The first article, written by Adam Tkaczuk, covers a method to make an opportunity zone (equity) investment behave more like a bond. The second article, written by Larry Swedroe, examines the future performance of past winning & loser funds. The third article, written by Tommi, examines an investment strategy combining the information from (1) short...

In today’s video, we examine two posts from last week. First, we examine Wes’ post on the Size factor. Second, we examine a paper by Tommi examining the distribution of Size and Value returns over various time horizons. Article Links: Is There a Size Effect in the Stock Market? https://alphaarchitect.com/2019/02/14/is-there-a-size-effect-in-the-stock-market/ How Risky are the Value and Size Premiu...

In this week’s video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using volatility targeting to improve risk-adjusted returns. The third article, also written by Larry Swedroe, examines the volatility anomaly. The last article, written by T...

The Alpha Architect mission is to empower investors through education, and our Weekly Research Recap is meant to be an educational journey that slowly builds confidence in one’s own ability to understand financial concepts and financial research. We believe an educated investor is a sustainable investor, which is critical for the success of any long-horizon active investor. As Ben Franklin is repu...

This week Ryan and Jack discuss several important topics. First, they discuss the tracking error associated with trend-following strategies. Second, they chat about a paper by researchers from Goldman Sachs, “Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending.” Paper Links: How large is the tracking error created by trend following? Constructing Long-Only Multifa...

In today’s video, we examine three articles from last week. The first article examines the (under) performance of trend-following over the last decade. The second article by Valeriy Zakamulin examines common questions, and Valeriy’s responses, on “how” to build a trend-following model. The third article by Elisabetta examines the performance of hedge funds when the issuer is either private or publ...

In this week’s episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines the performance of systematically purchasing stocks trading above 10x their sales (revenue). Tax-Managed Factor Strategies https://alphaarchitect.com/2019/05/06/tax-managed-factor-strategies/ Buying Stocks Trading Above 10x Sa...

This week Ryan and I discuss three posts. First, we examine a guest post titled, “Trend Following on Steroids,” which examines ways to enhance a simple trend-following strategy. Second, we examine a post I wrote regarding how to use trend-following within a standard stock/bond portfolio. Last, we examine a post by Tommi on an AQR paper regarding how to measure Risk Exposures. Paper Links: Trend Fo...

This week Ryan and Jack discuss two posts. First, they examine a guest post by Matthew Bartolini of State Street Global Advisors, discussing the underperformance of Value and its outlook for 2019. Second, they examine a guest post by Elisabetta on a recent JPM paper examining the effects that ETFs have had on Correlations, Liquidity, and Alpha Opportunities. Paper Links: After a Lost Decade, Will...

Last week’s video (slightly delayed) involves interviews of three guests of Alpha Architect. The first guest is Adam Butler of Resolve Asset Management. We discuss Resolve’s portfolios and I ask Adam a tough question–if you can only pick one asset class and one rule to use for investments, what would it be? Our second guest (14-minute mark) is Andrew Miller. We discuss a topic relevant for most fi...

Ryan and Jack discuss three articles published on our blog this week. First, they examine a paper by Linda Zhang investigating the volatility of leveraged ETFs. Second, they discuss an article (and corresponding video and PPT slides from Wes) examining stock momentum strategies. The talk is titled "Momentum Investing, Simple, but not Easy". Last, they examine an article by Aaron Brask examining th...

Ryan Kirlin and Dr. Jack Vogel discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting Against Beta (BAB) factor and dives into two new papers examining when the BAB factor performs well. Second, we discuss a paper titled “The Conservative Formula: Quantitative Investing Made Easy” which uses three well-known factors, (1) low...

https://alphaarchitect.com/2017/02/03/factor-models-are-more-art-and-less-science/

In this episode of Behind the Markets Podcast hosts Jeremy Schwartz and Wes Gray talk high frequency trading, cryptocurrency, & the future of investing with new tech. Also check out the video below of our guest Dave blowing up a bridge which he mentions at the start of our interview!