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Alpha Architect

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177 to 192 of 209 Posts
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The Value Momentum Trend Philosophy
Tuesday, June 6, 2017 1:46 PM EDT
The Value Momentum Trend Index processes seek to deliver focused exposure in what we believe are the three most robust factors in investing: value, momentum, and trend.
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The Dividend Disconnect: Behavioral Finance Strikes Again
Friday, June 2, 2017 11:39 AM EDT
A new working paper titled, “The Dividend Disconnect,” examines investor behavior around dividend paying firms. The paper highlights the fact that humans use mental accounting, affecting investors' decisions regarding positions in their portfolios.
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Portfolio Rebalancing Research: Momentum And Tolerance Bands
Wednesday, May 31, 2017 2:13 PM EDT
Knowing that a decision to rebalance is an active market timing decision, one can use prior research to help develop a rebalancing strategy to improve portfolio performance.
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Trust, But Verify: The Potential Problems Of Blind Investing
Thursday, May 25, 2017 11:50 PM EDT
Nobody can predict the future, but there is a chance the blind purchase of broad-index portfolios will come to an abrupt and potentially chaotic end when the music finally stops.
In this article: VIX
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A Direct Test Of The Dividend Catering Hypothesis
Thursday, May 18, 2017 11:44 AM EDT
While there is evidence that investors should focus on complete measures of shareholder yield, many investors still care about one thing — dividends!
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Chinese Market Anomaly – The Factor Killer?
Friday, May 12, 2017 3:16 PM EDT
The Chinese stock market has a short and highly volatile 22 years history and is still a very young and emerging region.
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Do Trading Costs Destroy Factor Investing?
Wednesday, May 10, 2017 1:38 PM EDT
The incentives to develop strategies with strong backtests are strong, both in academia and in industry. One must always consider the possibility of data-snooping, overfitting, and transaction costs — do they make the strong results null and void?
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(Fight) The Fed Model
Thursday, May 4, 2017 12:52 PM EDT
While the Fed Model can be good at describing how the market P/E is currently set, it is no better at predicting future stock returns than a model based on long-term P/E ratios.
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Idiosyncratic Momentum Swedroe Spotlight: Enhancing Momentum Strategies Via Idiosyncratic Momentum
Tuesday, May 2, 2017 7:54 PM EDT
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. It is one of the most pervasive asset pricing anomalies.
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The Capacity Of Smart Beta Funds — Larger Than Previously Thought?
Sunday, April 30, 2017 6:46 PM EDT
ETFs and factor investing are on the tip of everyone’s tongue these days. Factor investing is being couched as a “new” thing, despite the fact that institutional investors have been deploying these strategies for years.
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Current Research On How ETFs Can Affect Financial Markets
Tuesday, April 25, 2017 2:55 PM EDT
ETFs, or “composite securities,” should improve overall price efficiency, and the impact is bigger for relatively illiquid assets.
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“Аlternative” Facts About Formulaic Value Investing
Monday, April 24, 2017 5:18 AM EDT
Despite the current popularity of formulaic value-investing strategies, the evidence supporting the outperformance of formulaic value is not very compelling.
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Value And Momentum Investing In Frontier Stock Markets
Tuesday, April 18, 2017 2:21 PM EDT
Value and momentum investing work in Frontier markets. This is important as it indicates that Frontier and Global markets are segmented (to some degree).
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Does Market Sentiment Help Explain Momentum?
Monday, April 17, 2017 1:31 PM EDT
Academic literature has investigated the existence and performance of two different types of momentum. The first is called cross-sectional momentum, the second is time-series momentum, also referred to as “trend-following”.
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How Are ETFs Affecting The Stock Market: Is There A Dark Side To ETFs?
Wednesday, April 12, 2017 11:47 AM EDT
More people are investing using ETFs, so what are the implications of higher ETF ownership for individual stocks?
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How Asset Managers Are Adapting To Exchange-Traded-Funds
Monday, April 10, 2017 4:42 PM EDT
The ETF industry has been around for over 20 years at this point, but over the past 5 years, the ETF industry has captivated the investment world.
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177 to 192 of 209 Posts
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