Alpha


 

Patrick Houweling and Jeroen van Zundert Publication : Financial Analysts Journal, Vol.

What are the research questions?

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This post is part three in the training series for those participants in this year’s March for the Fallen event.

We are about 5 weeks out from the event and Dave Babulak is helping educate March for the Fallen participants with tips/pointers each week leading up to the event.

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What are the research questions?

In spite of several efforts by researchers to overcome the estimation-risk problem (the use of estimate inputs based on sample information as if they were representative of the true population) which produces the so-called “wacky weights”, DeMiguel, Garlappi and Uppal (2009) present striking evidence that favors a simple 1/N naıve portfolio strategy.

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Avoiding Traumatic ESOP 1042 Election Distress [0.07]

Posted on Aug. 1, 2017, 3:15 p.m. by Alpha Architect @ [source]

Medical scientists have identified a disorder, known as Traumatic 1042 Election Distress, that can afflict business owners who pursue Section 1042 sales of their company stock to an ESOP. The disorder is curable if diagnosed early.

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This post is part one in the training series for those participants in this year’s March for the Fallen event.

We have an all-star group of movers/shakers this year and I’m expecting 40-50 participants (half of “finance twitter” is out there!).

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Kyle Baxter, Our Newest Teammate, is On Deck! [0.08]

Posted on July 28, 2017, 3 p.m. by Alpha Architect @ [source]

We wanted to formally welcome the newest addition to the Alpha Architect team, Kyle Baxter, who joins us as a Director of Portfolio Services. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees.

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Improving Strategies [0.18]

Posted on July 27, 2017, 2:11 p.m. by Build Alpha @ [source]

We then set Build Alpha to have a maximum one bar holding period and to ONLY enter on the next bar's open and to ONLY exit on the next bar's close. So for example, his original strategy trades ES (S&P500 eMini futures) so we only select Build Alpha signals calculated on Market2 which is set for ES.

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Our mission is to empower investors through education. This mission is our passion and what drives us to go to work everyday.

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That’s right, he’s found a way to combine what he was already doing and the systematic edges that the Build Alpha software can find to further increase his OVERALL edge in the markets.

It is hard to market user success without the proof otherwise you all would have your doubts (rightfully so) – but after receiving this I cannot help but feel proud and share.

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Academic Research Insight: Facts about Factors [0.09]

Posted on July 10, 2017, 3:27 p.m. by Alpha Architect @ [source]

What are the research questions?

Do factors offer superior diversification benefits relative to assets because factors are less correlated with each other?

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Capital Asset Pricing Model (CAPM) [0.10]

Posted on July 2, 2017, 10:44 a.m. by No Noise Only Alpha @ [source]

While I am a believer of APT more than of CAPM, I will share some of my findings on CAPM. This is also the main reason why I believe APT over CAPM, as risky assets carry a bundle of different risk exposure, not just ERP, which means it can be in overlapping good times to reap yields as well as in bad times to tolerate through drawdowns.

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G. Sarwar (University of Greenwich), et al.

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The Holy Grail for mutual fund investors is the ability to identify in advance, which of the active mutual funds (or ETFs nowadays) will outperform in the future.

Believers in active management were offered hope that the Holy Grail had been found with the publication in the September 2009 issue of The Review of Financial Studies of the study by Martijn Cremers and Antti Petajisto “How Active Is Your Fund Manager?

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What are the research questions?

With co-author Tommi Johnsen, PhD, she is writing an upcoming book on research backed investing.

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What are the research questions?

Based on this research, the size premium is lower than originally thought.

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As a former US Marine, Memorial Day is every day, however, Memorial Day is special because the time is set aside to reflect on those who paid the ultimate sacrifice.

You just need to get there.

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Editor’s Note: The Academic Research Insight will be a weekly short-form research summary on research that is directly related to investing.

Financial technology (fintech) is undoubtedly changing the mechanism through which information is assembled and delivered.

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As many of you probably already know (it seems a large portion of our audience either has a PhD or a CFA), the CFA Institute’s Annual Conference is coming to Philadelphia this year.

The 70th CFA Institute Annual Conference will bring 1500 CFA® Charterholders from its 148 societies across the globe to Philadelphia for a four-day event from May 21-24 at the Pennsylvania Convention Center.

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Cleaning Out The Factor Zoo [0.11]

Posted on May 11, 2017, 11:10 a.m. by The Capital Spectator @ [source]

The explosion of financial research in recent years has uncovered an expanding assortment of alpha-generating possibilities that presumably offer a shortcut for enhancing returns over and above a market index.

Perhaps the most ambitious screening effort yet in the factor zoo research is the “Replicating Anomalies” paper from the Fisher College of Business at Ohio State University.

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Alpha Architect Index Data/Information [0.07]

Posted on May 3, 2017, 2:59 p.m. by Alpha Architect @ [source]

We have updated the information associated with our indexes and are making the data more easy to access.

Interested readers can access information on these indexes here.

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