Articoli con tag : Alpha Architect

Systematic Investment Strategies are Hot. But What Happens Next?

A cura di Tommi Johnsen, Alpha Architect Daniel Giamouridis (Co-editor of FAJ) Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the research questions? How will syste ...

Is The US Stock Market Overvalued? Depends on which Model You ask

A cura di Valeriy Zakamulin, AlphaArchitect To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock market’s current price level to a benchmark. Among practitioners, two of the leading equity valuation models ...

Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps

A cura di Jack Vogel, AlphaArchitect Regression analysis is used all the time to assess how a portfolio “loads” on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be an informative exercise, and there are nice tools online, su ...

Tactical asset allocation: does the day of the month matter?

A cura di Wes Gray e Jack Vogel, Alpha Architect Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. This is a feature, not a limitation. Trading infrequently forces a strategy to ig ...

Factor Investing: evidence based insights

A cura di Wes Gray, AlphaArchitect I will be talking on the Factor Investing panel at the upcoming Evidence-Based Investing Conference in Dana Point, CA next Sunday –Tuesday. I am excited for the opportunity to chat, and figured I would highlight a few thoughts we have on the topic going into the ...

Greatest Stock Picker of All Time: Buffett or Lynch?

A cura di Dan Grioli, alphaarchitect.com Who is the greatest stock picker of all time? Many investors knee-jerk reaction is Warren Buffett. Understandable response, but is that the answer? Maybe not… So who is the greatest investor of all time? A few years ago, I asked this question of a mentor ...

Eureka! A Valuation-Based Asset Allocation Strategy that Might Work

A cura di Wesley R. Gray, Alpha Architect We’ve had a few posts showing that asset allocation systems relying on market valuation indicators (e.g., Shiller CAPE ratios) as a timing signal may end up in disappointment… Can market Valuations Be Effective Market-Timing Signals? Dissecting Goldman� ...

Combining Value and Momentum in Stock Selection and Market Timing

A cura di Wesley R. Gray, Alpha Architect Recently, we wrote two posts about how to combine Value and Momentum for stock selection purposes (Part 1 and Part 2). We followed this piece with a post on combining value and momentum for market timing purposes. In this post, we review the use of co ...

The Sustainable Active Investing Framework: Simple, But Not Easy

A cura di Wesley R. Gray, Alpha Architect The debate over passive versus active investing is akin to Eagles vs. Cowboys or Coke vs. Pepsi. In short, once our preference for one style over the other is established, it becomes a proven fact or incontrovertible reality in our minds. This post is not m ...

Crisis Alpha: Surprising Ways to Hedge Stock Portfolio Risk

A cura di Wesley R. Gray, Alpha Architect Investing in the current environment is difficult. Most, if not all, asset classes have high nominal prices, suggesting low nominal expected returns. Not exactly exciting. And for many investors who are retired and/or have near-term liquidity needs, investin ...