Alpha Architect – ValueWalk Premium

How I Explain Crappy Returns

Diversification. It looks great on paper, but for the past ten years, being globally and “Factor” diversified has been anything but great. Understandably, many diversified investors are looking at their returns and wondering why they should follow such a strategy when the S&P 500 – which costs almost nothing...

International Evidence on Factor Premiums

Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, “Another Look on Choosing Factors: The International Evidence.” Using bootstrap simulations, Grobys examined international markets, specifically the four regions of North America (NA), Europe, Japan and Asia Pacific (AP), as out-of-sample tests of the...

The market impact of rebalancing factor investing strategies

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder Garg 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 Q3 2019 hedge fund letters, conferences and more What are...

Are Earnings Forecasts of Sell-Side Analysts Biased?

There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources of risk. Alternatively, they could be associated with mispricing that arises from systematically biased...

Enterprise Multiples and Equity Country Allocations

And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub Szczygielski Journal of Portfolio Management 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 Q3 2019 hedge fund...

Forbidden Knowledge: Long-Only Academic Factors are Also Cool

When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van Vliet Working Paper 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 Q3 2019 hedge fund letters, conferences and more What are the Research Questions? The...

The Quality Factor – What Exactly Is It?

While the quality factor has been identified in the literature (including papers such as “Buffett’s Alpha,” “Global Return Premiums on Earnings Quality, Value, and Size,” and “The Excess Returns of ‘Quality’ Stocks: A Behavioral Anomaly”), and there are now a number of investment vehicles with quality strategies (such as...

Costs And Benefits Of ESG Investing

Responsible Investing: The Environmental, Social, and Governance (ESG) – Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz Pomorski Working Paper 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 Q3 2019 hedge fund letters,...

What Returns Should Investors Expect From Private Equity

The collapse in interest rates, combined with historically high valuations (at least for U.S. stocks), have led many endowments, pension plans (especially those with large unfunded liabilities) and high net worth investors (such as those with their own family offices) to seek alternative investments that might offer more attractive...

Core Earnings: New Data and Evidence

Researchers love novel datasets–it gives them a new set of information to conduct studies and test theories. Q3 2019 hedge fund letters, conferences and more That brings us to this paper, titled “Core Earnings: New Data and Evidence” by Ethan Rouen, Eric So, and Charles C.Y. Wang. The paper uses a...

Superstar Investors

Superstar Investors Brooks, Tsuji and Villalon Journal of Investing, February 2019 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 Q3 2019 hedge fund letters, conferences and more What are the Research Questions? Many famous investors are outspoken about their...

Alternative Investments – A Field Manual

It’s not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It’s my hope that I can forewarn you of the proverbial landmines and better prepare you to invest (or not invest) in the alternative...

Quality: Independent attributes or a real factor?

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose 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 Q3 2019 hedge fund letters, conferences and more What are the research...

A Framework For Creating Model Portfolios

Model Portfolios Basu, Gates, Karir and Ang Journal of Wealth Management, Spring 2019 A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q3 2019 hedge fund letters, conferences and more What are the Research Questions? Asset allocation is...

Short-Duration Stock Anomaly: Risk or Mispricing

Cash Flow Duration and the Term Structure of Equity Returns Q3 2019 hedge fund letters, conferences and more Michael Weber A version of the 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? Some background on Bond duration: Duration...

Using Firm Characteristics to Enhance Momentum Strategies

Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Q3 2019 hedge fund letters, conferences and more Prior research on Momentum The study “Momentum Has Its...

ETFs Vs Mutual Funds: Who Wins? Investors. (Ryan Kirlin)

Here is a link to our podcast on Taylor Schulte’s “Stay Wealthy” show. Q3 2019 hedge fund letters, conferences and more rawpixel / Pixabay Without question, you have heard of Exchange Traded Funds, also commonly referred to as ETFs. It’s a complex topic so I brought in the best person I know to...

Technological Links And Predictable Returns

Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran Zhang Journal of Financial Economics, forthcoming 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 Q2 hedge fund letters, conference, scoops etc What are the...

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