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9 | Follower
Alpha Architect
18.01.2025
Because AI systems can produce hundreds of theoretical explanations for mined empirical results, investors need high hurdles.
14.01.2025
This paper investigates how modeling choices impact MLM outcomes such as cross-sectional return predictability.
11.01.2025
Given the similar net returns that UMM and LMM loans have delivered, allocators should consider diversifying across borrower size cohorts.
08.01.2025
Global Factor Performance: January 2025 - Factor Investing
07.01.2025
Investors, advisors and managers should adopt a more nuanced view of risk as the frequency of equity underperformance becomes widespread.
04.01.2025
Formula-based investing can still generate market outperformance, providing efficient exposure to well-documented factor premiums.
03.01.2025
DIY Trend-Following Allocations: January 2025 - Index Updates
01.01.2025
By explaining the disappearance of the index effect, this paper highlights the role of institutional liquidity and market infrastructure.
28.12.2024
Given the potential of AI to deal with large data, an important question is: Can AI outsmart seasoned analysts in forecasting earnings?
27.12.2024
Do sell-side analysts provide more accurate information to fund managers than to retail investors? Find out what the research says.
21.12.2024
Academics and fund managers have been trying to address the issues of intangibles not being on the balance sheet through various methods.
17.12.2024
This blog examines hot to improve the gap in financial forecasting by improving the accuracy of long-term expected return (E(R)) predictions.
14.12.2024
Private equity is one asset class where there has been evidence of persistence in performance among both the top and bottom performers.
10.12.2024
Global Factor Performance: December 2024 - Factor Investing
Do momentum results extend to international markets? Read this blog and find out what the academic research says.
07.12.2024
Allocation to trend following can improve the efficiency of their portfolio by also adding allocations to the other uncorrelated strategies.
04.12.2024
DIY Trend-Following Allocations: December 2024 - Index Updates
03.12.2024
Understanding the time-varying drivers of stock valuations has several practical implications for different market participants.
30.11.2024
The timing of stock purchases and sells does not matter to investors in the long run; you should invest whenever you have the cash to do so.
26.11.2024
It's not a "zoo" out there. For the majority of factors, the replication crisis can be examined and understood.
23.11.2024
We discuss the research showing how volatility strategies can be enhanced by also screening for the value and momentum factors.
20.11.2024
Research confirms that barely one in two individuals, on average in the European Union, is financially literate.
16.11.2024
The growth rate of private credit has been so rapid that concerns about there being a bubble have been raised.
14.11.2024
Are traditional measures of asset growth appropriate and persuasive indicators for investment activity in asset pricing models?
09.11.2024
Once anomalies are well recognized by the market they decline and may even disappear, though limits to arbitrage can allow them to persist.
05.11.2024
We examine the research on the costs of accessing private markets and whether or not fee drag is a real issue.
02.11.2024
The authors of the research discussed developed a machine learning model that can accurately predict trading volume for individual stocks.
DIY Trend-Following Allocations: November 2024 - Index Updates
31.10.2024
Should I be an ETF Advisor or Sub-Advisor? - ETF Operations
29.10.2024
We explore the use of LLMs to reduce the time, cost, and expertise needed for predicting core earnings from financial disclosures.
26.10.2024
Returns to many anomalies are concentrated in the first month after information releases; these returns get weaker in the months that follow.
22.10.2024
What is the causal impact of FinTech credit on entrepreneurial growth? Read this article to learn what the research says.
19.10.2024
There’s no reason to think that the use of AI should lead to persistent fund outperformance; any advantages gained likely being short lived.
17.10.2024
We study the use and economic impact of AI technologies and propose a new measure of firm-level AI investments using employee resumes.
12.10.2024
Because the Sahm rule focuses solely on the unemployment rate, caution is warranted before assuming it is signaling a recession.
09.10.2024
Global Factor Performance: October 2024 - Factor Investing
How can textual analysis of business news, specifically The Wall Street Journal (WSJ), be used to measure the state of the economy?
05.10.2024
Weaknesses, which result from the desire to minimize tracking error can lead to constraints and implementation costs that hurt index returns.
02.10.2024
DIY Trend-Following Allocations: October 2024 - Index Updates
01.10.2024
Do sell-side analysts use traditional present value methods to forecast stock prices? Find out by reading this blog!