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TEXT-BASED FACTOR INVESTING Part 1: The End of Accounting. This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital.; The Factor Zoo. As readers of Alpha Architect’s blog, you’re certainly familiar with factor investing. ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. SELLING A BUSINESS? HERE ARE 8 WAYS TO MINIMIZE YOUR TAXES: When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment a business owner will ever make and may represent more than a third of their entire networth.
HOW TO PREDICT STOCK RETURNS (USING A SIMPLE MODEL) Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns.The so-called “Occam's razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. Bogle's model is pretty simple: Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. ABOUT - ALPHA ARCHITECT Alpha Architect was founded in 2010. The firm started as a consulting firm and was eventually seeded by a multi-billion dollar family office in 2012. The Alpha Architect mission is to empower investors through education. We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. TEAM - ALPHA ARCHITECT Kyle Baxter. Mr. Baxter is currently a Director of Portfolio Services at Alpha Architect, where he assists with operations, compliance, and accounting. He graduated with an MS in Finance from Zicklin School of Business at Baruch College in NYC and a BS in Chemistry from the University of Maryland. In addition, Mr. Baxter is a CFA®charterholder.
TEXT-BASED FACTOR INVESTING Part 1: The End of Accounting. This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of Sparkline Capital.; The Factor Zoo. As readers of Alpha Architect’s blog, you’re certainly familiar with factor investing. ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. SELLING A BUSINESS? HERE ARE 8 WAYS TO MINIMIZE YOUR TAXES: When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment a business owner will ever make and may represent more than a third of their entire networth.
HOW TO PREDICT STOCK RETURNS (USING A SIMPLE MODEL) Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns.The so-called “Occam's razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. Bogle's model is pretty simple: Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned STILL USING BOOK TO MARKET FOR A VALUE METRIC? READ THIS. Dr. Elisabetta Basilico is a seasoned investment professional with an expertise in "turning academic insights into investment strategies." Research is her life's work and by combing her scientific grounding in quantitative investment management with a pragmatic approach to business challenges, she’s helped several institutional investors achieve stable returns from their global wealth FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a HOW PORTFOLIO CONSTRUCTION IMPACTS THE RELIABILITY OF These values compare to the universe monthly volatility of 4.49%. So back to our model, we have three inputs that impact the probability of beating the market--in other words, how the portfolio construction impacts the reliability of outcomes: The mean—the INFLATION AND THE VALUE PREMIUM The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering strongly—the Fed’s latest forecast for 2021 GNP growth is 6.5 percent—has led many investors to begin to worry about the risks of rising inflation. And strong growth is expected to continue well into next year. AN INTRODUCTION TO DIGITAL SIGNAL PROCESSING FOR TREND An Introduction to Digital Signal Processing for Trend Following. Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other financial asset prices. HOW DOES ETF LIQUIDITY AFFECT ETF RETURNS, VOLATILITY, AND Dr. Tommi Johnsen, until retirement in 2017, was the Director of the Reiman School of Finance and a tenured faculty at the Daniels College of Business at the University of Denver.She has worked extensively as a consultant and investment advisor in the areas of quantitative methods and portfolio construction. 1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOP Mr. Pugliese is a Director of Portfolio Services at Alpha Architect, where he heads up the firm’s ESOP 1042 solutions practice. In this role, Doug is responsible for assisting clients to implement tax efficient strategies for monetizing their business holdings to create diversified, investible wealth. 1042 EXCHANGE: NAVIGATING BETWEEN A ROCK AND A HARD PLACE 1042 Exchange: Navigating Between a Rock and a Hard Place. The opportunity to pursue a 1042 exchange sale can place business owners in a dilemma. The word means "a situation in which a difficult choice has to be made between two undesirable alternatives." Look up the definition of dilemma and you might see a reference to Scylla andCharybdis
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. TREND-FOLLOWING WITH VALERIY ZAKAMULIN: MOVING AVERAGE Editor's Note: Valeriy Zakamulin is one of the world's experts on trend following and technical trading rules and will be providing a multi-part series on the subject. This is part one in the technical series. Enjoy. (here is an old piece we have on Valeriy's research)One of the basic principles of technical analysis is that "prices move intrends."
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. GLOBAL FACTOR PERFORMANCE: JUNE 2021 Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. TEAM - ALPHA ARCHITECT Kyle Baxter. Mr. Baxter is currently a Director of Portfolio Services at Alpha Architect, where he assists with operations, compliance, and accounting. He graduated with an MS in Finance from Zicklin School of Business at Baruch College in NYC and a BS in Chemistry from the University of Maryland. In addition, Mr. Baxter is a CFA®charterholder.
ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a HOW TO PREDICT STOCK RETURNS (USING A SIMPLE MODEL) Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns.The so-called “Occam's razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. Bogle's model is pretty simple: Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage VALUE INVESTING STILL BEATS GROWTH INVESTING, HISTORICALLY A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1. 1/2 - Annualized total returns from 12/29/78 - 4/9/2021: - Russell 3000 Growth - 12.11%. - Russell 3000 Value - 12.09%. BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. DO ETFS ADVERSELY AFFECT MARKET QUALITY? NOPE. Abstract. Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts theunderlying.
ARE BEN GRAHAM’S DISCIPLES VALUE AND QUALITY FACTOR 1. Graham's investment style is less often associated with the quality factor, perhaps due to his popular "cigar butts" strategy, but the reality is that Graham was keen to understand not only the price of a business but also the quality of a business. 2. In fact, the quality factor proposed in “ Quality Minus Junk ” by Asness, Frazzini ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. GLOBAL FACTOR PERFORMANCE: JUNE 2021 Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. TEAM - ALPHA ARCHITECT Kyle Baxter. Mr. Baxter is currently a Director of Portfolio Services at Alpha Architect, where he assists with operations, compliance, and accounting. He graduated with an MS in Finance from Zicklin School of Business at Baruch College in NYC and a BS in Chemistry from the University of Maryland. In addition, Mr. Baxter is a CFA®charterholder.
ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a HOW TO PREDICT STOCK RETURNS (USING A SIMPLE MODEL) Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns.The so-called “Occam's razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. Bogle's model is pretty simple: Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage VALUE INVESTING STILL BEATS GROWTH INVESTING, HISTORICALLY A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1. 1/2 - Annualized total returns from 12/29/78 - 4/9/2021: - Russell 3000 Growth - 12.11%. - Russell 3000 Value - 12.09%. BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. DO ETFS ADVERSELY AFFECT MARKET QUALITY? NOPE. Abstract. Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts theunderlying.
ARE BEN GRAHAM’S DISCIPLES VALUE AND QUALITY FACTOR 1. Graham's investment style is less often associated with the quality factor, perhaps due to his popular "cigar butts" strategy, but the reality is that Graham was keen to understand not only the price of a business but also the quality of a business. 2. In fact, the quality factor proposed in “ Quality Minus Junk ” by Asness, Frazzini GLOBAL FACTOR PERFORMANCE: JUNE 2021 Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. TEXT-BASED FACTOR INVESTING Text-Based Factor Investing - Machine Learning. Most of the information in company annual reports is unstructured. Glossy photos aside, there is actual useful data in, for instance, the management discussion and analysis (MD&A) section. SELLING A BUSINESS? HERE ARE 8 WAYS TO MINIMIZE YOUR TAXES: When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment a business owner will ever make and may represent more than a third of their entire networth.
THIS TIME IS DIFFERENT? CONSIDER QUANTIFYING SUBJECTIVE David Primer is the Founder of Strata Quant, a firm that specializes in helping small investing firms and day traders generate more profit through customized solutions using advanced analytics techniques. David also provides data science tutoring for MyGuru, a boutique tutoring and test prep firm. David holds a B.S. in Molecular and Cellular Biology from the University of Illinois and a M.S INFLATION AND THE VALUE PREMIUM The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering strongly—the Fed’s latest forecast for 2021 GNP growth is 6.5 percent—has led many investors to begin to worry about the risks of rising inflation. And strong growth is expected to continue well into next year. HOW PORTFOLIO CONSTRUCTION IMPACTS THE RELIABILITY OF These values compare to the universe monthly volatility of 4.49%. So back to our model, we have three inputs that impact the probability of beating the market--in other words, how the portfolio construction impacts the reliability of outcomes: The mean—the THE RISK AND RETURNS TO PRIVATE DEBT INVESTMENTS Conditional on market and industry factors, trading private debt delivers higher returns than buying and holding a primary issuance. So, institutional investors should permit fund managers the flexibility to trade. Furthermore, a portfolio of private debt investments delivers excess returns to public markets over time, with.financial crisis.
COMPETITION FOR ATTENTION IN THE ETF SPACE In the Bordalo model, ETFs are commoditized and competition is based on the ETF offering the lowest fee (index ETFs, smart beta); or quality, where the ETF is distinguished by high fees and distinct ETF features (theme-based ETFs). Essentially, the explosive growth in ETFs is a function of ETF providers competing for market share byadvertising
THE IDIOSYNCRATIC VOLATILITY PUZZLE: THEN AND NOW The Idiosyncratic Volatility Puzzle: Then and Now. One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here ). This is an anomaly because idiosyncratic volatility is viewed as a risk factor—greater volatility should be rewarded with higher, not WHAT RETURNS SHOULD INVESTORS EXPECT FROM PRIVATE EQUITY 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 seekalternative
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. GLOBAL FACTOR PERFORMANCE: JUNE 2021 21 hours ago · Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a VALUE INVESTING STILL BEATS GROWTH INVESTING, HISTORICALLY A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1. 1/2 - Annualized total returns from 12/29/78 - 4/9/2021: - Russell 3000 Growth - 12.11%. - Russell 3000 Value - 12.09%. BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned QMOM - ALPHA ARCHITECT ETFS The stock selection process identifies a portfolio that generallyholds 50 stocks.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. GLOBAL FACTOR PERFORMANCE: JUNE 2021 21 hours ago · Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a VALUE INVESTING STILL BEATS GROWTH INVESTING, HISTORICALLY A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from Morningstar 1. 1/2 - Annualized total returns from 12/29/78 - 4/9/2021: - Russell 3000 Growth - 12.11%. - Russell 3000 Value - 12.09%. BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned QMOM - ALPHA ARCHITECT ETFS The stock selection process identifies a portfolio that generallyholds 50 stocks.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
GLOBAL FACTOR PERFORMANCE: JUNE 2021 21 hours ago · Global Factor Performance: June 2021 - Index Updates. After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. STILL USING BOOK TO MARKET FOR A VALUE METRIC? READ THIS. 1 day ago · Dr. Elisabetta Basilico is a seasoned investment professional with an expertise in "turning academic insights into investment strategies." Research is her life's work and by combing her scientific grounding in quantitative investment management with a pragmatic approach to business challenges, she’s helped several institutional investors achieve stable returns from their globalwealth
SELLING A BUSINESS? HERE ARE 8 WAYS TO MINIMIZE YOUR TAXES: 20 hours ago · When an owner sells their business, the IRS and state taxing authorities will be there to take as much of it as they lawfully can. This one sale can lead to the largest tax payment a business owner will ever make and may represent more than a third of their entire net worth. THIS TIME IS DIFFERENT? CONSIDER QUANTIFYING SUBJECTIVE David Primer is the Founder of Strata Quant, a firm that specializes in helping small investing firms and day traders generate more profit through customized solutions using advanced analytics techniques. David also provides data science tutoring for MyGuru, a boutique tutoring and test prep firm. David holds a B.S. in Molecular and Cellular Biology from the University of Illinois and a M.S BOND LADDERS AND INCOME ANNUITIES: SIMPLE IS BEAUTIFUL Assuming the same level of annual cash flows, constructing a bond ladder out to age 90 would cost significantly more than an annuity based off of a life expectancy of 83. Indeed, the bond ladder would require funding 25 years (90 – 65) of cash flows whereas the annuity price would only reflect the average of 18 years. THE RISK AND RETURNS TO PRIVATE DEBT INVESTMENTS Conditional on market and industry factors, trading private debt delivers higher returns than buying and holding a primary issuance. So, institutional investors should permit fund managers the flexibility to trade. Furthermore, a portfolio of private debt investments delivers excess returns to public markets over time, with.financial crisis.
LOW VOLATILITY-MOMENTUM FACTOR INVESTING PORTFOLIOS A Low Volatility strategy is highly appealing from a risk perspective but results in a portfolio of unexciting stocks, which is equally difficult to hold. Or as Wes eloquently put it; Academic Factor Portfolios are Extremely Painful. Unless you are an Alien. Investors evaluating multi-factor portfolios might want to consider combiningMomentum
VALUE INVESTING FACTOR RESEARCH: HOW TO IMPROVE THE Introduction. This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful framework to separate the winners from the losers in a value-investing context (summary here).You can read about how Piotroski's research is utilized as a DO ETFS ADVERSELY AFFECT MARKET QUALITY? NOPE. Abstract. Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts theunderlying.
GLOBAL IMPACT OF INVESTOR HOME COUNTRY BIAS Global Impact of Investor Home Country Bias. A large body of research demonstrates that “familiarity breeds investment.”. For example, a study by Gur Huberman found that shortly after AT&T was broken up and shareholders were given shares in each of what were called the Baby Bells, the residents of each region held a disproportionate number ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. ABOUT - ALPHA ARCHITECT Alpha Architect was founded in 2010. The firm started as a consulting firm and was eventually seeded by a multi-billion dollar family office in 2012. The Alpha Architect mission is to empower investors through education. We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
CAN WE EXPLAIN THE LOW VOLATILITY ANOMALY? The literature provides us with many possible explanations for the low volatility anomaly, including this behavioral one—investor overconfidence. Investors (including active fund managers) are overconfident. The result of overconfidence is that we have a violation of the assumptions used by the CAPM, which is predicated onrational
1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOP Once purchased, the 1042 qualified replacement property can generate cash distributions to the purchaser, including interest, dividends and payments from outright dispositions of QRP assets. In a QRP-compliant portfolio, these distribution streams are taxed in kind, as though they were held in a conventional portfolio. MARKET SELL-OFF ANALYSIS: BASELINE HISTORICAL FACTS The 1900s averaged 1.7 5% sell-offs per year vs 1.6 for the more recent data. So, no change there. Focusing again on those sell-offs that do not become 20%+. The average number of days to return to reference high for the 1900s is 79 trading days vs 68 trading days forthis century.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. PRIVATE EQUITY REPLICATION WITH LEVERAGED SMALL-CAP VALUE Private Equity Replication with Leveraged Small-Cap Value Stocks. Of the major asset classes, private equity has recently had the best absolute returns. According to Cambridge Associates, the 25-year return on private equity was 13.5%, relative to 9.75% for the Russell 2000. Academic studies, surveyed recently by Steven Kaplan and BerkSensoy
BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. ABOUT - ALPHA ARCHITECT Alpha Architect was founded in 2010. The firm started as a consulting firm and was eventually seeded by a multi-billion dollar family office in 2012. The Alpha Architect mission is to empower investors through education. We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
CAN WE EXPLAIN THE LOW VOLATILITY ANOMALY? The literature provides us with many possible explanations for the low volatility anomaly, including this behavioral one—investor overconfidence. Investors (including active fund managers) are overconfident. The result of overconfidence is that we have a violation of the assumptions used by the CAPM, which is predicated onrational
1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOP Once purchased, the 1042 qualified replacement property can generate cash distributions to the purchaser, including interest, dividends and payments from outright dispositions of QRP assets. In a QRP-compliant portfolio, these distribution streams are taxed in kind, as though they were held in a conventional portfolio. MARKET SELL-OFF ANALYSIS: BASELINE HISTORICAL FACTS The 1900s averaged 1.7 5% sell-offs per year vs 1.6 for the more recent data. So, no change there. Focusing again on those sell-offs that do not become 20%+. The average number of days to return to reference high for the 1900s is 79 trading days vs 68 trading days forthis century.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. PRIVATE EQUITY REPLICATION WITH LEVERAGED SMALL-CAP VALUE Private Equity Replication with Leveraged Small-Cap Value Stocks. Of the major asset classes, private equity has recently had the best absolute returns. According to Cambridge Associates, the 25-year return on private equity was 13.5%, relative to 9.75% for the Russell 2000. Academic studies, surveyed recently by Steven Kaplan and BerkSensoy
BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
STILL USING BOOK TO MARKET FOR A VALUE METRIC? READ THIS. 1 day ago · Dr. Elisabetta Basilico is a seasoned investment professional with an expertise in "turning academic insights into investment strategies." Research is her life's work and by combing her scientific grounding in quantitative investment management with a pragmatic approach to business challenges, she’s helped several institutional investors achieve stable returns from their globalwealth
THIS TIME IS DIFFERENT? CONSIDER QUANTIFYING SUBJECTIVE David Primer is the Founder of Strata Quant, a firm that specializes in helping small investing firms and day traders generate more profit through customized solutions using advanced analytics techniques. David also provides data science tutoring for MyGuru, a boutique tutoring and test prep firm. David holds a B.S. in Molecular and Cellular Biology from the University of Illinois and a M.S MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned DO ETFS ADVERSELY AFFECT MARKET QUALITY? NOPE. Abstract. Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts theunderlying.
VALUE INVESTING FACTOR RESEARCH: HOW TO IMPROVE THE Introduction. This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful framework to separate the winners from the losers in a value-investing context (summary here).You can read about how Piotroski's research is utilized as a ALPHA ARCHITECT FIRM OVERVIEW 5 Alpha Architect Business Overview Boutique Asset Management Firm (AUM: $1.2B+)1 • Founded in 2010 as a quantitative consultant • Launched asset management business in 2012 THE IDIOSYNCRATIC VOLATILITY PUZZLE: THEN AND NOW The Idiosyncratic Volatility Puzzle: Then and Now. One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here ). This is an anomaly because idiosyncratic volatility is viewed as a risk factor—greater volatility should be rewarded with higher, not QVAL - ALPHA ARCHITECT ETFS 43.90. 63.68. 6.32. 10.21. 6.32. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative. The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares IF YOU HAD TO DO A TREND FOLLOWING STRATEGY, WHAT WOULD IT Over the intermediate run, the chances that a trend-following strategy outperforms its passive counterpart are 50%, at best. 1. On the upside, a trend-following strategy has the potential to protect the investor from large drawdowns. Trend-following strategy resembles a protective put strategy where the investor buys a put option asinsurance
1042 EXCHANGE: NAVIGATING BETWEEN A ROCK AND A HARD PLACE 1042 Exchange: Navigating Between a Rock and a Hard Place. The opportunity to pursue a 1042 exchange sale can place business owners in a dilemma. The word means "a situation in which a difficult choice has to be made between two undesirable alternatives." Look up the definition of dilemma and you might see a reference to Scylla andCharybdis
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. ABOUT - ALPHA ARCHITECTALPHA ARCHITECT ETF Alpha Architect was founded in 2010. The firm started as a consulting firm and was eventually seeded by a multi-billion dollar family office in 2012. The Alpha Architect mission is to empower investors through education. We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
CAN WE EXPLAIN THE LOW VOLATILITY ANOMALY?LOW VOLATILITY INDEXLOW VOLATILITY STOCKSBEST VOLATILITY INDICATORMARKET VOLATILITY INDICATORVOLATILITY INDICATOR FOREXVOLATILITY INDICATOR MT4 The literature provides us with many possible explanations for the low volatility anomaly, including this behavioral one—investor overconfidence. Investors (including active fund managers) are overconfident. The result of overconfidence is that we have a violation of the assumptions used by the CAPM, which is predicated onrational
1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOPQUALIFIED REPLACEMENT PROPERTY IRS Once purchased, the 1042 qualified replacement property can generate cash distributions to the purchaser, including interest, dividends and payments from outright dispositions of QRP assets. In a QRP-compliant portfolio, these distribution streams are taxed in kind, as though they were held in a conventional portfolio. MARKET SELL-OFF ANALYSIS: BASELINE HISTORICAL FACTS The 1900s averaged 1.7 5% sell-offs per year vs 1.6 for the more recent data. So, no change there. Focusing again on those sell-offs that do not become 20%+. The average number of days to return to reference high for the 1900s is 79 trading days vs 68 trading days forthis century.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. PRIVATE EQUITY REPLICATION WITH LEVERAGED SMALL-CAP VALUE Private Equity Replication with Leveraged Small-Cap Value Stocks. Of the major asset classes, private equity has recently had the best absolute returns. According to Cambridge Associates, the 25-year return on private equity was 13.5%, relative to 9.75% for the Russell 2000. Academic studies, surveyed recently by Steven Kaplan and BerkSensoy
BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
ALPHA ARCHITECT HOME Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. ABOUT - ALPHA ARCHITECTALPHA ARCHITECT ETF Alpha Architect was founded in 2010. The firm started as a consulting firm and was eventually seeded by a multi-billion dollar family office in 2012. The Alpha Architect mission is to empower investors through education. We are a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. FUNDS - ALPHA ARCHITECT ETFS Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. Unlike mutual funds, ETFs may trade at a ESG PERFORMANCE BREAKDOWN BY E, S, AND G Key issues under the E and S pillars had average correlations of 0.13; E and G issues at -.023; and S and G issues at -.014. There is not much overlap in the information conveyed by each pillar. YES. As noted, each pillar score is based on different sets of key issues which are weighted and used to construct E, S, G, and the overall ESGrating.
CAN WE EXPLAIN THE LOW VOLATILITY ANOMALY?LOW VOLATILITY INDEXLOW VOLATILITY STOCKSBEST VOLATILITY INDICATORMARKET VOLATILITY INDICATORVOLATILITY INDICATOR FOREXVOLATILITY INDICATOR MT4 The literature provides us with many possible explanations for the low volatility anomaly, including this behavioral one—investor overconfidence. Investors (including active fund managers) are overconfident. The result of overconfidence is that we have a violation of the assumptions used by the CAPM, which is predicated onrational
1042 QUALIFIED REPLACEMENT PROPERTY: AN OVERVIEW OF ESOPQUALIFIED REPLACEMENT PROPERTY IRS Once purchased, the 1042 qualified replacement property can generate cash distributions to the purchaser, including interest, dividends and payments from outright dispositions of QRP assets. In a QRP-compliant portfolio, these distribution streams are taxed in kind, as though they were held in a conventional portfolio. MARKET SELL-OFF ANALYSIS: BASELINE HISTORICAL FACTS The 1900s averaged 1.7 5% sell-offs per year vs 1.6 for the more recent data. So, no change there. Focusing again on those sell-offs that do not become 20%+. The average number of days to return to reference high for the 1900s is 79 trading days vs 68 trading days forthis century.
FIVE INVESTING PODCASTS YOU SHOULD LISTEN TO The Investor’s Podcast with Preston and Stig. Preston Pysh and Stig Broderson are the dynamic duo of podcasting, hosting The Investors Podcast, which has 9 million+ downloads. Stig has a great background and an IQ over 200, while Preston is an active duty service member and has the smoothest radio voice among all podcasts I listen to. PRIVATE EQUITY REPLICATION WITH LEVERAGED SMALL-CAP VALUE Private Equity Replication with Leveraged Small-Cap Value Stocks. Of the major asset classes, private equity has recently had the best absolute returns. According to Cambridge Associates, the 25-year return on private equity was 13.5%, relative to 9.75% for the Russell 2000. Academic studies, surveyed recently by Steven Kaplan and BerkSensoy
BEWARE OF INSTITUTIONAL OWNERSHIP DATA FROM 13F FILINGS Beware of Institutional Ownership Data from 13F filings. The core source for institutional ownership data is derived from form 13F, which is a form filed by large asset managers that manage over $100mm in 13 (f) securities (e.g., stocks). Here is a link to the 13 (f)security lists.
STILL USING BOOK TO MARKET FOR A VALUE METRIC? READ THIS. 16 hours ago · Dr. Elisabetta Basilico is a seasoned investment professional with an expertise in "turning academic insights into investment strategies." Research is her life's work and by combing her scientific grounding in quantitative investment management with a pragmatic approach to business challenges, she’s helped several institutional investors achieve stable returns from their globalwealth
THIS TIME IS DIFFERENT? CONSIDER QUANTIFYING SUBJECTIVE David Primer is the Founder of Strata Quant, a firm that specializes in helping small investing firms and day traders generate more profit through customized solutions using advanced analytics techniques. David also provides data science tutoring for MyGuru, a boutique tutoring and test prep firm. David holds a B.S. in Molecular and Cellular Biology from the University of Illinois and a M.S MARKET TIMING USING AGGREGATE EQUITY ALLOCATION SIGNALS Market Timing Using Aggregate Equity Allocation Signals. When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without nearly as high of a profile that has outperformed the aforementioned DO ETFS ADVERSELY AFFECT MARKET QUALITY? NOPE. Abstract. Prior research suggests that ETF arbitrage affects the market quality of underlying securities. We directly test this proposition by examining minute-by-minute returns and order imbalances, but find little evidence that trading in ETFs impacts theunderlying.
VALUE INVESTING FACTOR RESEARCH: HOW TO IMPROVE THE Introduction. This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful framework to separate the winners from the losers in a value-investing context (summary here).You can read about how Piotroski's research is utilized as a ALPHA ARCHITECT FIRM OVERVIEW 5 Alpha Architect Business Overview Boutique Asset Management Firm (AUM: $1.2B+)1 • Founded in 2010 as a quantitative consultant • Launched asset management business in 2012 THE IDIOSYNCRATIC VOLATILITY PUZZLE: THEN AND NOW The Idiosyncratic Volatility Puzzle: Then and Now. One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here ). This is an anomaly because idiosyncratic volatility is viewed as a risk factor—greater volatility should be rewarded with higher, not QVAL - ALPHA ARCHITECT ETFS 43.90. 63.68. 6.32. 10.21. 6.32. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative. The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares IF YOU HAD TO DO A TREND FOLLOWING STRATEGY, WHAT WOULD IT Over the intermediate run, the chances that a trend-following strategy outperforms its passive counterpart are 50%, at best. 1. On the upside, a trend-following strategy has the potential to protect the investor from large drawdowns. Trend-following strategy resembles a protective put strategy where the investor buys a put option asinsurance
1042 EXCHANGE: NAVIGATING BETWEEN A ROCK AND A HARD PLACE 1042 Exchange: Navigating Between a Rock and a Hard Place. The opportunity to pursue a 1042 exchange sale can place business owners in a dilemma. The word means "a situation in which a difficult choice has to be made between two undesirable alternatives." Look up the definition of dilemma and you might see a reference to Scylla andCharybdis
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Alpha Architect HomeWesley Gray, PhD 2019-10-22T07:16:47-05:00 ARE YOU A FINANCIAL PROFESSIONAL LOOKING TO LEARN MORE?__Strategy Analysis
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