Listen Now

This week we discuss Ryan’s article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm’s Total Enterprise Value (TEV). Article Links: What’s the Story Behind EBIT/TEV https://alphaarchitect.com/2020/05/01/whats-the-story-behind-ebit-tev/

In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over the past two years ( highlighting great research by the AQR team). The second article, written by Nicolas Rabener, examines portfolios combining either (1) Low Volatility and Momentum or (2) Value and Momentum. Article Links: Is There Something Wrong with the Value Premium? https://alphaarchitect.com/2020/03/24/is-there-something-wrong-with-the-value-premium/ Low Volatility-Momentum Versus Value-Momentum Factor Portfolios https://alphaarchitect.com/2020/03/13/low-volatility-momentum-versus-value-momentum-factor-portfolios/ External link to the video here. https://www.youtube.com/watch?v=rIdjBO1iibk&feature=youtu.be

Last week, there were some pretty big dislocations between bond mutual funds and ETFs. I picked one specific example I found interesting, comparing the Vanguard high-yield muni bond mutual fund to two high-yield muni bond ETFs in the marketplace. Ryan and I discussed my example, which hopefully gives some information on how, within the bond market, ETFs can at times act differently than mutual funds. Video Link: https://www.youtube.com/watch?v=bO1qoil5W-I&feature=youtu.be

In mid-February, prior to the market craziness, Jon Seed posted an article on our site titled: “Price”, ETFs, and Bond Market Liquidity. This was a prescient article, as it highlighted some of the issues with pricing bonds since they do not necessarily trade thousands or millions of times a day like stocks. Jon also mentioned how this affected mutual funds and ETFs, so we thought it was a good idea to bring Jon into the show to discuss more given the recent market events (as well as our CTO, Brandon Koepke). Article Links: “Price”, ETFs, and Bond Market Liquidity https://alphaarchitect.com/2020/02/13/price-etfs-and-bond-market-liquidity/ External link to the video here. https://www.youtube.com/watch?v=HYBlse8i-HM&feature=youtu.be

In this week’s video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs. Article Links: The Gap Between Large and Small Companies is Growing. Why? https://alphaarchitect.com/2020/03/05/the-gap-between-large-and-small-companies-is-growing-why/ The Case Against REIT’s https://alphaarchitect.com/2020/02/06/the-case-against-reits/ External link to the video here. https://www.youtube.com/watch?v=Z7d5cKAM96U&feature=youtu.be

In this week’s video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation). -- Article Links: Why Do Enterprise Multiples Predict Expected Stock Returns? alphaarchitect.com/2020/01/21/ente…-stock-returns/ Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? alphaarchitect.com/2019/12/30/asse…unified-method/

In this week’s post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and commission-free trading. Article Links: The Massive Performance Divergence Between Large Growth and Small Value Stocks https://alphaarchitect.com/2020/02/21/the-massive-performance-divergence-between-large-growth-and-small-value-stocks/ Boutique ETF Issuers Finally Get a Break! https://alphaarchitect.com/2019/10/15/boutique-etf-issuers-finally-get-a-break/

Compound Your Knowledge Holiday Episode by Compound Your Knowledge with Alpha Architect

Factor Investing Update: An Analysis of 2019 International Factor Returns: https://alphaarchitect.com/2020/02/19/factor-investing-update-an-analysis-of-2019-international-factor-returns/

In this week’s post, we discuss two articles. The first article examines the financial performance of collectibles, such as Cars, Wine, and Art. The second article examines PMI and its impact on factor performance. Research on the Financial Performance of Collectibles https://alphaarchitect.com/2019/07/22/research-on-the-financial-performance-of-collectibles/ Purchasing Managers’ Index (PMI) and Factor Performance https://alphaarchitect.com/2019/07/23/purchasing-managers-index-pmi-and-factor-performance/

Value Investing & Concentration https://alphaarchitect.com/2019/07/18/value-investing-concentration/ Strategies to Reduce Crash Risk in Stocks https://alphaarchitect.com/2019/07/16/strategies-to-reduce-crash-risk-in-stocks/

In this week’s post, we discuss four articles. The size, written by the folks at AQR, is titled “Fact, Fiction, and the Size Effect” and is a deep dive into the Size effect–I highly recommend everyone read the underlying paper as well. The second article examines the baseline historical facts of market sell-offs, both within the U.S. and other markets. The third paper, summarized by Larry Swedroe, examines a way to enhance L/S momentum portfolios. The last article discusses Momentum, Quality, and more importantly, gives some R Code to help those interested in replicating results at home. Article Links: Fact, Fiction, and the Size Effect https://alphaarchitect.com/2019/07/08/fact-fiction-and-the-size-effect/ Market Sell-off Analysis: Baseline Historical Facts https://alphaarchitect.com/2019/07/10/market-sell-off-analysis-baseline-historical-facts/ Enhancing the Performance of Momentum Strategies https://alphaarchitect.com/2019/07/12/enhancing-the-performance-of-momentum-strategies/ Momentum, Quality, and R Code https://alphaarchitect.com/2019/07/11/momentum-quality-and-r-code/

We hope everyone had a nice 4th of July weekend! In this week’s post, we discuss one paper, titled “Buyback Derangement Syndrome.” The paper was summarized on our site by Tommi, and the paper was written by Clifford Asness, Todd Hazelkorn, and Scott Richardson, all of AQR. Debunking Myths About Stock Buybacks https://alphaarchitect.com/2019/07/01/debunking-myths-about-stock-buybacks/

In this week’s post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written by Andrew Miller, examines Large-Cap Value portfolios. The last post, written by Larry Swedroe, examines Active Management. Trend Following: The Epitome of No Pain, No Gain https://alphaarchitect.com/2019/06/26/trend-following-the-epitome-of-no-pain-no-gain/ Large-Cap Price-to-Book Investing: What is Dead May Never Die https://alphaarchitect.com/2019/06/25/large-cap-price-to-book-investing-what-is-dead-may-never-die/ Is Active Management Skilled? If So, Who Benefits? https://alphaarchitect.com/2019/06/28/is-active-management-skilled-if-so-who-benefits/

This week Ryan and Jack discuss two topics. First, they discuss a paper examining the performance of bank affiliated mutual funds. Second, they examine a post by Larry Swedroe on diversification. Paper Links: Do Bank Affiliated Funds Underperform Affiliated Funds? https://alphaarchitect.com/2018/10/29/do-bank-affiliated-funds-underperform-unaffiliated-funds/ Asset Diversification in a Flat World. https://alphaarchitect.com/2018/11/01/asset-diversification-in-a-flat-world/ 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. Our full disclosures are available below. Definitions of common statistics used in our analysis are available below (towards the bottom). https://alphaarchitect.com/disclosures/ Join thousands of other readers and subscribe to our blog. https://alphaarchitect.com/subscribe/

In this week’s post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle–while most are discounting factors in the new “Factor Zoo” world, this is definitely an interesting factor to examine. Second, I briefly summarize Larry Swedroe’s paper on Risk versus Uncertainty, and how one can build alternative portfolios to deal with the fact that we make investment decisions in an uncertain world. Last, I examine a post by Tommi, summarizing a paper showing that even institutional investors appear to get distracted. A Remarkable New Factor: The Cash Conversion Cycle https://alphaarchitect.com/2019/04/09/a-remarkable-new-factor-the-cash-conversion-cycle/ Additional Link to 1999 CS report. https://studies2.hec.fr/jahia/webdav/site/hec/shared/sites/jeanjean/acces_eleves/finance%20a%20cour%20terme/synth%C3%A8se.pdf Investment Strategy in an Uncertain World https://alphaarchitect.com/2019/04/11/investment-strategy-in-an-uncertain-world/ Distracted Institutional Investors https://alphaarchitect.com/2019/04/08/distracted-institutional-investors/

Today, Ryan and Jack discuss three topics discussed on Alpha Architect's blog over the past two weeks. First, they discuss a post by Wes, discussing the benefits and pitfalls of portfolio diversification. Second, they discuss a new working paper which questions how the Investment CAPM can price momentum. Last, they discuss a guest post by Larry Swedroe, which examines Portfolio Construction for factor funds. Video Links/Notes Summing Up the Potential Benefits and Pitfalls of Diversification in 3 Slides https://alphaarchitect.com/2018/10/04/summing-up-the-potential-benefits-and-pitfalls-of-diversification-in-3-slides/ How Can the Investment CAPM Price Momentum? https://alphaarchitect.com/2018/10/02/how-can-the-investment-capm-price-momentum/ How a Multi-Factor Portfolio is Constructed Matters https://alphaarchitect.com/2018/10/11/how-a-multi-factor-portfolio-is-constructed-matters/

In today’s video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over the past 10 years. Last, we examine a guest post by Elisabetta discussing a new paper on rankings/incentives. 1042 QRP: How to Finance a Seller Note 00:35 https://alphaarchitect.com/2019/01/23/1042-qrp-how-to-finance-a-seller-note/ Value, Momentum & Carry Across Asset Classes 07:17 https://alphaarchitect.com/2019/01/25/value-momentum-carry-across-asset-classes/ Rankings and Risk-Taking in the Finance Industry 12:37 https://alphaarchitect.com/2019/01/22/rankings-and-risk-taking-in-the-finance-industry/

This week Ryan and Jack have a discussion on three topics. First, they discuss ETF tax efficiency based on the findings in a new paper by the RAFI team. Second, they discuss the profitability factor as Larry Swedroe highlights a new paper on international evidence. Third, they discuss Jack's article on how one should benchmark a trend following strategy. Paper Links: Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help. https://alphaarchitect.com/2018/10/15/can-your-alpha-cover-the-tax-bill-pro-tip-the-etf-wrapper-may-help/ The Profitability Factor: International Evidence https://alphaarchitect.com/2018/10/18/the-profitability-factor-international-evidence/ What is the correct benchmark for trend following? https://alphaarchitect.com/2018/10/16/what-is-the-correct-benchmark-for-trend-following/

In this week’s episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines the performance of funds by differentiating the fund’s manager on his/her family wealth. The third article, written by Maneesh Shanbhag, examines the benefits of Tax-Loss Harvesting (TLH). The last article, written by Larry Swedroe, takes a deep dive into two explanations for the Value premium–(1) Risk and (2) Behavior. 0:20 - Are ETFs Really Crushing Mutual Funds? https://alphaarchitect.com/2019/04/30/are-etfs-really-crushing-mutual-funds/ 6:57 - Buyer Beware: The Reality of Tax-Loss Harvesting Benefits https://alphaarchitect.com/2019/04/26/buyer-beware-the-reality-of-tax-loss-harvesting-benefits/ 3:44 - Fund Management: The Poor Beat the Rich https://alphaarchitect.com/2019/04/29/fund-management-the-poor-beat-the-rich/ 10:55 - Deep Dive into the Value Factor https://alphaarchitect.com/2019/05/02/deep-dive-into-the-value-factor%EF%BB%BF/