New research reveals that the performance of the hedge fund industry has not been as bad as the results from studies that relied on hedge fund data providers. The Performance of the Hedge Fund Industry was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

The CFA designation has for long been recognized as the gold standard for investment analysts. But like anything that is worth pursuing, obtaining the charter is no easy task.  How to Crush the CFA Exams On Your First Attempt: Part I was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

The justification for neutralizing sectors in factor strategies is a work in progress. To date, academic researchers haven't had an empirical model to mimic the impact of removing sector "effects" on the measurement and performance of factor strategies. The authors develop and test a two-component model to address the question of, "Is Sector Neutrality in Factor Investing a Mistake?" Is Sector Neutrality in Factor Investing a Mistake? was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

While the empirical research on cross-sectional (long-short) momentum has shown that returns have been high, investors have also experienced huge drawdowns—momentum exhibits both high kurtosis and negative skewness. Since 1926 there have been several momentum crashes that featured short, but persistent, periods of highly negative returns. For example, from June to August 1932, the momentum portfolio lost about 91%, followed by a second drawdown from April to July 1933. Minimizing the Risk of Cross-Sectional Momentum Crashes was originally published at Alpha Architect. Please read the Alpha Arc ..read more

The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Factor Performance Factor Premiums Factor Data Downloads Global Factor Performance: April 2024 was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

Given the significant growth of investment in private markets, there have been increasing demands for greater transparency in the operation and structure of private market funds. This paper aims to address questions such as whether fees are set uniformly within most funds, and if not, by how much do they vary. Fee Variation in Private Equity was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

Studies have found that there is a correlation between stock market downturns and an increase in hospital admissions for mental illness, an increase in domestic violence, deteriorating mental health among retirees, and increased depression rates. How the Stock Market Impacts Investor Mental Health was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

Full exposure to domestic equities. Full exposure to international equities. Full exposure to REITs. Partial exposure to commodities. Partial exposure to intermediate-term bonds. DIY Trend-Following Allocations: April 2024 was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

While there is literature that describes the "domain" of artificial intelligence, there are very few, if any that analyze the valuation and pricing of AI stocks. The authors attempt to fill the void with a two part methodology. Valuing Artificial Intelligence (AI) Stocks was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more

Strong empirical evidence demonstrates that momentum (both cross-sectional and time-series) provides information on the cross-section of returns of many risk assets and has generated alpha relative to existing asset pricing models. Economic Momentum was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your convenience ..read more