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If you had to do a trend following strategy, what would it be and why?

By |2019-02-22T10:28:43+00:00February 22nd, 2019|Research Insights, Trend Following, Introduction Course|

The topic of this blog post was inspired by Wes, who said the following: Valeriy, you have done more formal academic research on trend-following than anyone I know...Skepticism aside, let's I forced you to pick [...]

Trend-Following: A Decade of Underperformance

By |2019-02-20T00:29:24+00:00February 20th, 2019|Research Insights, Trend Following|

Everyone in finance remembers 2008--the Global Financial Crisis. Yes, I know, the final downward movement in the stock market was in early 2009. However, many remember 2008 as the year of the crisis. So now [...]

Live in Portland, Calgary, Kansas City, or Chicago? Holla!

By |2019-02-19T12:29:53+00:00February 19th, 2019|Research Insights, Business Updates|

Readers: We'll be visiting the following locations in the near future: 2/26 to 3/1: Portland/Calgary area Wes/Ryan/BrandonWes is speaking at a small conference:Sign up here: https://www.talluscapital.com/events3/4 to 3/6: Kansas City and ChicagoJack/Ryan As a reminder, you [...]

Compound Your Knowledge Episode 5: Size & Value

By |2019-02-19T08:42:52+00:00February 19th, 2019|Research Insights, Weekly Research Recap Videos, Size Investing Research|

In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by Tommi examining the distribution of Size and Value returns over [...]

Public Hedge Funds and Their Performance

By |2019-02-19T08:32:29+00:00February 18th, 2019|Basilico and Johnsen, Academic Research Insight|

Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]

Is There a Size Effect in the Stock Market?

By |2019-02-11T14:13:45+00:00February 14th, 2019|Research Insights, Factor Investing, Size Investing Research|

One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in the WSJ.[/ref] Warren Buffett, speaking at the 2013 Berkshire Hathaway [...]

Compound Your Knowledge Episode 4: Sentiment, Fin. Education & Smart Money Indicator

By |2019-02-12T11:58:17+00:00February 12th, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

In today’s video, we examine three posts. First, we examine Elisabetta Basilico's post on Manager Sentiment and Stock Returns. Second, we examine a paper by Rich Shaner examining whether financial education actually improve outcomes. Last, [...]

How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons

By |2019-02-15T09:30:11+00:00February 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Size Investing Research|

Volatility Lessons Eugene F. Fama and Kenneth R. French 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 [...]

The Smart Money Indicator: A New Risk Management Tool

By |2019-02-08T09:25:33+00:00February 8th, 2019|Research Insights, Trend Following, Guest Posts, Tactical Asset Allocation Research|

We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of their tactical asset allocation strategies, which are less extreme variants [...]

Does Financial Education Actually Improve Outcomes? It’s Complicated.

By |2019-02-05T10:19:28+00:00February 5th, 2019|Research Insights, Investor Education|

The Causal Mechanism of Financial Education: Evidence from Mediation Analysis Fenella Carpena and Bilal ZiaA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

Manager Sentiment and Stock Returns

By |2019-02-04T11:43:16+00:00February 4th, 2019|Basilico and Johnsen, Academic Research Insight|

Manager Sentiment and Stock Returns Fuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

DIY Asset Allocation Weights: February 2019

By |2019-02-04T10:00:17+00:00February 4th, 2019|Index Updates, Tool Updates|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights (red implies a month [...]

Compound Your Knowledge: Episode 3–Factor Failure, China, EBITDA

By |2019-02-11T13:29:00+00:00February 1st, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In today's video, we examine three posts. First, we examine Larry Swedroe's rebuttal to the "failure" of factor investing. Second, we examine a paper examining the performance of the Size and Value factors in China. [...]

Size and Value in China

By |2019-01-28T00:05:53+00:00January 31st, 2019|Research Insights, Guest Posts, Academic Research Insight, Value Investing Research, Size Investing Research|

Size and Value in China Jianan Liu, Rob Stambaugh, and Yu YuanJournal of Financial EconomicsA version of this paper can be found here What are the research questions? China represents the world's second largest stock market [...]

EBITDA, EBITDA, EBITDA…that’s all, folks!

By |2019-02-06T16:00:32+00:00January 29th, 2019|Research Insights, Value Investing Research|

Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise Multiples, defined as total enterprise value of the firm divided [...]

“The Failure of Factor Investing was Predictable”

By |2019-02-04T13:02:58+00:00January 28th, 2019|Research Insights, Factor Investing, Larry Swedroe|

In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed miserably”— called for examination of the facts. But first, a [...]

Compound Your Knowledge: Episode 2–ESOPs, Factors, Incentives

By |2019-01-25T11:51:22+00:00January 25th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media, 1042 QRP Solutions|

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 [...]

Value, Momentum & Carry Across Asset Classes

By |2019-01-24T16:25:43+00:00January 25th, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, [...]

1042 QRP: How to Finance a Seller Note

By |2019-01-22T15:29:53+00:00January 23rd, 2019|Research Insights, 1042 QRP Solutions, Tax Efficient Investing|

Employee Stock Ownership Plans (“ESOP”) create unique opportunities for business owners and their employee-participants to build wealth through their companies. To foster broader adoption of ESOPs, Congress instituted a number of attractive tax advantages benefitting [...]

Rankings and Risk-Taking in the Finance Industry

By |2019-01-22T13:17:41+00:00January 22nd, 2019|Basilico and Johnsen, Academic Research Insight|

Rankings and Risk-Taking in the Finance Industry Michael Kirchler, Florian Lindner, and Utz WeitzelThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

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