The Performance of Volatility-Managed Portfolios

By |June 17th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Larry Swedroe, Trend Following, Tactical Asset Allocation Research|

As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns are negatively correlated. This relationship results in the tendency to [...]

How to NOT Sound like a Washing Machine Salesman on LinkedIn

By |June 15th, 2021|Guest Posts, Investment Advisor Education, Other Insights|

I’m constantly hearing from financial advisors who are getting nowhere on LinkedIn, despite having invested considerable time and money. In this post, I'll provide some guidance on how to avoid sounding like the typical (boring) [...]

Can Hedge Funds Successfully Time Factors?

By |June 14th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of this paper can be found hereWant to read our summaries of [...]

The Costs and Benefits of Tax-Loss-Harvesting (TLH) Versus an ETF

By |June 11th, 2021|Research Insights, Tax Efficient Investing, ETF Investing|

Recently, we have experienced a rush of questions from investors/clients who seek our opinion on direct indexing/tax-loss-harvesting ("TLH") and how it compares to the potential tax benefits of an ETF. Unfortunately, there is no easy [...]

Combining Value and Profitability Factors: the International Evidence

By |June 10th, 2021|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study “On the Conjoint Nature of Value and Profitability,” which analyzed [...]

Selling a Business? Here are 8 Ways to Minimize Your Taxes:

By |June 8th, 2021|Research Insights, Guest Posts, 1042 QRP Solutions, Tax Efficient Investing|

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 [...]

Global Factor Performance: June 2021

By |June 8th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Still Using Book to Market for a Value Metric? Read This.

By |June 7th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

This Time is Different? Consider Quantifying Subjective Priors

By |June 4th, 2021|Empirical Methods, Research Insights, Guest Posts, Academic Research Insight, Behavioral Finance|

This time is different. --John Templeton "This time is different," is a sentiment that leads many investors to stray from using data analysis in their investment decision process and more towards discretionary judgment.  The logic [...]

DIY Asset Allocation Weights: June 2021

By |June 1st, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Get Green or Die Trying?

By |June 1st, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Get Green or Die Trying? Carbon Risk Integration into Portfolio Management Maximilian Görgen, Andrea Jacob, and Martin NerlingerJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Can You Tax-Efficiently Convert Your Managed Accounts, Mutual Fund, or Hedge Fund into an ETF?

By |May 28th, 2021|Research Insights|

This is a quick post that serves as a public service announcement related to a number of requests we have been receiving from registered investment advisors, mutual fund managers, and hedge fund managers regarding "launching [...]

The Explanatory Power of Factor Momentum

By |May 27th, 2021|Research Insights, Larry Swedroe, Momentum Investing Research, Tactical Asset Allocation Research|

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. review more in [...]

Value and Momentum Investing: Combine or Separate?

By |May 25th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research|

When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one screen, to form a single portfolio of stocks? ("Blended", "combined", [...]

Using Satellite Images to Study Local Information Advantage

By |May 24th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Investor Education|

The Firm Next Door: Using Satellite Images to Study Local Information Advantage Kang, Stice-Lawrence, Wong Journal of Accounting Research, 2021A version of this paper can be found here.Want to read our summaries of academic finance papers? [...]

Predictability of the Value Premium Across Asset Classes

By |May 21st, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit on this topic. Wes and I have done several posts [...]

Are Ben Graham’s Disciples Value and Quality Factor Investors?

By |May 19th, 2021|Research Insights, Factor Investing, Guest Posts, Other Insights, Value Investing Research|

I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and Stan Perlmeter. The research question I seek to address is [...]

ESG Performance Breakdown by E, S, and G

By |May 18th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Deconstructing ESG Ratings Performance: Risk and Returnfor E, S, and G by Time Horizon, Sector, and Weighting Guido Giese, Zoltán Nagy, and Linda-Eling LeeJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]

Fixed income when you’re between a rock and a hard place — Part 2/2

By |May 13th, 2021|Research Insights, Factor Investing, Guest Posts, Fixed Income|

Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s problem. Below, we extend the discussion by walking through a [...]

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