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Global Factor Performance: January 2021

By |2021-01-12T16:41:46-05:00January 12th, 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

The Definitive Study on Long-Term Factor Investing Returns

By |2021-01-12T15:03:03-05:00January 12th, 2021|Research Insights, Factor Investing, Academic Research Insight|

Global Factor Premiums Baltussen, Swinkels, VlietJournal 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 Research Questions? [...]

How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?

By |2021-01-11T10:48:17-05:00January 11th, 2021|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Value and Momentum and Investment Anomalies

By |2021-01-04T11:53:39-05:00January 7th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]

DIY Asset Allocation Weights: January 2021

By |2021-01-07T19:14:50-05:00January 5th, 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 [...]

How Powerful is the Wealth Effect?

By |2021-01-04T12:19:49-05:00January 4th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education|

Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers

By |2020-12-30T11:55:44-05:00December 31st, 2020|Research Insights, Conferences|

The American Finance Association Annual Meetings are here.here is information on the broader conference The conference is virtual this year but that doesn't mean the organization hasn't done a good job collecting the brightest minds in [...]

Trend-Following Filters: Part 1/2

By |2020-12-29T13:16:27-05:00December 29th, 2020|Empirical Methods, Research Insights, Trend Following, Guest Posts|

1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order to “buy low” and “sell high”. A trend is considered [...]

P-Hacking Via Academic Finance Research Conferences

By |2020-12-28T08:25:23-05:00December 28th, 2020|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights|

Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

A Curious Combination: Momentum Investing, Tesla, and November 9th

By |2020-12-24T09:40:32-05:00December 23rd, 2020|Research Insights, Factor Investing, Guest Posts, Other Insights, Momentum Investing Research|

“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]

Investing Based on Who you Follow on Social Media? A Real Thing?

By |2020-12-21T09:36:24-05:00December 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Is Size a Useful Investing Factor or Not?

By |2020-12-18T12:26:45-05:00December 18th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Size Investing Research|

In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major [...]

Placement Agents In Private Equity, Are They Any Good?

By |2020-12-15T13:59:42-05:00December 14th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

Intermediation in Private Equity: The Role of Placement Agents Matthew D. Cain, Stephen B. McKeon, and Steven Davidoff SolomonJournal of Financial and Quantitative AnalysisA version of this paper can be found hereWant to read our summaries [...]

Buying Quality: Is the Juice Worth the Squeeze?

By |2020-12-07T08:43:44-05:00December 10th, 2020|Quality Investing, Research Insights, Factor Investing, Guest Posts, ETF Investing|

Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]

Global Factor Performance: December 2020

By |2020-12-07T14:15:46-05:00December 7th, 2020|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

Early Female Investors, More Independent than Previously Thought?

By |2020-12-07T08:31:38-05:00December 7th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight|

Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns

By |2020-11-30T08:27:37-05:00December 3rd, 2020|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Other Insights|

Robert Novy-Marx’s 2013 paper  “ The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock returns but also helped further explain some of Warren [...]

A Short Research Library Outlining Why Traditional Stock Picking is Challenging

By |2020-12-02T18:14:39-05:00December 2nd, 2020|Factor Investing, Investor Education, Behavioral Finance|

There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible and crush every other investment approach; but stock picking can [...]

DIY Asset Allocation Weights: December 2020

By |2020-12-01T16:53:48-05:00December 2nd, 2020|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 [...]

Mutual Fund Trading When No One Is Watching: It’s Not Pretty

By |2020-11-30T14:10:08-05:00November 30th, 2020|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight|

Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version of this paper can be found hereWant to read our summaries [...]