Size, Value, Profitability, and Investment Factors in International Stocks

By |December 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Size Investing Research|

Using data on 65,000 stocks from 23 countries, they evaluated the performance of the Fama-French factors, examining the factor premia in global markets to verify their robustness across different company size categories and geographical regions. Their data sample covered the period 1987-2019.

DIY Asset Allocation Weights: December 2021

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

Current Exposures:

  • Full exposure to domestic equities.
  • Half exposure to international equities.
  • Full exposure to REITs.
  • Full exposure to commodities.
  • Half exposure to intermediate-term bonds.

Can Prospect Theory Explain the Value and Momentum Factors?

By |November 29th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Today we summarize an investigation into the usefulness of Prospect Theory and Narrow Framing to evaluate whether a new model can help explain 22 prominent market anomalies.

Should We Never Invest in Individual Stocks?

By |November 26th, 2021|Research Insights, Guest Posts, Academic Research Insight, Behavioral Finance|

Due to the surprising headline that treasury bills seemingly outperform stocks, practitioners are starting to ask: Should I invest in individual stocks?

The Value of the Value Factor: Cheaper now than a year ago?

By |November 23rd, 2021|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures.

Chasing Low Beta Loses Alpha

By |November 19th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. Over the last 50 years, the most “defensive” (low-volatility or low-beta, low-risk) stocks have delivered both higher returns and higher risk-adjusted returns than the most “aggressive” (high-volatility, high-risk) stocks.

How to Start an ETF? Resources and FAQ

By |November 16th, 2021|ETF Operations, Research Insights, Key Research, Tax Efficient Investing, ETF Investing|

We get the following question at least 1x a day: "How do I start an ETF? Because we have so many requests for information on the topic of "How to Start an ETF?", Wes asked that I compile a list of materials on the topic and a "FAQ" to address all of your burning questions.

Do Financial Advisors Transmit their Biases to Clients? Yes.

By |November 15th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|

Are there similarities in the trading behavior of financial advisors and their clients? Are fees paid by advisors and clients similar too? Are advisers overconfident in their skill at identifying active managers and in their ability to outperform passive investments?

Factor Investing Deep Dive with Jack Vogel

By |November 12th, 2021|Factor Investing, Podcasts and Video, Value Investing Research, Momentum Investing Research|

Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions

The Vanishing Illiquidity Premium

By |November 11th, 2021|Crisis Alpha, Liquidity Factor, Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Liquidity—the ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concession—is valuable to investors. Therefore, they demand a premium as compensation for the greater [...]

How Crazy is the Current Market? Not that Crazy.

By |November 10th, 2021|Research Insights, Behavioral Finance|

Eric Balchunas had a recent tweet that I found fascinating. Eric's tweet merely captures the tip of the iceberg with respect to the current market environment, which certainly feels "bubbly."But who knows. If my allocations [...]

The Momentum Factor is Driven by Behavioral Bias, Not Risk

By |November 9th, 2021|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance, Momentum Investing Research|

Momentum, Reversals, and Investor Clientele Andy Chui, Avanidhar Subrahmanyam, and Sheridan TitmanReview of Financial Studies, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Global Factor Performance: November 2021

By |November 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

US Funds Have Surprisingly Large International Exposure

By |November 8th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight|

How Global is Your Mutual Fund? International Diversification from Multinationals Irem Demirci, Miguel A. Ferreira, Pedro Matos, and Clemens SialmReview of Financial Studies, 2021A version of this paper can be found hereWant to read our summaries [...]

Using Machine Learning to Predict Options Returns

By |November 4th, 2021|Options, Research Insights, Guest Posts, Academic Research Insight, Machine Learning|

Option Return Predictability with Machine Learning and Big Data Bali, Beckmeyer, Moerke, WeigertA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

DIY Asset Allocation Weights: November 2021

By |November 2nd, 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 [...]

Fee Disclosures Can Improve Investor Decision-Making

By |November 1st, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|

Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations Kronlund, Pool, Sialm and StefanescuJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of [...]

What percentage of CFO/CAOs are Women?

By |October 29th, 2021|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight|

In this original research, Elisabetta and I study data across 29 global markets and provide empirical data on the following question: What percentage of CFO and CAO roles do women fill in the global marketplace? [...]

Do factors have a role in asset allocation?

By |October 26th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

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