What follows is a basic discussion on our long-only Focused Value and Momentum Factor Indexes. Additional information on these Indexes, as well as our alternative and tactical indexes, are available on our Index site.[ref]free to [...]
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions Zheng Sun, Ashley W. Wang, and Lu Zheng Journal of Financial and Quantitative Analysis A version of this paper can be [...]
In this week's post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that [...]
We are creating a series of long-form educational videos that present materials often covered in our white papers. The intent of these videos is make our content more accessible to visual learners. The video below [...]
For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing,” focuses on why, [...]
In this week's post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle--while most are discounting factors in the new "Factor Zoo" world, this is definitely an interesting factor to [...]
Aggregate Investor Confidence in the Stock Market Christoph Meier Journal of Behavioral Finance, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]
In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]
The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the research questions? The barrier to entry into the factor zoo [...]
In today's video, we examine three articles from last week. The first article, written by Larry Swedroe, examines the Momentum of News. The second article, written by Wes, examines an out-of-sample test on Momentum by [...]
Distracted Institutional Investors Daniel Schmidt Journal of Financial and Quantitative Analysis, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Since the development of the capital asset pricing model (CAPM) in the 1960s, hundreds of anomalies (what John Cochrane famously called a “zoo of new factors”) have been uncovered in the cross-section of stock returns. [...]
Momentum Factor Investing in 19th Century Imperial Russia William Goetzmann and Siman HuangJFE, forthcoming.A version of this paper can be found here. What are the research questions? Momentum is often considered the "premier anomaly" because of [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. Create a free account here if you want to access the site directly. The link is here. Exposure Highlights (bold implies a month [...]
Do Short Sellers Trade on Private Information or False Information? Amiyatosh Purnanandam and H. Nejat Seyhun Journal of Financial and Quantitative Analysis A version of this paper can be found here Want to read our summaries [...]
If you are looking for an applied framework for tackling the topic of financial planning, you should read Your Complete Guide to a Successful and Secure Retirement, by Larry Swedroe and Kevin Grogan. This book [...]
Consider a market-timing strategy which supposedly predicts the direction of the stock market trend. Such a strategy generates Buy and Sell signals. A Buy signal is the signal to buy stocks, whereas a Sell signal [...]
We were honored when Lauren Davis asked if we would host the Women in ETFs event at AA Global Headquarters (i.e. my house). The event was jam packed and we had 60+ people in attendance. [...]
I recently received a question from Steve Sivak of Innovate Wealth: How do I pass the CFA Level 1 Exam? When I sat down to type my response, it turned into a lot more than I was expecting. [...]
As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]
