Band of Brothers Attacking Short Sellers: Game Stop for Hedge Funds
By Larry Swedroe|February 9th, 2024|Price Pressure Factor, Liquidity Factor, Research Insights, Larry Swedroe, Other Insights, Behavioral Finance|
Advisors and investors should be aware that fund families that invest systematically have found ways to incorporate the research findings on the limits to arbitrage and the evolving changes we have discussed to improve returns over those of a pure index replication strategy. It seems likely this will become increasingly important, as the markets have become less liquid, increasing the limits to arbitrage and allowing for more overpricing.
Global Factor Performance: February 2024
By Wesley Gray, PhD|February 6th, 2024|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|
The following factor performance modules have been updated on our Index website.
Professional Athletes and Money Skills
By Tommi Johnsen, PhD|February 5th, 2024|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|
Until that framework is defined, an assessment of the financial acumen of professional athletes will remain unfocused. This research addresses that gap.
Trend to Passive Investing Negatively Affecting Active Funds
By Larry Swedroe|February 2nd, 2024|Research Insights, Larry Swedroe, Guest Posts, Other Insights, Active and Passive Investing|
While the evidence makes clear that active management is a loser’s game (one that it is possible to win but so unlikely you should not try), we don’t want active managers to disappear. Hope should continue to triumph over evidence, wisdom, and experience because active managers help eliminate market anomalies and inefficiencies created by the misbehavior of investors (such as noise traders). That helps to ensure that capital is allocated efficiently.
DIY Trend-Following Allocations: February 2024
By Ryan Kirlin|February 1st, 2024|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
The Smart Money Can Buy Stocks, but They Can’t Sell Them
By Elisabetta Basilico, PhD, CFA|January 29th, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|
The paper aims to investigate whether experienced institutional portfolio managers (PMs) exhibit behavioral biases in their decision-making processes, specifically focusing on the selling decisions.
Moving Average Distance and Time-Series Momentum
By Larry Swedroe|January 26th, 2024|Larry Swedroe, Factor Investing, Research Insights, Trend Following, Momentum Investing Research|
For investors that use trend-following strategies, Avramov, Kaplanski, and Subrhmanyam provided new evidence supporting momentum strategies and showed that the distance between short- and longer-term momentum signals provides additional explanatory power in the cross-section of equity returns.
Here are the themes found in financial planning research. What’s missing?
By Tommi Johnsen, PhD|January 22nd, 2024|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|
In this academic article, the authors pull together an analysis of the types of thematic structures found most often in financial planning studies as well as the theories most often referenced.
Outperforming Cap- (Value-) Weighted and Equal-Weighted Portfolios
By Larry Swedroe|January 19th, 2024|Larry Swedroe, Factor Investing, Research Insights, Other Insights, Momentum Investing Research, Size Investing Research|
Antonello Cirulli and Patrick Walker, authors of the December 2023 study “Outperforming Equal Weighting,” examined whether equally weighted portfolios could be enhanced by avoiding negative exposure to some of the most prominent factor anomalies documented in asset pricing literature.
Financial Literacy in the US…Doesn’t look great!
By Elisabetta Basilico, PhD, CFA|January 17th, 2024|Intangibles, Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|
This paper aims to analyze financial literacy in the United States, utilizing the most recent data from the National Financial Capability Study (NFCS) collected in 2021 by the Financial Industry Regulatory Authority (FINRA) Investor Education Foundation. The paper focuses on the importance of financial literacy, particularly in the context of the economic conditions in the US, such as the COVID-19 pandemic, inflation, and changes in the financial system.