Are stock returns predictable at different points in time?
By Tommi Johnsen, PhD|December 26th, 2023|Predicting Market Returns, Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight|
For many benchmark predictor variables, short-horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability (“pockets”) are interspersed with long periods with no return predictability.
Momentum Everywhere, Including Equity Options
By Larry Swedroe|December 22nd, 2023|Options, Factor Investing, Research Insights, Momentum Investing Research|
Option returns display momentum, meaning that firms whose options performed well in the previous 6 to 36 months are likely to see high option returns in the next month as well.
Can Machine Learning help to select mutual funds with positive alpha?
By Elisabetta Basilico, PhD, CFA|December 19th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning, Corporate Governance|
Can machine-learning methods be used to predict the performance of active mutual funds, specifically in terms of alpha net of all costs? Answer: yes.
The Temptation of Factor Timing
By Larry Swedroe|December 15th, 2023|Larry Swedroe, Factor Investing, Research Insights, Tactical Asset Allocation Research|
The timing of equity factor premiums has a strong allure for investors because academic research has found that factor premiums are both time-varying and dependent on the economic cycle.
Do Polluters Earn Higher Expected Returns? Yes.
By Tommi Johnsen, PhD|December 11th, 2023|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|
Hence, the major research question examined here is: What is the impact of industrial pollution on market pricing? Short answer: polluters have earned higher returns.
Diseconomies of Scale in Investing
By Larry Swedroe|December 8th, 2023|Liquidity Factor, Factor Investing, Research Insights, Momentum Investing Research, Active and Passive Investing|
While the research shows that fund managers are skilled, skill doesn’t translate into outperformance due to the diseconomies of scale.
Global Factor Performance: December 2023
By Wesley Gray, PhD|December 7th, 2023|Index Updates, Factor Investing, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
Untangling Behavioral Finance and the Psychology of Financial Planning
By Elisabetta Basilico, PhD, CFA|December 4th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|
The article discusses the importance of integrating psychology into the field of financial planning and highlights the need to understand and address the psychological aspects of financial decision-making and client relationships.
DIY Trend-Following Allocations: December 2023
By Ryan Kirlin|December 1st, 2023|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. No exposure to intermediate-term bonds.
After-Tax Performance of Actively Managed Funds
By Larry Swedroe|December 1st, 2023|Research Insights, Larry Swedroe, Tax Efficient Investing|
Ignoring the impact of taxes on the returns of taxable accounts is one of the biggest mistakes that can be made.