DIY Asset Allocation Weights: December 2019

By |2019-12-02T14:37:45-05:00December 2nd, 2019|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 [...]

Myth-busting: Fed Actions and Stock Prices

By |2019-12-02T08:10:24-05:00December 2nd, 2019|Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Forbidden Knowledge: Long-Only Academic Factors are Also Cool

By |2019-11-27T09:31:15-05:00November 27th, 2019|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Are Earnings Forecasts of Sell-side Analysts Biased?

By |2019-11-25T09:22:02-05:00November 26th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources [...]

Enterprise Multiples and Equity Country Allocations

By |2019-11-25T08:08:33-05:00November 25th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

The Investor’s Podcast: Factor Investing (Jack)

By |2019-11-22T09:41:11-05:00November 22nd, 2019|Research Insights, Factor Investing, Podcasts and Video, Media|

Recently I was invited to talk with Stig and Preston on The Investor's Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: What is factor [...]

Are Value, Carry and Momentum Regime Dependent?

By |2019-11-05T08:12:33-05:00November 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is “The Death of [...]

Dividends are Different

By |2019-11-26T12:40:36-05:00November 20th, 2019|Dividends and Buybacks, Research Insights, Guest Posts, Academic Research Insight, Value Investing Research|

There has been abundant discussion regarding the utility of dividends.Here are a few examples: dividends, dividends, and more dividends...and Jon See'ds piece on buybacks, if you'd like to go down that rabbit hole. Many [...]

Lowering Portfolio Risk with Corporate Social Responsability

By |2019-11-18T08:53:57-05:00November 18th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

The Investment Factor and Expected Returns

By |2019-11-18T14:15:00-05:00November 14th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research piece that tells a different side of the story. We [...]

Investment, Expected Investment, and Expected Stock Returns

By |2019-11-11T08:57:30-05:00November 12th, 2019|Research Insights, Factor Investing, Academic Research Insight|

A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) Sadly this article is currently only available to clients of Dimensional Fund Advisers rehashes previous arguments in Fama and French [...]

Are Early Stage Investors Biased Against Women?

By |2019-11-11T07:59:16-05:00November 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Are Early Stage Investors Biased Against Women? Michael Ewens and Richard TownsendJournal 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 [...]

What Returns Should Investors Expect from Private Equity

By |2019-11-05T11:11:10-05:00November 7th, 2019|Research Insights, Larry Swedroe, Behavioral Finance|

The collapse in interest rates, combined with historically high valuations (at least for U.S. stocks), have led many endowments, pension plans (especially those with large unfunded liabilities) and high net worth investors (such as those [...]

DIY Asset Allocation Weights: November 2019

By |2019-11-04T16:58:31-05:00November 4th, 2019|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 [...]

Costs and Benefits of ESG investing

By |2019-11-04T12:40:18-05:00November 4th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Quantitative Investing: The Solution to Human Bias (Wes Gray)

By |2019-10-30T14:28:20-04:00November 1st, 2019|Factor Investing, Podcasts and Video|

Here is a link to our podcast on "Rational Reminder": Today we are joined by Wesley Gray who is the CEO of Alpha Architect, a firm in the US that specializes in concentrated factor strategies. [...]

Can Anomalies Survive Insider Disagreements

By |2019-10-29T10:17:01-04:00October 30th, 2019|Research Insights, Behavioral Finance|

What is the relationship between insider trades and anomalies? Anginer, Hoberg and SeyhunA version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Liquidity might be a better proxy for Size in equity markets

By |2019-10-28T12:35:08-04:00October 28th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]