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 [...]

Superstar Investors

By |2019-10-22T09:34:11-04:00October 23rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Superstar Investors Brooks, Tsuji and VillalonJournal 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 are the Research Questions? Many [...]

The Quality Factor—What Exactly Is It?

By |2019-10-22T07:26:53-04:00October 22nd, 2019|Quality Investing, Research Insights, Factor Investing, Low Volatility Investing|

While the quality factor has been identified in the literature (including papers such as “Buffett’s Alpha,” “Global Return Premiums on Earnings Quality, Value, and Size,” and “The Excess Returns of ‘Quality’ Stocks: A Behavioral Anomaly”), [...]

Active Share: Predictor of Future Performance or Urban Legend?

By |2019-10-10T08:59:01-04:00October 17th, 2019|Financial Planning, Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming body of academic research which has demonstrated that past performance [...]

Crowded trades, asset centrality and predicting equity bubbles

By |2019-10-14T08:55:58-04:00October 14th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Using Firm Characteristics to Enhance Momentum Strategies

By |2019-10-10T15:40:48-04:00October 10th, 2019|Research Insights, Factor Investing, Momentum Investing Research|

Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Prior [...]

An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”

By |2019-10-01T10:50:12-04:00October 8th, 2019|Research Insights, Factor Investing, Value Investing Research|

James MontierA full version of this paper can be found in this bookWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction In an earlier post we analyzed the prominent [...]

A Framework for Creating Model Portfolios

By |2019-10-07T10:07:25-04:00October 7th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Alternative Investments – A Field Manual

By |2019-09-23T09:17:00-04:00October 3rd, 2019|Financial Planning, Factor Investing, Guest Posts|

It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It's my hope that I can forewarn you of the [...]

ETFs vs Mutual Funds: Who wins? Investors. (Ryan Kirlin)

By |2019-10-01T13:15:32-04:00October 2nd, 2019|ESG, Podcasts and Video|

Here is a link to our podcast on Taylor Schulte's "Stay Wealthy" show. Without question, you have heard of Exchange Traded Funds, also commonly referred to as ETFs.It’s a complex topic so I brought in [...]

DIY Asset Allocation Weights: October 2019

By |2019-10-01T13:06:07-04:00October 1st, 2019|Index Updates, Research Insights, Tool Updates|

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 [...]

Short-Duration Stock Anomaly: Risk or Mispricing

By |2019-11-25T17:41:23-05:00October 1st, 2019|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance|

Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]

Quality: Independent attributes or a real factor?

By |2019-09-30T15:23:19-04:00September 30th, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Technological Links and Predictable Returns

By |2019-09-23T12:30:16-04:00September 23rd, 2019|Basilico and Johnsen, Academic Research Insight|

Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Do Investors Focus Too Much on Price-Only Returns?

By |2019-09-19T09:11:32-04:00September 19th, 2019|Research Insights, Investor Education, Behavioral Finance|

Reconsidering Returns Samuel M Hartzmark, David H. SolomonA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the Research Questions? The easiest [...]