How Did the FTX collapse Affect Traditional Assets?
By Tommi Johnsen, PhD|April 4th, 2023|Crypto, Research Insights, Basilico and Johnsen, Academic Research Insight|
In this study, the impact of the FTX collapse and bankruptcy is investigated across global financial markets.
DIY Trend-Following Allocations: April 2023
By Ryan Kirlin|April 3rd, 2023|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Is a Naive 1/N Diversification Strategy Efficient?
By Larry Swedroe|March 31st, 2023|Research Insights, Larry Swedroe, Tactical Asset Allocation Research|
A simple 1/N factor diversification strategy will likely be at least as efficient as more “sophisticated” versions.
Call for speakers: Need quants with good ideas
By Wesley Gray, PhD|March 28th, 2023|Research Insights, Conferences|
This is an opportunity to get an all-expense paid trip (plus a stipend) to visit Australia! I'm sure one of our readers is qualified to deliver an excellent discussion for my friends in Melbourne.
Institutional Investors’ Impact on Factor Premiums
By Larry Swedroe|March 24th, 2023|Larry Swedroe, Factor Investing, Research Insights|
For anomalies that are risk-based, that is what we should expect to see because, while risk cannot be arbitraged away, cash flows can reduce the size of the premium. For the anomalies that are behavioral based, it appears that limits to arbitrage are still sufficient to allow them to persist post-publication.
Comparing past and present inflation rates can be tricky
By Tommi Johnsen, PhD|March 20th, 2023|Inflation Investing, Research Insights, Basilico and Johnsen, Academic Research Insight|
The objective of this article is to build better estimates of CPI headline and core inflation values so inflation comparisons over time are more reliable. The run-up in inflation we are currently experiencing is difficult to contextualize because it is inconsistent with past practices, weights on expenditures have changed, and the treatment of housing costs.
Research and Development, Expected Profitability, and Expected Returns
By Larry Swedroe|March 17th, 2023|Intangibles, Research Insights, Larry Swedroe, Factor Investing|
Regardless of the model used, an anomaly for all models is that the empirical evidence demonstrates that stocks with high research and development (R&D) expenses have delivered a premium.
Artificial Intelligence: the Past, the Present and the Future
By Elisabetta Basilico, PhD, CFA|March 13th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning|
This article examines the state of Artificial Intelligence (AI). We examine its history with an eye toward what it may mean for the world in years to come.
Are Short Covering Trades Informative?
By Larry Swedroe|March 10th, 2023|Larry Swedroe, Factor Investing, Research Insights|
The importance of the role played by short sellers has received increasing academic attention in recent years. Short sellers help keep market prices efficient by preventing overpricing and the formation of price bubbles in financial markets. Market efficiency is important because an efficient market allocates capital efficiently. If short sellers were inhibited from expressing their views on valuations, securities prices could become overvalued and excess capital would be allocated to those firms.
Compression: Can the Value Spread Expand Forever?
By Ryan Kirlin|March 9th, 2023|Factor Investing, Research Insights, Value Investing Research|
We believe owning deep-value stocks is potentially interesting at these valuation peaks. But as I said in the previous two times I wrote this, the spread can get more extreme. At some point, we'd like to stop talking about the valuation spread and its potential effect on forward expected returns...and see that spread COMPRESS!