Do Analysts Exploit Factor Anomalies when recommending stocks?
By Tommi Johnsen, PhD|November 9th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|
Security Analysts and Capital Market Anomalies Li Guo, Frank Weikai [...]
Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?
By Larry Swedroe|November 5th, 2020|Factor Investing, Research Insights, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|
In virtually all studies on asset pricing and asset pricing [...]
DIY Asset Allocation Weights: November 2020
By Ryan Kirlin|November 3rd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation [...]
How Do You Think the Global Market Portfolio Has Performed from 1960-2017?
By Wesley Gray, PhD|November 2nd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, Macroeconomics Research|
Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam [...]
Combining Value and Profitability Factors to Improve Performance
By Larry Swedroe|October 29th, 2020|Larry Swedroe, Factor Investing, Research Insights, Academic Research Insight, Value Investing Research|
Prior Research on Value and Profitability Factors The 1997 publication [...]
Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?
By Tommi Johnsen, PhD|October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|
On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. [...]
Building Factor Portfolios Based with the Lowest Correlations
By Nicolas Rabener|October 22nd, 2020|Skewness, Factor Investing, Research Insights, Guest Posts|
INTRODUCTION The two basic rules of asset allocation are: i) [...]
Can A Computer Read Employee Emails and Detect Fraud?
By Wesley Gray, PhD|October 19th, 2020|Research Insights, Basilico and Johnsen, Investment Advisor Education, Academic Research Insight, AI and Machine Learning|
Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails [...]
Equity Trend Following Performance Around the Globe
By Larry Swedroe|October 15th, 2020|Larry Swedroe, Factor Investing, Research Insights, Trend Following, Academic Research Insight, Other Insights|
Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also [...]
News and its Impact on Risk and Returns Around the World
By Wesley Gray, PhD|October 12th, 2020|Research Insights, AI and Machine Learning, Macroeconomics Research|
How news and its context drive risk and returns around [...]