Equity Trend Following Performance Around the Globe
By Larry Swedroe|October 15th, 2020|Research Insights, Larry Swedroe, Factor Investing, 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 [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
By Mikhail Subbotin|October 8th, 2020|Factor Investing, Research Insights, Academic Research Insight, Guest Posts, Value Investing Research|
Introduction This project builds on research conducted by J. Piotroski, [...]
Institutional Investment Strategies: Keep it Simple
By Tommi Johnsen, PhD|October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|
Institutional Investment Strategy and Manager Choice: A Critique Richard M. [...]
DIY Asset Allocation Weights: October 2020
By Ryan Kirlin|October 2nd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation [...]
Lottery Preferences and Their Relationship with Factor Investing
By Larry Swedroe|October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|
Among the assumptions in the first formal asset pricing model, [...]
ETFs and Mutual Funds Should Pay More Attention to Their Investor Base
By Wesley Gray, PhD|September 28th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|
Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, [...]
How To Design Machine Learning Models – A Market Timing Example
By Jin Won Choi|September 24th, 2020|Factor Investing, Research Insights, Guest Posts, AI and Machine Learning, Tactical Asset Allocation Research|
We at ENJINE are big believers in the potential of [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?
By Tommi Johnsen, PhD|September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|
Intangible Capital and the Value Factor: Has Your Value Definition [...]
Accruals and Momentum and Their Implications for Factor Investors
By Larry Swedroe|September 17th, 2020|Larry Swedroe, Factor Investing, Research Insights, Other Insights, Momentum Investing Research|
The price momentum and accruals (the difference between accounting earnings [...]