Research Insights

//Research Insights

Does Leverage Explain the Investment Premium?

By |2019-06-10T14:46:53-04:00June 13th, 2019|Research Insights, Factor Investing, Larry Swedroe, Other Insights|

Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, Kewei Hou, Chen Xue and Lu Zhang, authors of the [...]

Value Factor Valuations Over Time: US and Developed

By |2019-06-11T16:15:39-04:00June 11th, 2019|Research Insights, Factor Investing, Value Investing Research|

We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool maps out the median valuations for the top decile and [...]

The Cross-Section of Emerging Market Stock Returns

By |2019-06-10T11:41:48-04:00June 11th, 2019|Research Insights, Value Investing Research, Momentum Investing Research|

Matthias x. Hanauer, Jochim G. LauterbachA 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? As a non-academic finance [...]

Compound Your Knowledge Ep. 15: Factor Momentum, Value, Equity Comp, & Commodity Skewness

By |2019-06-11T09:06:35-04:00June 11th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's post, I discuss four papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the momentum of (L/S) factors. The second article, written by Larry [...]

Passive Sustainable Funds

By |2019-06-10T07:41:26-04:00June 10th, 2019|ESG, Basilico and Johnsen, Academic Research Insight|

Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

Equity Compensation Planning in a TCJA World

By |2019-06-04T09:35:19-04:00June 6th, 2019|Financial Planning, Research Insights, Guest Posts, Tax Efficient Investing|

Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a search for the best approach to managing your equity opens [...]

The Re-Death of Value, or Déjà Vu All Over?

By |2019-06-12T17:10:17-04:00June 4th, 2019|Research Insights, Guest Posts, Value Investing Research|

The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to conclude that value investing is dead. From 2009 through March [...]

DIY Asset Allocation Weights: June 2019

By |2019-06-04T08:53:17-04:00June 4th, 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 [...]

Is factor momentum really everywhere?

By |2019-06-03T11:16:20-04:00June 3rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Factor Momentum Everywhere Tarun Gupta  and Bryan KellyJournal of Portfolio ManagementA 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 [...]

Compound Your Knowledge Ep. 14: Sentiment and Bonds, Volatility, & ESG

By |2019-06-03T07:38:13-04:00June 3rd, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media, Low Volatility Investing|

In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using [...]

News Sentiment and Bonds

By |2019-05-28T13:25:20-04:00May 28th, 2019|Basilico and Johnsen, Academic Research Insight, Fixed Income|

Investing in US 10-year Yields with News Sentiment Nina Gotthelf and Matthias W. UhlJournal of Investing, Winter 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Volatility Targeting Improves Risk-Adjusted Returns

By |2019-05-21T13:18:18-04:00May 22nd, 2019|Research Insights, Larry Swedroe, Other Insights, Low Volatility Investing, Tactical Asset Allocation Research|

There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates that, while past returns do not predict future returns, past [...]

Compound Your Knowledge Ep. 13: Opp. Zone Investments, Hiring Losers, & Short Selling w/Insider Buying

By |2019-05-21T15:11:55-04:00May 21st, 2019|Compound Your Knowledge, Research Insights, Media, Tax Efficient Investing|

In this week's video, we examine three articles. The first article, written by Adam Tkaczuk, covers a method to make an opportunity zone (equity) investment behave more like a bond. The second article, written by Larry [...]

Volatility Anomalies: IVOL and Vol-of-Vol

By |2019-05-21T11:53:51-04:00May 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected [...]

Things to Consider for ESG Portfolio Construction

By |2019-05-20T10:46:26-04:00May 20th, 2019|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Structuring Lower Risk Opportunity Zone Investments

By |2019-05-15T10:46:48-04:00May 16th, 2019|Financial Planning, Research Insights, Guest Posts, Tax Efficient Investing|

The tax benefits of the new Opportunity Zone program are potentially phenomenal. However, when you dig into the details of the program you quickly realize that many of the investment options are typically higher-risk and [...]

The Folly of Hiring Winners and Firing Losers

By |2019-05-13T11:43:51-04:00May 14th, 2019|Research Insights, Behavioral Finance|

One of the mistakes that prevent investors from achieving their goals is that when it comes to evaluating investments and investment strategies most think that three years is a long time, five years a very [...]

Compound Your Knowledge Ep. 12: Tax-Managed Strategies & Stocks Above 10x Sales

By |2019-05-13T11:55:44-04:00May 13th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines the performance of systematically purchasing stocks trading above 10x their [...]

Short Selling + Insider Selling = Profitable Strategy?

By |2019-05-13T09:51:38-04:00May 13th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul, and Kainan WangJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

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