Research Insights

/Research Insights

Academic Research Insight: Does Past Performance Matter in Investment Manager Selection?

By | 2017-09-26T10:02:40+00:00 September 26th, 2017|Basilico, Academic Research Insight|

Title: DOES PAST PERFORMANCE MATTER IN INVESTMENT MANAGER SELECTION? Authors: BRADFORD CORNELL, JASON HSU, and DAVID NANIGIAN Publication: JOURNAL OF PORTFOLIO MANAGEMENT,  SUMMER 2017 (paper ) What are the research questions? The authors study the universe of the [...]

Factor Timing Investigation: Interest Rates, Value Spreads, and Factor Premiums

By | 2017-09-22T09:34:38+00:00 September 22nd, 2017|Factor Investing, Larry Swedroe, Research Insights, Guest Posts|

Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, [...]

Academic Research Insight: Does Gender Matter on Wall Street?

By | 2017-09-19T13:37:21+00:00 September 18th, 2017|Basilico, Academic Research Insight|

Title: GENDER AND CONNECTIONS AMONG WALL STREET ANALYSTS Authors: LILY FANG AND STERLING HUANG Publication: THE REVIEW OF FINANCIAL STUDIES, V.30, SEPTEMBER 2017 (version here) What are the research questions? By studying a sample of Wall Street analysts [...]

Ben Graham on Passive Investing

By | 2017-09-14T07:26:08+00:00 September 14th, 2017|Research Insights, Value Investing Research|

The passive investing revolution is truly upon us. Ever since 1975, when Jack Bogle introduced the first index mutual fund, passive indexing has marched on relentlessly. Jack Bogle is everywhere. He was on TV this [...]

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What Happens When you Data Mine 2 million Fundamental Quant Strategies

By | 2017-09-13T11:37:57+00:00 September 13th, 2017|Factor Investing, Academic Research Insight, Research Insights|

As we have mentioned before, here, here and here, there is overwhelming evidence that the number of stock anomalies in the universe is much lower than originally thought. Most of the previous research papers attempt to [...]

Support Academic Research by Filling Out The Financial Analysts Survey

By | 2017-09-11T18:00:00+00:00 September 12th, 2017|Research Insights|

Prof. Richard Price, an old friend, co-author, and Alpha Architect advisory board member, is working on some cool new co-authored research that requires audience participation! Dr. Price, alongside Professors Dipankar Ghosh, and  Atul Rai, are [...]

Academic Research Insight: Do Dividends Still Matter?

By | 2017-09-10T18:38:19+00:00 September 11th, 2017|Basilico, Research Insights|

Title:  WHAT DIFFERENCE DO DIVIDENDS MAKE? Authors: C. Mitchell Conover, CFA, CIPM, Gerald R. Jensen, CFA and Marc W. Simpson, CFA Publication: Financial Analysts Journal, Volume 72, Number 6, 2016 (version here) What are the [...]

How ETF Trading Works: A Deep Dive Into ETF Market Making

By | 2017-09-06T10:24:19+00:00 September 6th, 2017|Research Insights, ETF Investing|

Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use ETFs as trading vehicles. Either way, ETF assets continue to [...]

Trend-Following with Valeriy Zakamulin: Trading the S&P 500 Index (Part 7)

By | 2017-09-01T08:02:37+00:00 September 1st, 2017|Trend Following, Trend-Following Course, Introduction Course|

The Standard and Poor's (S&P) 500 index is a value-weighted stock index based on the market capitalizations of 500 large companies in the US. This index was introduced in 1957 and intended to be a [...]

Short Term Momentum and Long Term Reversals Can Coexist

By | 2017-08-28T10:27:32+00:00 August 30th, 2017|Factor Investing, Larry Swedroe, Research Insights, Other Insights, Momentum Investing Research|

In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns to buying winners and selling losers in the U.S. equity [...]

Academic Research Insight: Global Equities and Overreaction

By | 2017-08-28T09:45:47+00:00 August 28th, 2017|Basilico, Academic Research Insight, Research Insights|

Title: OVERREACTION AND THE CROSS-SECTION OF RETURNS: INTERNATIONAL EVIDENCE Authors: Douglas W. Blackburn, Nusret Cakici Publication: Journal of Empirical Finance 42 (2017) 1-14  https://ssrn.com/abstract=2800188 What are the research questions? Is there a consistent and reliable [...]

Portfolio Allocations using Enterprise Multiples (and others)

By | 2017-08-19T13:44:34+00:00 August 22nd, 2017|Factor Investing, Value Investing Research|

A common question asked in the factor investing field is the following -- "how much of the model's performance is driven by sector allocations, and how much is driven by security selection?" Our answer is to simply buy Value stocks or Momentum stocks, regardless of sector constraints. Why? Well a nice anecdote (but not data) is that investing in "cheap" technology stocks was not a great idea in the internet bubble crash.

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Academic Research Insight: Abusing ETFs

By | 2017-08-21T11:08:06+00:00 August 21st, 2017|Basilico, Academic Research Insight|

Title: ABUSING ETFs Authors: UTPAL BHATTACHARYA, BENJAMIN LOOS, STEFFEN MEYER, ANDREAS HACKETAL Publication: REVIEW OF FINANCE, VOL.21, 2017 (version here) What are the research questions? By studying the trading data (provided by a German brokerage [...]

Academic Research Insight: Can Bond Portfolios Be “Factorized”?

By | 2017-08-18T17:11:05+00:00 August 14th, 2017|Factor Investing, Basilico, Research Insights|

Title: Factor Investing in the Bond Market Authors: Patrick Houweling and Jeroen van Zundert Publication: Financial Analysts Journal, Vol. 3 No. 2, 2017 (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322) What are the research questions? Can the concepts contained in equity [...]

Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4)

By | 2017-08-18T16:54:23+00:00 August 13th, 2017|Trend Following, Trend-Following Course, Guest Posts, Investor Education, Introduction Course|

In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there [...]

Diversification Benefits of Time Series Momentum

By | 2017-08-18T17:06:44+00:00 August 10th, 2017|Trend Following, Larry Swedroe, Research Insights|

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Volatility Premium, Covered Call Selling, and Knowing What You Own

By | 2017-08-18T16:52:54+00:00 August 8th, 2017|Research Insights, Guest Posts|

The folks at AQR are top-notch researchers and have written a ton of great papers. Some of their more famous papers are the following: Value and Momentum Everywhere A Century of Evidence on Trend Following [...]

Academic Research Insight: Diagonal Models versus 1/N Diversification

By | 2017-08-18T17:11:04+00:00 August 7th, 2017|Academic Research Insight|

Title: MITIGATING ESTIMATION RISK IN ASSET ALLOCATION: DIAGONAL MODELS VERSUS 1/N DIVERSIFICATION Authors:       CHRIS STIVERS, LICHENG SUN Publication: THE FINANCIAL REVIEW,  2016 (version here) What are the research questions? In spite of several efforts by researchers [...]

Academic Research Insight: Digging into ETF Trading Spreads

By | 2017-08-18T17:11:03+00:00 July 31st, 2017|Basilico, Academic Research Insight|

Title: INEFFICIENCIES IN THE PRICING OF EXCHANGE TRADED FUNDS Authors:        ANTTI PETAJISTO Publication: FINANCIAL ANALYST JOURNAL, I Q 2017  (version here) What are the research questions? The article provides new empirical evidence on the state of market efficiencies in [...]