Research Insights

//Research Insights

Buyback Blackout Periods Do Not Negatively Impact Market Performance

By |2019-01-17T09:46:37+00:00January 18th, 2019|Research Insights, Factor Investing|

The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,[ref]Bloomberg Finance L.P., as of 10/31/2018.[/ref] left investors searching for a culprit. Some of the usual suspects were [...]

Compound Your Knowledge: Episode 1

By |2019-01-18T11:11:12+00:00January 18th, 2019|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

Welcome to the newly re-titled weekly video, Compound Your Knowledge. In today's video, we examine three posts. First, we examine a simple analysis of 2018 Factor portfolio returns. Second, we examine a guest post by [...]

Equity investing is Riskier than You Probably Expected

By |2019-01-18T11:56:43+00:00January 14th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Herding and Mutual Fund Performance

By |2019-01-07T11:14:42+00:00January 7th, 2019|Basilico and Johnsen, Academic Research Insight|

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance [...]

Why and How Investors use ESG Information

By |2019-01-02T14:15:10+00:00January 2nd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic [...]

Discipline: A Necessary Condition for Successful Investing

By |2018-12-31T11:41:58+00:00December 31st, 2018|Research Insights, Larry Swedroe, Guest Posts, Behavioral Finance|

A good friend, Sherman Doll, related the following story. Sherman has been a two-line sport kite flier for years. While not a pro, he has learned a few tricks from observing the flying behavior of [...]

Warren Buffett is Wrong About Options (Except)

By |2018-12-28T14:34:33+00:00December 28th, 2018|Research Insights, Guest Posts, Tactical Asset Allocation Research|

Warren Buffett sold long-dated, deep out of the money puts in the years leading up to the financial crisis. In his 2008 Annual Letter to Shareholders, he explained: I believe each contract we own was [...]

Is Active Alpha Enough to Cover Taxes?

By |2019-01-04T10:41:33+00:00December 26th, 2018|Research Insights, Larry Swedroe, Tax Efficient Investing|

Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to outperform is highlighted. The evidence on this failure led Charles [...]

Alpha Architect Weekly Recap: Editorials on Machine Learning

By |2018-12-21T10:24:05+00:00December 21st, 2018|Research Insights, Machine Learning, Weekly Research Recap Videos|

You can watch the video via this link: https://www.youtube.com/embed/tVwwZ1-bThI This week Ryan and I discuss two editorials on machine learning and its impact and use within Research. The first paper is an Editorial by [...]

Machine Learning Classification Methods and Factor Investing

By |2018-12-21T11:14:03+00:00December 21st, 2018|Research Insights, Machine Learning, Momentum Investing Research|

In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., when underlying reality is nonlinear with complex interactions). In this [...]

Data Science is Revolutionizing Investment Practice

By |2018-12-17T12:54:04+00:00December 18th, 2018|Basilico and Johnsen, Academic Research Insight|

Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic [...]

A Protocol to Prevent “Quants Gone Wild”

By |2018-12-18T10:16:08+00:00December 17th, 2018|Academic Research Insight, Machine Learning|

A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Alpha Architect Weekly Recap: Value Performance & ETFs’ impact on correlations & liquidity

By |2018-12-17T11:06:55+00:00December 17th, 2018|Research Insights, Weekly Research Recap Videos|

You can watch the video via the link below: https://www.youtube.com/embed/QaFK9GuUB5o This week Ryan and I discuss two posts. First, we examine a guest post by Matthew Bartolini of State Street Global Advisors, discussing the [...]

After a Lost Decade, Will Value Get its Groove back in 2019?

By |2018-12-11T09:23:32+00:00December 11th, 2018|Research Insights, Factor Investing, Value Investing Research|

Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with poor returns over the past decade, the question of whether [...]

ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities

By |2018-12-10T10:56:30+00:00December 10th, 2018|Basilico and Johnsen, Academic Research Insight|

The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of this paper can be found here Want to read our summaries [...]

Alpha Architect Weekly Recap: Trend-Following, Portfolios, and Risk Factors

By |2018-12-07T11:13:45+00:00December 7th, 2018|Research Insights|

You can watch the video via the link below:  This week Ryan and I discuss three posts. First, we examine a guest post titled, "Trend Following on Steroids," which examines ways to enhance a [...]

How to Use Trend Following within a Portfolio

By |2018-12-04T09:01:33+00:00December 4th, 2018|Research Insights, Trend Following|

A question we have been receiving recently is the following: How should I use trend following within a portfolio? Generally, the questions are related to our Global Value, Momentum, and Trend Index, which allocates to [...]

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