Research Insights

Trend Following and Momentum Turning Points

By |September 11th, 2023|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Trend follower nerd alert: This study is important because it offers a comprehensive analysis of TS momentum strategies, its unifying framework that links performance to underlying variables, and its practical implications for investors seeking to enhance their understanding of momentum investing and improve their portfolio performance.

Implications of Regime-Shifting Stock-Bond Correlation

By |September 8th, 2023|Research Insights, Larry Swedroe, Academic Research Insight, Tactical Asset Allocation Research|

The correlation between stocks and bonds should be a critical component of any asset allocation decision, as it impacts not only the overall risk of a diversified multi-asset class portfolio but also the risk premia one should expect to receive for taking risk in different asset classes. The problem for investors is that the correlation between stocks and bonds fluctuates extensively across time and economic regimes.

Do Short-Term Factor Strategies Survive Transaction Costs?

By |September 5th, 2023|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Momentum Investing Research|

Short term return anomalies are generally dismissed in the academic literature "because they seemingly do not survive after accounting for market frictions.” In this research, short term “factors” are taken seriously and the authors argue the standard parameters may not apply for short horizons.

The Determinants of Inflation

By |August 28th, 2023|Inflation Investing, Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

The findings from this Hidden Markov Model analysis provide policymakers with valuable insights into the nature and behavior of inflation regimes. This information can inform the design and implementation of monetary, fiscal, and regulatory policies to effectively manage inflation, stabilize the economy, and promote sustainable economic growth.

The Performance of Listed Private Equity

By |August 18th, 2023|Private Equity, Research Insights, Larry Swedroe|

It is important to diversify the risks of private equity. This is best achieved by investing indirectly through a private equity fund rather than through direct investments in individual companies. Because most such funds typically limit their investments to a relatively small number, it is also prudent to diversify by investing in more than one fund. Unfortunately, the evidence we reviewed suggests that diversifying by investing in LPEs is not an effective strategy. And finally, top-notch funds are likely closed to most individual investors.

Wes Talks with Belle about Creating Your Own ETF

By |August 10th, 2023|ETF Operations, Podcasts and Video, Research Insights, Media, Tax Efficient Investing, ETF Investing|

In this episode host Belle Osvath, CFP® talks with Dr. Wesley Gray the founder of ETF Architect and Alpha Architect, about how advisors can create their own ETFs which can be used to help manage client funds and taxes. They discuss the creation process, the cost, and what type of advisory practice would benefit the most from their own ETF.

Investor demand, rating reform and equity returns

By |August 7th, 2023|Price Pressure Factor, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Active and Passive Investing|

The traditional financial theory attributes security returns to market- or factor-based risk, with no role ascribed to other influences. In this research, the authors argue for including investor demand as an additional variable in explaining returns.  Can changes in investor demand generate systematic changes in security returns?

The Quality Factor and the Low-Beta Anomaly

By |August 4th, 2023|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

The empirical evidence demonstrates that returns to the low-beta anomaly are well explained by exposure to other common factors, and it has only justified investment when low-beta stocks were in the value regime, after periods of strong market and small-cap stock performance, and when they excluded high-beta stocks that had low short interest.

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