Research Insights

//Research Insights

Trust the Process

By | 2018-06-23T10:12:59+00:00 June 21st, 2018|Factor Investing, Trend Following, Research Insights, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

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A Smarter CAPE Ratio to Better Forecast Expected Stock Returns

By | 2018-06-18T08:33:22+00:00 June 18th, 2018|Basilico, Academic Research Insight, Research Insights, Tactical Asset Allocation Research|

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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The 52 Week High and the Q-Factor Investment Model

By | 2018-06-15T12:15:54+00:00 June 14th, 2018|Factor Investing, Research Insights, Momentum Investing Research|

In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the performance of stocks relative to their respective 52-week high (highlighted [...]

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Commodities for the Long Run

By | 2018-06-11T07:07:14+00:00 June 11th, 2018|Basilico, Academic Research Insight|

Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

The Future for Factor Investing May Be Different Than its Backtested Past

By | 2018-06-07T07:27:05+00:00 June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while [...]

Machine Learning for Financial Market Prediction — Time Series Prediction With Sklearn and Keras

By | 2018-06-05T11:45:14+00:00 June 5th, 2018|Machine Learning, Research Insights|

Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine Learning Approach." The paper presents a strategy that forecasts industry [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By | 2018-06-04T10:20:01+00:00 June 4th, 2018|Factor Investing, Basilico, Academic Research Insight, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

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Factor Regressions Problems and How to Fix Them

By | 2018-06-01T12:51:45+00:00 June 1st, 2018|Factor Investing, Research Insights, Value Investing Research|

Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, Quality, etc. Luckily, there are some great free tools available [...]

Sharpening the Arithmetic of Active Management

By | 2018-05-31T09:31:43+00:00 May 31st, 2018|Research Insights, Active and Passive Investing|

For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study after study has demonstrated that only a small portion of [...]

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Style Investing in Fixed Income

By | 2018-05-29T10:24:02+00:00 May 29th, 2018|Basilico, Academic Research Insight|

Style Investing in Fixed Income Jordan Brooks,Diogo Palhares, Scott Richardson Journal of Portfolio Management, Special Issue 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

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Investor Attention and the Low Volatility Anomaly

By | 2018-05-20T11:58:54+00:00 May 24th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]

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Technical Analysis in the Chinese Stock Market: Does it Work?

By | 2018-05-21T09:08:19+00:00 May 21st, 2018|Basilico, Academic Research Insight, Research Insights|

Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version of this paper can be found here Want to read our [...]

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Explaining the Demand for Higher Beta Stocks

By | 2018-05-17T07:52:53+00:00 May 17th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, as I’ve previously discussed, the historical evidence demonstrates that, while [...]

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 5 Cutting Edge Investment Research Articles

By | 2018-05-14T11:27:58+00:00 May 15th, 2018|Conferences, Research Insights|

This year’s annual financial research “geekfest,” officially known as the American Finance Association Annual Meeting, assembles the world’s top-tier academic researchers to discuss their latest financial research. Source: Wes's art studio and a photo [...]

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Automating Earnings Forecasts: Can a “MIDAS” touch help?

By | 2018-05-14T10:18:58+00:00 May 14th, 2018|Basilico, Academic Research Insight|

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

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Podcast: Value Investing in India and Technology

By | 2018-05-14T09:56:14+00:00 May 14th, 2018|Podcasts, Value Investing Research|

Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's Reunion Radio. Hosts Jeremy Schwartz and Wes Gray talk to [...]

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Don’t be Afraid of Commodity Futures: Understand Them.

By | 2018-05-09T13:38:35+00:00 May 10th, 2018|Research Insights, Managed Futures Research|

An often overlooked corner of the investing world is the futures market.  Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics of daily cash settlement, or new terminology and lingo [...]

Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.

By | 2018-05-07T11:02:53+00:00 May 7th, 2018|Basilico, Academic Research Insight, Research Insights|

Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev,  Felipe Ruiz and Tomas Sorensson Journal of Financial Research Studies A [...]

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Market Volatility? Hang On and Enjoy the Ride

By | 2018-05-04T13:29:44+00:00 May 4th, 2018|Research Insights, Tactical Asset Allocation Research|

As you are no doubt experiencing, stock market volatility has spiked this year with the S&P 500 dropping or rising 2% or more on eight different days. Jolts of this size didn't happen at all in [...]

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Value Investing Portfolios are Not Dead, But Some Have Done Better than Others

By | 2018-05-07T18:10:10+00:00 May 3rd, 2018|Factor Investing, Guest Posts, Value Investing Research|

Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that value is dead and may never come back. Of course, most [...]