Given the recent market decline, we thought it would be helpful to review some of our blog posts from the past that may be relevant to the current crisis atmosphere. These posts focus on research [...]
Equity Styles and the Spanish Flu Guido Baltussen, Pim van VlietA 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 [...]
A large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, demonstrates that while past returns do not predict future returns, past volatility largely [...]
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 [...]
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Time Series Momentum: Is it There? Dashan Huang [...]
In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over the past two years ( highlighting great research by the [...]
Last week, there were some pretty big dislocations between bond mutual funds and ETFs. I picked one specific example I found interesting, comparing the Vanguard high-yield muni bond mutual fund to two high-yield muni bond [...]
Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Editor's Note: This is not a quantitative finance post and is an editorial piece by Jack Vogel on a topic in which he has a lot of passion. Feel free to skip this article if [...]
The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly possible that what economists call a “regime change” could cause [...]
The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]
In this week's video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs. Article Links: The Gap Between Large and Small Companies [...]
Boring versus Cheap Winners
The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several blog posts just a few of which are here and [...]
Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]
In this week's video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation). Article Links: Why Do Enterprise Multiples Predict Expected Stock Returns?Asset [...]
In my role as chief research officer for the Buckingham Family of Financial Services, I receive many questions from investors and advisors alike, asking me to address concerns they have that originate from articles they [...]
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 [...]
The Importance of Climate Risks for Institutional Investors Philipp Krueger, Zacharias Sautner, and Laura T. Starks Review of Financial StudiesA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]
In this week's post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and commission-free trading. Article Links: The Massive Performance Divergence [...]
