Research Insights

//Research Insights

Bond Investing: Reach for Safety

By | 2018-04-17T10:58:39+00:00 April 17th, 2018|Factor Investing, Academic Research Insight, Research Insights|

Yield. Within almost any asset class, investors want to know, what is the "yield" on the investment? For some investors, this is the most important and only screen used when sorting funds. Mutual fund companies [...]

What the CFOs Think About the Equity Premium in 2018

By | 2018-04-12T14:09:12+00:00 April 11th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered this research here, here, and here, if interested). In their [...]

Systematic Investment Strategies are Hot. But What Happens Next?

By | 2018-04-09T11:21:12+00:00 April 9th, 2018|Basilico, Academic Research Insight, Research Insights|

Systematic Investment Strategies Daniel Giamouridis (Co-editor of FAJ) 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 category [...]

Timing Country Exposure with Value: A Valuation Measure Horserace

By | 2018-04-03T11:31:00+00:00 April 3rd, 2018|Academic Research Insight, Research Insights, Value Investing Research|

Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, "buying cheap" stocks was a good idea (i.e., the so-called "value" premium). But [...]

How to Perform Investment Sentiment Analysis on Twitter

By | 2018-04-02T10:51:46+00:00 April 2nd, 2018|Basilico, Academic Research Insight|

Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version of this paper can be found here Want to read our [...]

Investing in IPOs? Look at IPOs from Firms with More SEC Comment Letters

By | 2018-03-25T18:02:58+00:00 March 26th, 2018|Basilico, Academic Research Insight, Research Insights|

The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version of this paper can be found here Want to read our [...]

Democratize Quant 2018 Recap and Educational Materials

By | 2018-03-25T19:32:15+00:00 March 25th, 2018|Conferences, Research Insights, Investor Education|

This past week we had the honor of hosting the first annual "Democratize Quant Conference" with our friends at Villanova University (a link to the conference site). Despite Mother Nature's best attempts to kill our [...]

Momentum Everywhere, Including in Factors

By | 2018-03-23T14:26:32+00:00 March 22nd, 2018|Factor Investing, Research Insights, Momentum Investing Research|

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark [...]

Stock Buybacks are Bad? What About the Alternative — Investment

By | 2018-03-19T12:53:29+00:00 March 20th, 2018|Research Insights, Corporate Governance|

Recently there has been a fairly active discussion within the financial media on the topic of stock buybacks, or share repurchases. This is probably due to the recent tax reform, which has caused many to [...]

STEM Parents and Women in Finance

By | 2018-03-19T09:56:36+00:00 March 19th, 2018|Basilico, Academic Research Insight|

STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Is The US Stock Market Overvalued? Depends on which Model You ask

By | 2018-03-16T07:48:23+00:00 March 15th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock [...]

Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?

By | 2018-03-13T07:34:57+00:00 March 14th, 2018|Research Insights, Value Investing Research, $SPY|

Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and internal discussions is several books and hundreds of blog posts [...]

Comments Off on Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?

Worried about extreme down markets? Consider formal portfolio risk models.

By | 2018-03-12T11:06:14+00:00 March 12th, 2018|Basilico, Academic Research Insight, Research Insights|

Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be found here. Want to read our summaries of academic finance papers? [...]

Are Long/Short Equity Strategies Worth the Fees?

By | 2018-03-09T12:08:10+00:00 March 7th, 2018|Factor Investing, Research Insights, Active and Passive Investing|

High net worth individuals, university endowments, and public pension funds have heavily invested in long/short equity hedge funds. But is the long/short equity asset class benefiting investors? The pitfalls of expensive financial products are well [...]

Macroeconomic factors and Tactical Asset Allocation

By | 2018-03-05T09:33:55+00:00 March 5th, 2018|Basilico, Academic Research Insight|

Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries [...]

Are Factors Better and More Diversifying Than Asset Classes?

By | 2018-02-23T11:06:14+00:00 February 23rd, 2018|Factor Investing, Trend Following, Guest Posts, Low Volatility Investing|

Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low correlation to existing holdings. Historically, pure factor exposures have earned [...]

Explaining the Value Effect in Emerging Markets

By | 2018-02-21T07:36:22+00:00 February 21st, 2018|Academic Research Insight, Research Insights, Value Investing Research|

Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]

How to Evaluate Multi-Asset Strategies

By | 2018-02-20T11:52:40+00:00 February 20th, 2018|Basilico, Academic Research Insight|

Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]