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Pandemics and Factor Investing: A Glimpse into the Past

By |2020-04-03T12:17:29-04:00April 3rd, 2020|Research Insights, Factor Investing, Academic Research Insight|

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 [...]

Volatility Expectations and Returns

By |2020-04-03T12:20:42-04:00April 2nd, 2020|Volatility (e.g., VIX), Research Insights|

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 [...]

DIY Asset Allocation Weights: April 2020

By |2020-04-01T09:53:44-04:00April 1st, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

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 [...]

An Empirical Challenge for Trend-Following

By |2020-03-30T10:40:00-04:00March 30th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Tactical Asset Allocation Research|

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 [...]

Compound Your Knowledge Ep 27: Value, Momentum, and Low Volatility

By |2020-03-30T10:15:05-04:00March 30th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Value Investing Research, Momentum Investing Research|

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 [...]

Compound Your Knowledge Ep 26: Bond Mutual Funds and ETFs

By |2020-03-26T18:42:35-04:00March 26th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Fixed Income|

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

By |2020-03-26T12:24:35-04:00March 26th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

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 [...]

Is There Something Wrong with the Value Premium?

By |2020-03-24T12:13:15-04:00March 24th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

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: Part 1/2

By |2020-03-17T08:19:27-04:00March 17th, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 [...]

Compound Your Knowledge Ep 25: Big vs. Small firms, and the case against REITs

By |2020-03-16T12:13:26-04:00March 16th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

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 [...]

Low Volatility-Momentum Versus Value-Momentum Factor Portfolios

By |2020-03-13T11:40:42-04:00March 13th, 2020|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Boring versus Cheap Winners

Do Insider Trades Provide Insights into Future Returns?

By |2020-03-09T09:57:42-04:00March 11th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

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 [...]

What to Do When Alpha Becomes Beta

By |2020-03-11T12:39:02-04:00March 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

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 [...]

Compound Your Knowledge Ep 24: Enterprise Multiples, Asset Allocation & Factor Models

By |2020-03-09T09:17:11-04:00March 9th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

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 [...]

The Gap Between Large and Small Companies is Growing. Why?

By |2020-03-02T07:40:38-05:00March 5th, 2020|Research Insights, Larry Swedroe, Size Investing Research|

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 [...]

DIY Asset Allocation Weights: March 2020

By |2020-03-02T14:09:15-05:00March 2nd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

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 [...]

How do Institutional Investors approach Climate Risks?

By |2020-03-02T07:47:30-05:00March 2nd, 2020|ESG, Research Insights, Basilico and Johnsen|

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? [...]

Compound Your Knowledge Ep 23: Value, the ETF Rule & Free Trading

By |2020-03-02T09:44:38-05:00March 2nd, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media|

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 [...]

Smart Money Indicator Rebuttal

By |2020-02-28T12:19:55-05:00February 28th, 2020|Research Insights, Trend Following, Tactical Asset Allocation Research|

In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the subject that summarized the results of a paper introducing my [...]