Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Case Against REIT’s
Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional [...]
Book Review: Smart(er) Investing by Elisabetta and Tommi
It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta [...]
Conflict of Interest and Mutual Fund Sales
Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version [...]
The predictability of crowding on factor strategy performance
The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]
How ESG Affects Valuation, Risk, and Performance
Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio [...]
Quant Tools for Private Equity and Real Assets
The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries [...]
Is Passive Investing Better than Active Investing?A Critical Review.
The broad thrust of this paper is that Sharpe’s proposition is not water-tight upon closer examination, and certainly should not be received as gospel.
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper [...]
The market impact of rebalancing factor investing strategies
Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read [...]
Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Protecting the Downside of Trend When It Is Not Your Friend : Part 1
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Myth-busting: Fed Actions and Stock Prices
Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019A version of this paper can be found hereWant to read our summaries [...]
Are Earnings Forecasts of Sell-side Analysts Biased?
There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be [...]
Enterprise Multiples and Equity Country Allocations
And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper [...]
Dividends are Different
There has been abundant discussion regarding the utility of dividends.[ref]Here are a few examples: dividends, dividends, and more dividends…and Jon See'ds piece on buybacks, if [...]
Lowering Portfolio Risk with Corporate Social Responsability
Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries [...]
The Investment Factor and Expected Returns
Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research [...]
Investment, Expected Investment, and Expected Stock Returns
A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) [ref]Sadly this article is currently only available to clients of Dimensional [...]