Factor Investing

///Factor Investing

Is There a Size Effect in the Stock Market?

By |2019-02-11T14:13:45+00:00February 14th, 2019|Research Insights, Factor Investing, Size Investing Research|

One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in the WSJ.[/ref] Warren Buffett, speaking at the 2013 Berkshire Hathaway [...]

Compound Your Knowledge: Episode 3–Factor Failure, China, EBITDA

By |2019-02-11T13:29:00+00:00February 1st, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In today's video, we examine three posts. First, we examine Larry Swedroe's rebuttal to the "failure" of factor investing. Second, we examine a paper examining the performance of the Size and Value factors in China. [...]

“The Failure of Factor Investing was Predictable”

By |2019-02-04T13:02:58+00:00January 28th, 2019|Research Insights, Factor Investing, Larry Swedroe|

In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed miserably”— called for examination of the facts. But first, a [...]

Compound Your Knowledge: Episode 2–ESOPs, Factors, Incentives

By |2019-01-25T11:51:22+00:00January 25th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media, 1042 QRP Solutions|

In today's video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over [...]

Value, Momentum & Carry Across Asset Classes

By |2019-01-24T16:25:43+00:00January 25th, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, [...]

Buyback Blackout Periods Do Not Negatively Impact Market Performance

By |2019-01-17T09:46:37+00:00January 18th, 2019|Research Insights, Factor Investing|

The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,[ref]Bloomberg Finance L.P., as of 10/31/2018.[/ref] left investors searching for a culprit. Some of the usual suspects were [...]

After a Lost Decade, Will Value Get its Groove back in 2019?

By |2018-12-11T09:23:32+00:00December 11th, 2018|Research Insights, Factor Investing, Value Investing Research|

Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with poor returns over the past decade, the question of whether [...]

Measuring Factor Exposures: Uses and Abuses

By |2018-12-03T11:15:12+00:00December 3rd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Factor Investing Fact Check: Are Value and Momentum Dead?

By |2018-11-15T16:13:03+00:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset classes. It doesn't matter whether you look at the other [...]

Cybersecurity for Financial Advisors (Pat and Brandon)

By |2018-11-01T08:19:23+00:00November 1st, 2018|Factor Investing, Podcasts and Video|

Here is a link to our podcast on Behind the Markets: In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha Architect brings on cybersecurity experts to discuss breaches and the [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

The Profitability Factor: International Evidence

By |2018-10-18T13:46:08+00:00October 18th, 2018|Quality Investing, Research Insights, Factor Investing|

Robert Novy-Marx’s 2013 paper “The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock returns, but also helped further explain some of Warren Buffett’s [...]

How a Multi-factor Portfolio is Constructed Matters

By |2018-10-10T10:27:23+00:00October 11th, 2018|Research Insights, Factor Investing, Larry Swedroe|

The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected Stock Returns,” Eugene Fama and Kenneth French introduced a new-and-improved [...]

Fixed Income Factors: An Overlooked Corner of the Market

By |2018-10-23T08:24:11+00:00October 9th, 2018|Research Insights, Factor Investing, Guest Posts, Fixed Income|

Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good places to start). However, many of these strategies focus on [...]

Investment Factor Timing: Challenging, but Not Impossible

By |2018-10-08T11:36:08+00:00October 8th, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

How can the Investment CAPM Price Momentum?

By |2018-10-04T09:09:54+00:00October 2nd, 2018|Research Insights, Factor Investing, Momentum Investing Research|

"How can a q-theoretic model price momentum?" is a new paper by Robert Novy-Marx and goes right to the heart of an intense debate ongoing in empirical asset pricing -- can neoclassic economic models explain [...]

Value and Momentum and Risk

By |2018-09-25T10:16:46+00:00September 25th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite [...]

How Leverage Constraints Effect Mutual Fund Risk Taking

By |2018-09-14T15:56:24+00:00September 13th, 2018|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34+00:00September 11th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz 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. [...]

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