The Role of Book-to-Market in Bond Returns

By |July 22nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Fixed Income, Value Investing Research|

My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on the ability of common factors to explain the variation of [...]

Factor Investing in Sovereign Bond Markets: 221 years of evidence!

By |July 19th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Global Factor Performance: July 2021

By |July 7th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Low Volatility Factor Investing: How Investment Horizon Affects Results

By |July 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing|

Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with greater idiosyncratic volatility have produced lower returns). These are anomalies [...]

Factors Timing is a Difficult Practice

By |June 21st, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

The Performance of Volatility-Managed Portfolios

By |June 17th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Larry Swedroe, Trend Following, Tactical Asset Allocation Research|

As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns are negatively correlated. This relationship results in the tendency to [...]

Can Hedge Funds Successfully Time Factors?

By |June 14th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of this paper can be found hereWant to read our summaries of [...]

Combining Value and Profitability Factors: the International Evidence

By |June 10th, 2021|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study “On the Conjoint Nature of Value and Profitability,” which analyzed [...]

Global Factor Performance: June 2021

By |June 8th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Still Using Book to Market for a Value Metric? Read This.

By |June 7th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

The Explanatory Power of Factor Momentum

By |May 27th, 2021|Research Insights, Larry Swedroe, Momentum Investing Research, Tactical Asset Allocation 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. review more in [...]

Value and Momentum Investing: Combine or Separate?

By |May 25th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research|

When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one screen, to form a single portfolio of stocks? ("Blended", "combined", [...]

Predictability of the Value Premium Across Asset Classes

By |May 21st, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit on this topic. Wes and I have done several posts [...]

Are Ben Graham’s Disciples Value and Quality Factor Investors?

By |May 19th, 2021|Research Insights, Factor Investing, Guest Posts, Other Insights, Value Investing Research|

I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and Stan Perlmeter. The research question I seek to address is [...]

Fixed income when you’re between a rock and a hard place — Part 2/2

By |May 13th, 2021|Research Insights, Factor Investing, Guest Posts, Fixed Income|

Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s problem. Below, we extend the discussion by walking through a [...]

Value Investing Still Beats Growth Investing, Historically

By |May 11th, 2021|Research Insights, Academic Research Insight, Value Investing Research|

A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from MorningstarA great person to [...]

Global Factor Performance: May 2021

By |May 6th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Resurrecting the Value Premium

By |May 4th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since 2017 has led many to question the existence of the [...]

Building a Better q-Factor Asset Pricing Model

By |April 22nd, 2021|Factor Investing, Larry Swedroe, Academic Research Insight|

Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the explanatory power of the cross-section of stock returns. We moved [...]

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