Factor Investing

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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 [...]

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

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 [...]

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 22: 2019 Factor Performance

By |2020-02-24T13:12:15-05:00February 24th, 2020|Compound Your Knowledge, Research Insights, Factor Investing, Podcasts and Video, Media|

In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. Article Links: Factor Investing Update: An Analysis of [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

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 to read our summaries of academic finance papers? Check out [...]

The Massive Performance Divergence Between Large Growth and Small Value Stocks

By |2020-02-21T12:04:41-05:00February 21st, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Size Investing Research|

From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by 10.8 percentage points a year; and the Russell 2000 Growth [...]

Factor Investing Update: An Analysis of 2019 International Factor Returns

By |2020-02-19T10:17:00-05:00February 19th, 2020|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So below I dig into the 2019 performance for International Factor [...]

Factor Investing Update: An Analysis of 2019 U.S. Factor Returns

By |2020-02-11T12:49:15-05:00February 11th, 2020|Research Insights, Factor Investing|

In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ 30%, Developed International Markets were up ~ 22%, and Emerging [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

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 to read our summaries of academic finance papers? Check out [...]

Low Volatility-Momentum Factor Investing Portfolios

By |2020-01-30T09:00:31-05:00January 30th, 2020|Research Insights, Factor Investing, Guest Posts, Momentum Investing Research, Low Volatility Investing|

INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary or structural issues and are usually rated “Sell” by brokers, [...]

How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)

By |2020-01-24T11:33:49-05:00January 24th, 2020|Research Insights, Factor Investing, Momentum Investing Research|

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Enterprise Multiples and Expected Stock Returns

By |2020-03-06T10:04:29-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Timing Low Volatility with Factor Valuations

By |2020-01-06T15:03:33-05:00January 16th, 2020|Research Insights, Factor Investing, Guest Posts, Low Volatility Investing|

INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data availability as few market participants disclose their holdings as well [...]

How ESG Affects Valuation, Risk, and Performance

By |2020-01-13T10:43:46-05:00January 13th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

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 ManagementA version of this paper can be found hereWant to read [...]

Is Active Investing Doomed as a Negative Sum Game? A Critical Review.

By |2020-01-04T11:20:21-05:00January 2nd, 2020|Research Insights, Factor Investing, Academic Research Insight, Key Research, Active and Passive Investing|

1. Introduction In an influential piece, Sharpe (1991)Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9 put forward the proposition that active investing must be a losing pursuit in aggregate, [...]

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

By |2019-12-30T11:25:44-05:00December 30th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 can be found hereWant to read our summaries of academic finance [...]