Factor Investing

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Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

The Variance Risk Premium is Pervasive

By |2019-08-09T14:35:45-04:00August 15th, 2019|Research Insights, Factor Investing, Larry Swedroe|

The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]

There and Back Again: My 180 Back to Simplicity

By |2019-08-05T22:49:32-04:00August 8th, 2019|Financial Planning, Factor Investing|

I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance sheet and no debt. I don’t ever want to fully [...]

Can Low Vol Strategies Be Improved

By |2019-07-29T10:42:55-04:00July 30th, 2019|Research Insights, Factor Investing, Value Investing Research, Low Volatility Investing|

My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]

Purchasing Managers’ Index (PMI) and Factor Performance

By |2019-07-16T12:38:43-04:00July 23rd, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]

Pathetic Protection via Protective Puts

By |2019-07-12T13:14:02-04:00July 15th, 2019|Crisis Alpha, Factor Investing, Basilico and Johnsen, Academic Research Insight, Managed Futures Research|

Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A 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 [...]

Enhancing the Performance of Momentum Strategies

By |2019-07-12T10:42:25-04:00July 12th, 2019|Research Insights, Factor Investing, Larry Swedroe, Momentum Investing Research|

In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or absolute, trend following) momentum, not only increases the explanatory power [...]

Momentum, Quality, and R Code

By |2019-07-11T14:42:06-04:00July 11th, 2019|Reproducible Finance, Research Insights, Factor Investing, Tool How-To-Guides, Momentum Investing Research|

Welcome to the first installment of Reproducible Finance by way of Alpha Architect.  For the uninitiated, this series is a bit different than the other stuff on AA - we'll focus on writing clean, reproducible [...]

Fact, Fiction, and the Size Effect

By |2019-07-07T11:21:15-04:00July 8th, 2019|Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Factor Investing Research On Steroids

By |2019-06-18T13:04:25-04:00June 18th, 2019|Quality Investing, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin WangWorking paperA version of this paper can be found here What are the research questions? Do the [...]

Meb Faber Podcast: Trust The Process (Jack Vogel)

By |2019-06-18T08:13:54-04:00June 18th, 2019|Factor Investing, Podcasts and Video|

Here is a link to our podcast on "The Meb Faber Podcast": This year, we’re bringing you the entire volume of The Best Investment Writing Volume 3 in podcast format. You’ll hear from some of [...]

Fama French Factors and ESG: The Good Minus Bad Factor

By |2019-06-17T08:27:56-04:00June 17th, 2019|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer, and Margaret StumppJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Does Leverage Explain the Investment Premium?

By |2019-06-10T14:46:53-04:00June 13th, 2019|Research Insights, Factor Investing, Larry Swedroe, Other Insights|

Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, Kewei Hou, Chen Xue and Lu Zhang, authors of the [...]

Value Factor Valuations Over Time: US and Developed

By |2019-06-18T10:25:08-04:00June 11th, 2019|Research Insights, Factor Investing, Value Investing Research|

We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool maps out the median valuations for the top decile and [...]

Compound Your Knowledge Ep. 15: Factor Momentum, Value, & Equity Comp

By |2019-07-11T16:47:35-04:00June 11th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Podcasts and Video, Media|

In this week's post, I discuss three papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the momentum of (L/S) factors. The second article, written by Larry [...]

Passive Sustainable Funds

By |2019-06-10T07:41:26-04:00June 10th, 2019|ESG, Basilico and Johnsen, Academic Research Insight|

Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]