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Global Factor Performance: January 2021

By |2021-01-12T16:41:46-05:00January 12th, 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

The Definitive Study on Long-Term Factor Investing Returns

By |2021-01-12T15:03:03-05:00January 12th, 2021|Research Insights, Factor Investing, Academic Research Insight|

Global Factor Premiums Baltussen, Swinkels, VlietJournal of Financial Economics, forthcomingA 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 Research Questions? [...]

Value and Momentum and Investment Anomalies

By |2021-01-04T11:53:39-05:00January 7th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]

A Curious Combination: Momentum Investing, Tesla, and November 9th

By |2020-12-24T09:40:32-05:00December 23rd, 2020|Research Insights, Factor Investing, Guest Posts, Other Insights, Momentum Investing Research|

“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]

Is Size a Useful Investing Factor or Not?

By |2020-12-18T12:26:45-05:00December 18th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Size Investing Research|

In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major [...]

Buying Quality: Is the Juice Worth the Squeeze?

By |2020-12-07T08:43:44-05:00December 10th, 2020|Quality Investing, Research Insights, Factor Investing, Guest Posts, ETF Investing|

Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]

Global Factor Performance: December 2020

By |2020-12-07T14:15:46-05:00December 7th, 2020|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

Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns

By |2020-11-30T08:27:37-05:00December 3rd, 2020|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Other Insights|

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 [...]

A Short Research Library Outlining Why Traditional Stock Picking is Challenging

By |2020-12-02T18:14:39-05:00December 2nd, 2020|Factor Investing, Investor Education, Behavioral Finance|

There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible and crush every other investment approach; but stock picking can [...]

Trend Following Research: Breaking Bad Trends

By |2020-11-12T11:31:32-05:00November 12th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights, Momentum Investing 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. Initial research on [...]

Do Analysts Exploit Factor Anomalies when recommending stocks?

By |2020-11-09T12:42:17-05:00November 9th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Security Analysts and Capital Market Anomalies Li Guo, Frank Weikai Li, K.C. John WeiJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?

By |2020-10-27T08:12:29-04:00November 5th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|

In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study “The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead [...]

Combining Value and Profitability Factors to Improve Performance

By |2020-10-26T09:57:45-04:00October 29th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, which added momentum to market beta, size, and value, becoming [...]

Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |2020-10-26T08:51:01-04:00October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Equity Trend Following Performance Around the Globe

By |2020-10-15T10:52:15-04:00October 15th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights|

Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had [...]

Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.

By |2020-10-09T09:08:49-04:00October 8th, 2020|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]

Institutional Investment Strategies: Keep it Simple

By |2020-10-05T09:41:39-04:00October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]