Factor Investing

///Factor Investing

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. [...]

Smart Beta is Officially Dead, but Not Forgotten

By |2018-09-07T09:21:53+00:00September 6th, 2018|Research Insights, Factor Investing, ETF Investing|

What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original definition (from a great piece attempting to bring sanity to [...]

Podcast: Quantitative Value Investing on the Stansberry Investor Hour (Wes)

By |2018-08-28T11:13:43+00:00August 27th, 2018|Factor Investing, Podcasts and Video|

You can listen to the podcast via the link below: Here is a link to our podcast on the Stansberry Investor Hour. Show Summary It’s the 10-year anniversary of this extraordinary bull market, officially – [...]

Academic Factor Portfolios are Extremely Painful. Unless you are an Alien.

By |2018-08-24T11:48:20+00:00August 23rd, 2018|Research Insights, Factor Investing|

Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a problem: compound $1,000,000. The goal: compound your extraterrestrial face off. [...]

Accruals Momentum as an Investment Strategy

By |2018-08-14T09:33:20+00:00August 16th, 2018|Research Insights, Factor Investing|

Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for (1) revenue that has been earned but not received and [...]

Podcast: Factor Investing with Vanguard Factor Fund PM Liqian Ren (Wes & Jack)

By |2018-07-30T08:13:09+00:00July 27th, 2018|Factor Investing, Podcasts and Video|

Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets host Wes Gray talks factor investing as a strategy with one of the few female portfolio managers [...]

Factor Investing Insights You Won’t Hear from Fama and French

By |2018-07-26T10:50:14+00:00July 25th, 2018|Research Insights, Factor Investing|

Factor investing research has a long storied past. Fama and French's 1992 and 1993 papers arguably put factor investing "on the map," but truth be told, factor investing is an old topic with roots grounded [...]

Which Investment Factors Drive Corporate Bond Returns

By |2018-06-25T08:46:31+00:00July 19th, 2018|Research Insights, Factor Investing, Fixed Income|

Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic [...]

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