One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in the WSJ.[/ref] Warren Buffett, speaking at the 2013 Berkshire Hathaway [...]
In today's video, we examine three posts. First, we examine Larry Swedroe's rebuttal to the "failure" of factor investing. Second, we examine a paper examining the performance of the Size and Value factors in China. [...]
In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed miserably”— called for examination of the facts. But first, a [...]
In today's video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over [...]
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, [...]
The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,[ref]Bloomberg Finance L.P., as of 10/31/2018.[/ref] left investors searching for a culprit. Some of the usual suspects were [...]
As the year turns, a common practice is to assess a portfolio and see how each position performed. The summary for stocks is easy: equities did not do well. Whether you were invested in U.S. [...]
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 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 [...]
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 [...]
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 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 [...]
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 [...]
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 [...]
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 [...]
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 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 [...]
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 [...]
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 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. [...]
