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Cross-Asset Signals and Time-Series Momentum

By |2020-08-03T11:12:14-04:00August 6th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, [...]

Is Systematic Value Dead???

By |2020-07-21T18:11:50-04:00July 30th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor. Ronen Israel, Kristoffer Laursen, Scott A. Richardson in "Is (Systematic) Value Investing Dead" There is a large [...]

Relative Skewness: A New Risk Factor?

By |2020-07-27T11:36:34-04:00July 27th, 2020|Skewness, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA 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 [...]

Fundamental Momentum, the Carry Trade, and Currency Returns

By |2020-07-21T11:28:33-04:00July 23rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same asset class that have performed poorly over the prior year. [...]

What is Impact Investing?

By |2020-07-20T10:58:02-04:00July 20th, 2020|Financial Planning, ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Left Tail Risk and Left Tail Momentum

By |2020-07-13T13:19:48-04:00July 14th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk securities, they demand higher compensation in the form of higher [...]

Market Return Around the Clock

By |2020-07-06T13:47:26-04:00July 7th, 2020|Overnight Returns Research, Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

Market Return Around the Clock: A Puzzle Oleg Bondarenko and Dmitriy MuravyevWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Combining Momentum with Long-Term Reversal

By |2020-07-02T11:20:25-04:00July 3rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Momentum Investing Research|

Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month [...]

Diversifying Your Value Portfolio? Quality Works, but Have You Heard of Momentum?

By |2020-06-26T12:15:33-04:00June 26th, 2020|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.”  You may be learning a humbling lesson right now that Mr. Market has taught [...]

Order Flow Correlation May Imply Momentum Factor Crowding

By |2020-06-15T10:54:35-04:00June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance [...]

5 Surprising Things We Learned from a Factor Investing Expert

By |2020-06-11T11:24:37-04:00June 11th, 2020|Research Insights, Factor Investing|

Lu Zhang and his colleagues made some waves with their new paper, “Replicating Anomalies.” (now published in the RFS -- congrats!). We have a summary of the paper here. Lu Zhang, and his colleagues, Kewei [...]

Excess Returns Podcast: Systematic Value Investing (Wes)

By |2020-06-02T10:18:35-04:00June 5th, 2020|Research Insights, Factor Investing, Podcasts and Video, Media, Value Investing Research|

Recently I was invited to talk with Justin and Jack on the Excess Returns Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: Struggles in [...]

Do Interest Rates Explain Value’s Underperformance?

By |2020-06-02T10:55:56-04:00June 4th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Tactical Asset Allocation Research, Macroeconomics Research|

From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]

Is value dead? Has the story changed? No.

By |2020-06-01T09:30:54-04:00June 1st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Smart(er) Investing – The Easy Way

By |2020-05-29T10:16:45-04:00May 29th, 2020|Research Insights, Factor Investing, Podcasts and Video, Women in Finance Know Stuff, Academic Research Insight|

Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic research concepts. That said, we understand there are different ways [...]

Compound Your Knowledge Ep 29: What’s the Story Behind EBIT/TEV?

By |2020-05-19T10:48:00-04:00May 19th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Value Investing Research|

This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]

Absolute Value Versus Relative Value: A Quick Note on the Value Debate

By |2020-05-11T11:05:52-04:00May 11th, 2020|Factor Investing, Value Investing Research|

We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation was elevated after Cliff Asness posted the best piece of [...]

The Size Effect in Multifactor Portfolios

By |2020-05-11T09:00:07-04:00May 7th, 2020|Research Insights, Size Investing Research|

The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market Value of Common Stocks,” published in the Journal of Financial [...]

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