Factor Investing

///Factor Investing

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 |2019-06-11T16:15:39-04:00June 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, & Commodity Skewness

By |2019-06-11T09:06:35-04:00June 11th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's post, I discuss four 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. [...]

Compound Your Knowledge Ep. 14: Sentiment and Bonds, Volatility, & ESG

By |2019-06-03T07:38:13-04:00June 3rd, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media, Low Volatility Investing|

In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using [...]

Volatility Anomalies: IVOL and Vol-of-Vol

By |2019-05-21T11:53:51-04:00May 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected [...]

Things to Consider for ESG Portfolio Construction

By |2019-05-20T10:46:26-04:00May 20th, 2019|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Compound Your Knowledge Ep. 12: Tax-Managed Strategies & Stocks Above 10x Sales

By |2019-05-13T11:55:44-04:00May 13th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines the performance of systematically purchasing stocks trading above 10x their [...]

Buying Stocks Trading Above 10x Sales–A Good Idea?

By |2019-05-09T08:42:20-04:00May 9th, 2019|Research Insights, Factor Investing, Value Investing Research|

Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea and how did it do in the past? Given that [...]

Compound Your Knowledge Ep. 11: ETFs, Manager Wealth, TLH, Value

By |2019-05-06T08:46:38-04:00May 6th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines [...]

Deep Dive into the Value Factor

By |2019-04-30T09:25:03-04:00May 2nd, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]

All About ETFs with The 15 Minute Financial Advisor (Ryan & Mike)

By |2019-04-30T14:45:33-04:00May 1st, 2019|Factor Investing, Podcasts and Video|

Here is a link to our podcast on "The 15 Minute Financial Advisor" Show: Ryan Kirlin knows ETFs. He used to work at the New York Stock Exchange, helping ETF companies launch their funds on [...]

Compound Your Knowledge Episode 10: Factor Investing & Hedge Fund Performance

By |2019-05-01T07:54:07-04:00May 1st, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by Tommi, uses Hedge Funds' past performance to identify if one [...]

Compound Your Knowledge Episode 9: Investor Confidence & Issues with Factor Investing

By |2019-04-22T10:29:11-04:00April 22nd, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media, Behavioral Finance|

In this week's post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that [...]

The Factors that Plague Factor Investing

By |2019-04-17T09:01:58-04:00April 16th, 2019|Research Insights, Factor Investing|

For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing,” focuses on why, [...]

Compound Your Knowledge Episode 8: Cash Conversion Cycle, Uncertainty, and Distracted Investors

By |2019-04-15T15:19:29-04:00April 15th, 2019|Compound Your Knowledge, Research Insights, Factor Investing, Media|

In this week's post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle--while most are discounting factors in the new "Factor Zoo" world, this is definitely an interesting factor to [...]

A Remarkable New Factor: The Cash Conversion Cycle

By |2019-04-09T13:32:08-04:00April 9th, 2019|Research Insights, Factor Investing, Value Investing Research|

The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the research questions? The barrier to entry into the factor zoo [...]

Momentum Factor Investing in Russia

By |2019-04-01T13:45:54-04:00April 2nd, 2019|Research Insights, Factor Investing, Momentum Investing Research|

Momentum Factor Investing in 19th Century Imperial Russia William Goetzmann and Siman HuangJFE, forthcoming.A version of this paper can be found here. What are the research questions? Momentum is often considered the "premier anomaly" because of [...]

Why the Size Premium Should Persist

By |2019-03-19T14:08:06-04:00March 20th, 2019|Research Insights, Factor Investing, Larry Swedroe, Size Investing Research|

As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]

Factor Investing in Practice

By |2019-03-14T08:21:47-04:00March 14th, 2019|Research Insights, Factor Investing, Academic Research Insight, Value Investing Research, Size Investing Research|

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art Johnson for mentioning this paper![/ref] What are the research questions? [...]

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