Factor Investing

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The Quality Factor—What Exactly Is It?

By |2019-10-22T07:26:53-04:00October 22nd, 2019|Quality Investing, Research Insights, Factor Investing, Low Volatility Investing|

While the quality factor has been identified in the literature (including papers such as “Buffett’s Alpha,” “Global Return Premiums on Earnings Quality, Value, and Size,” and “The Excess Returns of ‘Quality’ Stocks: A Behavioral Anomaly”), [...]

Active Share: Predictor of Future Performance or Urban Legend?

By |2019-10-10T08:59:01-04:00October 17th, 2019|Financial Planning, Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming body of academic research which has demonstrated that past performance [...]

Crowded trades, asset centrality and predicting equity bubbles

By |2019-10-14T08:55:58-04:00October 14th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Using Firm Characteristics to Enhance Momentum Strategies

By |2019-10-10T15:40:48-04:00October 10th, 2019|Research Insights, Factor Investing, Momentum Investing Research|

Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Prior [...]

An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”

By |2019-10-01T10:50:12-04:00October 8th, 2019|Research Insights, Factor Investing, Value Investing Research|

James MontierA full version of this paper can be found in this bookWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction In an earlier post we analyzed the prominent [...]

A Framework for Creating Model Portfolios

By |2019-10-07T10:07:25-04:00October 7th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Alternative Investments – A Field Manual

By |2019-09-23T09:17:00-04:00October 3rd, 2019|Financial Planning, Factor Investing, Guest Posts|

It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It's my hope that I can forewarn you of the [...]

ETFs vs Mutual Funds: Who wins? Investors. (Ryan Kirlin)

By |2019-10-01T13:15:32-04:00October 2nd, 2019|ESG, Podcasts and Video|

Here is a link to our podcast on Taylor Schulte's "Stay Wealthy" show. Without question, you have heard of Exchange Traded Funds, also commonly referred to as ETFs.It’s a complex topic so I brought in [...]

Short-Duration Stock Anomaly: Risk or Mispricing

By |2019-09-23T09:09:24-04:00October 1st, 2019|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance|

Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]

Quality: Independent attributes or a real factor?

By |2019-09-30T15:23:19-04:00September 30th, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

ESG Investing: Marketing or Substance? (Ryan Kirlin)

By |2019-09-19T08:22:34-04:00September 18th, 2019|ESG, Podcasts and Video|

Here is a link to our podcast on "The ETF Prime Podcast": ETF.com’s Drew Voros offers his perspective on ESG investing, including highlighting the example of Facebook. Tune to the ~22 minute mark to hear Alpha Architect’s Ryan [...]

Factor Investing from Concept to Implementation

By |2019-10-08T10:41:47-04:00September 17th, 2019|Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

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? [...]

The Failure of Value Investing explained

By |2019-09-16T11:35:38-04:00September 16th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Value: Don’t Call it a Comeback, it’s Been Here for Years

By |2019-09-12T10:21:40-04:00September 12th, 2019|Research Insights, Factor Investing, Value Investing Research|

Value and Momentum each had back to back extreme returns (five sigma) days on Monday, September 9th and Tuesday, September 10th.  The Dow Jones Thematic Market Neutral Value Index (“Value”) started the week up 3.45%, [...]

Crisis proof your portfolio: part 2/2

By |2019-09-03T09:35:34-04:00September 3rd, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

Can We Explain the Low Volatility Anomaly?

By |2019-08-22T09:12:16-04:00August 29th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]

Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

The Variance Risk Premium is Pervasive

By |2019-08-09T14:35:45-04:00August 15th, 2019|Research Insights, Factor Investing, Larry Swedroe|

The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]

There and Back Again: My 180 Back to Simplicity

By |2019-08-05T22:49:32-04:00August 8th, 2019|Financial Planning, Factor Investing|

I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance sheet and no debt. I don’t ever want to fully [...]