Factor Investing

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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|

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 [...]

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

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

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|Factor Investing, Fixed Income, Research Insights|

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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Do Fundamentals Still Drive Market Prices? Or Have ETFs Taken Over?

By |2018-06-25T13:08:26+00:00July 10th, 2018|Factor Investing, Research Insights|

What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is an entertaining topic to discuss--enter CNBC and the financial media. [...]

Trust the Process

By |2018-06-25T15:02:05+00:00June 21st, 2018|Factor Investing, Trend Following, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

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The 52 Week High and the Q-Factor Investment Model

By |2018-06-15T12:15:54+00:00June 14th, 2018|Factor Investing, Research Insights, Momentum Investing Research|

In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the performance of stocks relative to their respective 52-week high (highlighted [...]

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The Future for Factor Investing May Be Different Than its Backtested Past

By |2018-06-07T07:27:05+00:00June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By |2018-06-04T10:20:01+00:00June 4th, 2018|Factor Investing, Basilico, Academic Research Insight, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

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Factor Regressions Problems and How to Fix Them

By |2018-06-01T12:51:45+00:00June 1st, 2018|Factor Investing, Research Insights, Value Investing Research|

Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, Quality, etc. Luckily, there are some great free tools available [...]

Value Investing Portfolios are Not Dead, But Some Have Done Better than Others

By |2018-05-07T18:10:10+00:00May 3rd, 2018|Factor Investing, Guest Posts, Value Investing Research|

Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that value is dead and may never come back. Of course, most [...]

Bond Investing: Reach for Safety

By |2018-04-17T10:58:39+00:00April 17th, 2018|Factor Investing, Academic Research Insight, Research Insights|

Yield. Within almost any asset class, investors want to know, what is the "yield" on the investment? For some investors, this is the most important and only screen used when sorting funds. Mutual fund companies [...]

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Momentum Everywhere, Including in Factors

By |2018-03-23T14:26:32+00:00March 22nd, 2018|Factor Investing, Research Insights, Momentum Investing Research|

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark [...]

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Are Long/Short Equity Strategies Worth the Fees?

By |2018-03-09T12:08:10+00:00March 7th, 2018|Factor Investing, Research Insights, Active and Passive Investing|

High net worth individuals, university endowments, and public pension funds have heavily invested in long/short equity hedge funds. But is the long/short equity asset class benefiting investors? The pitfalls of expensive financial products are well [...]

Are Factors Better and More Diversifying Than Asset Classes?

By |2018-02-23T11:06:14+00:00February 23rd, 2018|Factor Investing, Trend Following, Guest Posts, Low Volatility Investing|

Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low correlation to existing holdings. Historically, pure factor exposures have earned [...]

Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?

By |2018-01-19T17:34:43+00:00January 19th, 2018|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research|

 Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architect's take AQR's take [...]

Predicting Stock Returns Using Firm Characteristics

By |2018-01-03T13:40:05+00:00January 4th, 2018|Factor Investing, Research Insights|

A few weeks ago, we did a deep dive into the factors versus characteristics debate. One of the reasons we've brought up this debate is due to the fact that "factor" loadings (from regressions) are [...]

Everyone, Even a Passive Vanguard Investor, is a Factor Investor

By |2017-11-30T10:36:35+00:00November 30th, 2017|Factor Investing, Research Insights|

Much has been made of Factor Investing, and even Vanguard is launching a suite of actively-managed factor ETFs. But even now, with Vanguard offering factor ETFs, there are many investors that only invest passively into [...]

Factor Investing and Trading Costs

By |2018-05-17T08:52:08+00:00November 28th, 2017|Factor Investing, Key Research, Momentum Investing Research|

Factor investing, and the associated intellectual battles, have raged for decades in academic finance journals. However, now that factor investing has gone mainstream via ETFs, the debate has broader interest among the investing public. Some investors [...]

Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps

By |2017-11-10T10:25:36+00:00November 10th, 2017|Factor Investing, Research Insights, Size Investing Research|

Regression analysis is used all the time to assess how a portfolio "loads" on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be an informative [...]

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Do Portfolio Factors or Characteristics Drive Expected Returns?

By |2018-04-11T15:41:13+00:00October 31st, 2017|Factor Investing, Research Insights, Value Investing Research|

This article examines a somewhat over-looked, but important, discussion that raged among academic researchers in the late 1990's and early 2000's. The topic: factors versus characteristics. What do you mean, "Factors versus characteristics?" We often [...]

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