Factor Investing

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Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |2020-10-26T08:51:01-04:00October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Equity Trend Following Performance Around the Globe

By |2020-10-15T10:52:15-04:00October 15th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights|

Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had [...]

Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.

By |2020-10-09T09:08:49-04:00October 8th, 2020|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]

Institutional Investment Strategies: Keep it Simple

By |2020-10-05T09:41:39-04:00October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]

How To Design Machine Learning Models – A Market Timing Example

By |2020-09-08T07:56:00-04:00September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

By |2020-09-22T11:11:37-04:00September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

Accruals and Momentum and Their Implications for Factor Investors

By |2020-09-02T14:41:24-04:00September 17th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Momentum Investing Research|

The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]

Can We Use the Shiller CAPE Ratio to Forecast Country Returns?

By |2020-09-30T15:05:41-04:00September 10th, 2020|Research Insights, Factor Investing, Value Investing Research, Tactical Asset Allocation Research|

Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

How to Measure and Understand Portfolio Tail Risk Events

By |2020-08-27T10:35:54-04:00August 27th, 2020|Crisis Alpha, Research Insights, Factor Investing, Guest Posts, Academic Research Insight|

Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

Even Great Investments Experience Massive Drawdowns

By |2020-08-17T18:19:53-04:00August 20th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]

Value Investing: An Examination of the 1,000 Largest Firms

By |2020-08-18T10:57:53-04:00August 18th, 2020|Research Insights, Factor Investing, Value Investing Research|

Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]

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 [...]

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