Global Factor Performance: October 2021

By |October 12th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Do Big Value Spreads Mean Big Returns to Value Strategies?

By |October 11th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Value Investing and Intangibles

By |September 30th, 2021|Intangibles, Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]

Crowding and Factor Premiums

By |September 23rd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies [...]

Jack Discusses Value Investing on Meb Faber Show

By |September 22nd, 2021|Factor Investing, Podcasts and Video, Tax Efficient Investing, ETF Investing|

Here is a link to our recent chat on The Meb Faber Show regarding the details on Value Investing: An Examination of the 1,000 Largest Firms: Among stock investors, a common strategy/belief held is Value [...]

Is Currency Momentum Factor Momentum?

By |September 16th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor Momentum and the Momentum Factor,” has demonstrated that momentum exists [...]

Is The Value Premium Smaller Than We Thought?

By |September 9th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Momentum Investing Research|

From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was [...]

Global Factor Performance: September 2021

By |September 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

How to Start an ETF with Meb, Patrick, and Wes

By |September 6th, 2021|Factor Investing, Podcasts and Video, Tax Efficient Investing, ETF Investing|

Here is a link to our recent chat on The Meb Faber Show regarding the details on how to start an etf: This topic is up your alley, feel free to go back and listen [...]

Factor Timing Is Tempting

By |September 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of the December 2017 study “Fama-French Factors and Business Cycles,” examined [...]

International Tests of Factor Anomalies: Most Don’t Survive

By |August 27th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive alpha. There are now so many that economist John Cochrane, [...]

The Value Premium Might be Smaller Than We Originally Thought

By |August 24th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Relative Sentiment and Market Returns

By |August 12th, 2021|Relative Sentiment, Research Insights, Guest Posts, Academic Research Insight, Other Insights|

Market Returns and A Tale of Two Types of Attentions Da, Hua, Hung, and PengA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Value Investing and the Role of Intangibles

By |August 11th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]

Global Factor Performance: August 2021

By |August 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

The Active vs Passive: Smart Factors, Market Portfolio, or Both?

By |August 5th, 2021|Research Insights, Factor Investing|

Matúš PadyšákQuantpedia.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Abstract While there may be debates about passive and active investing, [...]

Behavioral Finance Warning: Humans Love Complexity

By |August 3rd, 2021|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance|

People systematically overlook subtractive changes Gabrielle S. Adams, Benjamin A. Converse, Andrew H. Hales & Leidy E. Klotz Nature 592, 258-161A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Factor Investing and International Markets

By |August 2nd, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Factors and Risk Premia in Individual International Stock Returns Geert Bekaert, Eric Engstrom and Andrey ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

The Role of Book-to-Market in Bond Returns

By |July 22nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Fixed Income, Value Investing Research|

My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on the ability of common factors to explain the variation of [...]

Factor Investing in Sovereign Bond Markets: 221 years of evidence!

By |July 19th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

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