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Protecting the Downside of Trend When It Is Not Your Friend : Part 1

By |2019-12-09T12:07:59-05:00December 9th, 2019|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Forbidden Knowledge: Long-Only Academic Factors are Also Cool

By |2019-11-27T09:31:15-05:00November 27th, 2019|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Enterprise Multiples and Equity Country Allocations

By |2019-11-25T08:08:33-05:00November 25th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

The Investor’s Podcast: Factor Investing (Jack)

By |2019-11-22T09:41:11-05:00November 22nd, 2019|Research Insights, Factor Investing, Podcasts and Video, Media|

Recently I was invited to talk with Stig and Preston on The Investor's Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: What is factor [...]

Are Value, Carry and Momentum Regime Dependent?

By |2019-11-05T08:12:33-05:00November 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is “The Death of [...]

Lowering Portfolio Risk with Corporate Social Responsability

By |2019-11-18T08:53:57-05:00November 18th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

The Investment Factor and Expected Returns

By |2019-11-18T14:15:00-05:00November 14th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research piece that tells a different side of the story. We [...]

Investment, Expected Investment, and Expected Stock Returns

By |2019-11-11T08:57:30-05:00November 12th, 2019|Research Insights, Factor Investing, Academic Research Insight|

A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) Sadly this article is currently only available to clients of Dimensional Fund Advisers rehashes previous arguments in Fama and French [...]

Costs and Benefits of ESG investing

By |2019-11-04T12:40:18-05:00November 4th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Quantitative Investing: The Solution to Human Bias (Wes Gray)

By |2019-10-30T14:28:20-04:00November 1st, 2019|Factor Investing, Podcasts and Video|

Here is a link to our podcast on "Rational Reminder": Today we are joined by Wesley Gray who is the CEO of Alpha Architect, a firm in the US that specializes in concentrated factor strategies. [...]

Liquidity might be a better proxy for Size in equity markets

By |2019-10-28T12:35:08-04:00October 28th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]

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 |2019-11-25T17:41:23-05:00October 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 [...]