Factor Investing in Sovereign Bond Markets

By |January 13th, 2022|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

The reported results we covered have important implications for investors in terms of portfolio construction, risk monitoring, and manager selection. Because these common factors explain almost all the returns of bond portfolios, investors should construct their bond portfolios using low-cost, passively (systematically) managed funds with these factors in mind and then carefully monitor their exposure to these systematic risks.

Understanding Momentum Investing

By |December 30th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

The main takeaway for investors is that Kelly, Moskowitz, and Pruitt demonstrated that past return characteristics are strongly predictive of a stock’s realized exposures to common risk factors, providing direct evidence that price trend strategies are in part explainable as compensation for common factor exposures—past returns predict betas on factors and those factors have high average returns.

ESG Investing: Dissecting Green Returns

By |December 13th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Momentum Investing Research|

In theory green stocks should have lower expected returns, this however, is not what we've seen. So the question is what has caused the outperformance of green stocks? And has that outperformance cost value investors their returns?

Factor Investing Deep Dive with Jack Vogel

By |November 12th, 2021|Factor Investing, Podcasts and Video, Value Investing Research, Momentum Investing Research|

Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions

The Momentum Factor is Driven by Behavioral Bias, Not Risk

By |November 9th, 2021|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance, Momentum Investing Research|

Momentum, Reversals, and Investor Clientele Andy Chui, Avanidhar Subrahmanyam, and Sheridan TitmanReview of Financial Studies, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

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 [...]

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 [...]

The Explanatory Power of Factor Momentum

By |May 27th, 2021|Research Insights, Larry Swedroe, Momentum Investing Research, Tactical Asset Allocation 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.[ref] review more in [...]

Value and Momentum Investing: Combine or Separate?

By |May 25th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research|

When it comes to Value and Momentum investing we often get asked the following set of questions: Should I use value and momentum, in one screen, to form a single portfolio of stocks? ("Blended", "combined", [...]

Advisor Analyst Podcast: Wes Discusses Concentrated Factor Investing

By |April 21st, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Our chat with Wes Gray illuminates the subtle nuance and discipline of concentrated factor investing, the difference between behavioural and risk-based factor premiums, and the pros and cons of active management over passive and index-based [...]

How Portfolio Construction Impacts the Reliability of Outcomes

By |April 16th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.[ref]Please note that in the context of long/short factor investing, which is more focused on Sharpe optimization and the use of leverage, [...]

The ETF Store: Nate/Wes Discuss Value, Momentum, and Launching ETFs

By |April 7th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Wes Gray, CEO of Alpha Architect, talks about the value rotation, momentum stocks, the ETF white-labeling business, and more with Nate Geraci. External link to the podcast here. https://open.spotify.com/show/4FTkbBgTiC1AFJgMmtwKX3?si=q7UbCIYfSjmDAPa7dL5DkQ

Democratize Quant Conference Recap and Materials

By |March 25th, 2021|ESG, Research Insights, Factor Investing, Investor Education, Conferences, Value Investing Research, Momentum Investing Research|

COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific and I personally learned a lot from them. This post [...]

Momentum Factor Investing: What’s the Right Risk-Adjustment?

By |March 4th, 2021|Research Insights, Factor Investing, Momentum Investing Research|

Momentum? What Momentum? Erik Theissen and Can YilanciA 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 questions? [...]

RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations

By |February 23rd, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. They break down the [...]

Meb Faber Podcast: Doug Discusses 1042 QRP and ESOP Transactions

By |February 18th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Doug Pugliese, the head of our 1042 QRP business, was recently invited on the Meb Faber Podcast to discuss the ESOP landscape and the costs and benefits of 1042 QRP transactions. (article on the topic [...]

Excess Returns Podcast: Jack discussing Momentum and Trend

By |February 5th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

I was recently invited on the Excess Returns podcast with Justin Carbonneau and Jack Forehand. We discussed Momentum and Trend-following. Commentary/Links: In the conversation, I mentioned a post titled "Factor Investing and Trading [...]

Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?

By |February 1st, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Value and Momentum and Investment Anomalies

By |January 7th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]

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