Do Big Value Spreads Mean Big Returns to Value Strategies?
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 [...]
Value Investing and Intangibles
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 [...]
Crowding and Factor Premiums
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 [...]
Jack Discusses Value Investing on Meb Faber Show
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 [...]
Is Currency Momentum Factor Momentum?
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 [...]
Is The Value Premium Smaller Than We Thought?
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 [...]
Global Factor Performance: September 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
How to Launch an ETF with Meb, Patrick, and Wes
Here is a link to our recent chat on The Meb Faber Show regarding the details on how to launch an ETF: This topic is [...]
Factor Timing Is Tempting
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 [...]
International Tests of Factor Anomalies: Most Don’t Survive
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 [...]
The Value Premium Might be Smaller Than We Originally Thought
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 [...]
Relative Sentiment and Market Returns
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 [...]
Value Investing and the Role of Intangibles
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 [...]
Global Factor Performance: August 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
The Active vs Passive: Smart Factors, Market Portfolio, or Both?
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 [...]
Behavioral Finance Warning: Humans Love Complexity
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 [...]
Factor Investing and International Markets
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 [...]
The Role of Book-to-Market in Bond Returns
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 [...]
Factor Investing in Sovereign Bond Markets: 221 years of evidence!
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 [...]
Global Factor Performance: July 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads