Low Volatility Factor Investing: How Investment Horizon Affects Results
Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with [...]
Factors Timing is a Difficult Practice
Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
The Performance of Volatility-Managed Portfolios
As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns [...]
Can Hedge Funds Successfully Time Factors?
Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of [...]
Combining Value and Profitability Factors: the International Evidence
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
Global Factor Performance: June 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
Still Using Book to Market for a Value Metric? Read This.
Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our [...]
The Explanatory Power of Factor Momentum
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 [...]
Value and Momentum Investing: Combine or Separate?
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 [...]
Predictability of the Value Premium Across Asset Classes
The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit [...]
Are Ben Graham’s Disciples Value and Quality Factor Investors?
I examine the performance records of performance of Ben Graham's well-known disciples: Walter Schloss, Tom Knapp, Warren Buffett, Bill Ruane, Charlie Munger, Rick Guerin, and [...]
Fixed income when you’re between a rock and a hard place — Part 2/2
Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s [...]
Value Investing Still Beats Growth Investing, Historically
In the past, I've seen comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. Let's talk [...]
Global Factor Performance: May 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
Text-Based Factor Investing
Part 1: The End of Accounting This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of [...]
Resurrecting the Value Premium
The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since [...]
Building a Better q-Factor Asset Pricing Model
Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the [...]
Advisor Analyst Podcast: Wes Discusses Concentrated Factor Investing
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 [...]
How Portfolio Construction Impacts the Reliability of Outcomes
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 [...]
Inflation and the Value Premium
The grand experiment of combining massive fiscal and monetary stimulus at a time when the economy is already recovering strongly—the Fed’s latest forecast for 2021 [...]