Buying Quality: Is the Juice Worth the Squeeze?
Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the [...]
Global Factor Performance: December 2020
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
Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns
Robert Novy-Marx’s 2013 paper “ The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of [...]
A Short Research Library Outlining Why Traditional Stock Picking is Challenging
There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible [...]
Using “Quality” to Separate Good and Bad Value Stocks
Trying to avoid value traps.
Trend Following Research: Breaking Bad Trends
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 [...]
Do Analysts Exploit Factor Anomalies when recommending stocks?
Security Analysts and Capital Market Anomalies Li Guo, Frank Weikai Li, K.C. John WeiJournal of Financial EconomicsA version of this paper can be found hereWant to [...]
Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?
In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study [...]
Combining Value and Profitability Factors to Improve Performance
Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, [...]
Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?
On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be [...]
Building Factor Portfolios Based with the Lowest Correlations
INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too [...]
Equity Trend Following Performance Around the Globe
Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate [...]
Institutional Investment Strategies: Keep it Simple
Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our [...]
Lottery Preferences and Their Relationship with Factor Investing
Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, [...]
How To Design Machine Learning Models – A Market Timing Example
We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this [...]
Accruals and Momentum and Their Implications for Factor Investors
The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs [...]
Can We Use the Shiller CAPE Ratio to Forecast Country Returns?
Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of [...]
Effects of Portfolio Construction on the Performance of Style Factor ETFs
This article discusses the research surrounding style factor ETFs, specifically the effects of portfolio construction on their performance. The Effects of Portfolio Construction on the [...]