An Empirical Challenge for Trend-Following
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify [...]
Compound Your Knowledge Ep 27: Value, Momentum, and Low Volatility
In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over [...]
Corporate Governance, ESG, and Stock Returns around the World
Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
Is There Something Wrong with the Value Premium?
The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly [...]
The Use and Value of Financial Advice for Retirement Planning: Part 1/2
The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
What to Do When Alpha Becomes Beta
Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read [...]
The Gap Between Large and Small Companies is Growing. Why?
In my role as chief research officer for the Buckingham Family of Financial Services, I receive many questions from investors and advisors alike, asking me [...]
Smart Money Indicator Rebuttal
In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the [...]
Global Low Volatility and Momentum Factor Investing Portfolios
Betting on Boring Winners
Compound Your Knowledge Ep 22: 2019 Factor Performance
In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. [...]
Macroeconomic Risks in Equity Factor Investing: Part 2/2
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Massive Performance Divergence Between Large Growth and Small Value Stocks
From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by [...]
Factor Investing Update: An Analysis of 2019 International Factor Returns
Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So [...]
Factor Investing Update: An Analysis of 2019 U.S. Factor Returns
In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ [...]
Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
Low Volatility-Momentum Factor Investing Portfolios
INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary [...]
How to Turn Cross-Sectional into Time-Series Momentum (and be home in time for dinner)
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Amit Goyal and Narasimhan JegadeeshA version of this paper can be found hereWant to [...]
Visualization Sector Trends with R Code
Welcome to a year-end installment of Reproducible Finance with R, a series posts that will be a little bit different from the norm on Alpha [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]