Is Passive Investing Better than Active Investing?A Critical Review.
The broad thrust of this paper is that Sharpe’s proposition is not water-tight upon closer examination, and certainly should not be received as gospel.
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper [...]
International Evidence on Factor Premiums
Klaus Grobys contributes to the literature on asset pricing models with his October 2019 paper, “Another Look on Choosing Factors: The International Evidence.” Using bootstrap [...]
The market impact of rebalancing factor investing strategies
Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read [...]
An Analysis of “Testing Benjamin Graham’s Net Current Asset Value Strategy in London”
Authors: Ying Xiao and Glen C. Arnold A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Improving the Performance of Deep Value Strategies
A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher [...]
Protecting the Downside of Trend When It Is Not Your Friend : Part 1
Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper [...]
Forbidden Knowledge: Long-Only Academic Factors are Also Cool
When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our [...]
Enterprise Multiples and Equity Country Allocations
And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper [...]
The Investor’s Podcast: Factor Investing (Jack)
Recently I was invited to talk with Stig and Preston on The Investor's Podcast. I thank them for the opportunity and enjoyed the conversation! Below [...]
Are Value, Carry and Momentum Regime Dependent?
Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. [...]
Dividends are Different
There has been abundant discussion regarding the utility of dividends.[ref]Here are a few examples: dividends, dividends, and more dividends…and Jon See'ds piece on buybacks, if [...]
Lowering Portfolio Risk with Corporate Social Responsability
Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries [...]
The Investment Factor and Expected Returns
Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research [...]
Investment, Expected Investment, and Expected Stock Returns
A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) [ref]Sadly this article is currently only available to clients of Dimensional [...]
Costs and Benefits of ESG investing
Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can [...]
Quantitative Investing: The Solution to Human Bias (Wes Gray)
Here is a link to our podcast on "Rational Reminder": Today we are joined by Wesley Gray who is the CEO of Alpha Architect, a [...]
Liquidity might be a better proxy for Size in equity markets
The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version [...]
Superstar Investors
Superstar Investors Brooks, Tsuji and VillalonJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]