Compound Your Knowledge Episode 5: Size & Value
In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by [...]
Is There a Size Effect in the Stock Market?
One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Compound Your Knowledge: Episode 3–Factor Failure, China, EBITDA
In today's video, we examine three posts. First, we examine Larry Swedroe's rebuttal to the "failure" of factor investing. Second, we examine a paper examining [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
EBITDA, EBITDA, EBITDA…that’s all, folks!
Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise [...]
“The Failure of Factor Investing was Predictable”
In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed [...]
Compound Your Knowledge: Episode 2–ESOPs, Factors, Incentives
In today's video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest [...]
Value, Momentum & Carry Across Asset Classes
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between [...]
Buyback Blackout Periods Do Not Negatively Impact Market Performance
The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,[ref]Bloomberg Finance L.P., as of 10/31/2018.[/ref] left investors [...]
A Simple Analysis of 2018 U.S. Factor Returns
As the year turns, a common practice is to assess a portfolio and see how each position performed. The summary for stocks is easy: equities [...]
Machine Learning Classification Methods and Factor Investing
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
After a Lost Decade, Will Value Get its Groove back in 2019?
Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with [...]
Measuring Factor Exposures: Uses and Abuses
Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want [...]
Factor Investing Fact Check: Are Value and Momentum Dead?
The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset [...]
Cybersecurity for Financial Advisors (Pat and Brandon)
Here is a link to our podcast on Behind the Markets: In this episode of Behind the Markets, our guest co-host Wes Gray of Alpha [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this [...]
The Profitability Factor: International Evidence
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 stock [...]
How a Multi-factor Portfolio is Constructed Matters
The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]