Do Big Value Spreads Mean Big Returns to Value Strategies?

By |October 11th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Value Investing and Intangibles

By |September 30th, 2021|Intangibles, Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]

Is The Value Premium Smaller Than We Thought?

By |September 9th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Momentum Investing Research|

From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was [...]

The Value Premium Might be Smaller Than We Originally Thought

By |August 24th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Value Investing and the Role of Intangibles

By |August 11th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]

The Role of Book-to-Market in Bond Returns

By |July 22nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Fixed Income, Value Investing Research|

My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on the ability of common factors to explain the variation of [...]

Factor Investing in Sovereign Bond Markets: 221 years of evidence!

By |July 19th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Combining Value and Profitability Factors: the International Evidence

By |June 10th, 2021|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

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 “On the Conjoint Nature of Value and Profitability,” which analyzed [...]

Still Using Book to Market for a Value Metric? Read This.

By |June 7th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 summaries of academic finance papers? Check out our Academic Research Insight category [...]

Value and Momentum Investing: Combine or Separate?

By |May 25th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research|

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 screen, to form a single portfolio of stocks? ("Blended", "combined", [...]

Predictability of the Value Premium Across Asset Classes

By |May 21st, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

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 on this topic. Wes and I have done several posts [...]

Are Ben Graham’s Disciples Value and Quality Factor Investors?

By |May 19th, 2021|Research Insights, Factor Investing, Guest Posts, Other Insights, Value Investing Research|

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 Stan Perlmeter. The research question I seek to address is [...]

Value Investing Still Beats Growth Investing, Historically

By |May 11th, 2021|Research Insights, Academic Research Insight, Value Investing Research|

A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from MorningstarA great person to [...]

Resurrecting the Value Premium

By |May 4th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

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 2017 has led many to question the existence of the [...]

How Portfolio Construction Impacts the Reliability of Outcomes

By |April 16th, 2021|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.Please note that in the context of long/short factor investing, which is more focused on Sharpe optimization and the use of leverage, [...]

Inflation and the Value Premium

By |April 15th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

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 GNP growth is 6.5 percent—has led many investors to begin [...]

Democratize Quant Conference Recap and Materials

By |March 25th, 2021|ESG, Research Insights, Factor Investing, Investor Education, Conferences, Value Investing Research, Momentum Investing Research|

COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific and I personally learned a lot from them. This post [...]

The Forecasting Power of Value, Profitability, and Investment Spreads

By |February 25th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to time investments based on their value spreadsThe difference in the [...]

Will the Real Value Factor Funds Please Stand Up?

By |February 8th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo ManoelWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Quality Factor—What Exactly Is It?

By |January 28th, 2021|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been well documented by studies such as “Buffett’s Alpha,” “Global Return [...]

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