Factor Investing in Sovereign Bond Markets

By |January 13th, 2022|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

The reported results we covered have important implications for investors in terms of portfolio construction, risk monitoring, and manager selection. Because these common factors explain almost all the returns of bond portfolios, investors should construct their bond portfolios using low-cost, passively (systematically) managed funds with these factors in mind and then carefully monitor their exposure to these systematic risks.

Value investing: What history says about five-year periods after valuation peaks

By |December 21st, 2021|Research Insights, Factor Investing, Value Investing Research, Tactical Asset Allocation Research|

Value stocks are historically cheap compared to the past. Given this fact, a natural question is the following, "After the last two times Value had a "peak" of the factor being cheap, how did it do the subsequent five years?"

The Relationship Between the Value Premium and Interest Rates

By |December 16th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Tactical Asset Allocation Research|

We've been suffering through the deepest and longest drawdown in values history. Looking for a scapegoat to explain the lackluster performance many have pointed to low interest rates as the root cause of the underperformance. The question is have interest rates impacted value in the past?

ESG Investing: Dissecting Green Returns

By |December 13th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Momentum Investing Research|

In theory green stocks should have lower expected returns, this however, is not what we've seen. So the question is what has caused the outperformance of green stocks? And has that outperformance cost value investors their returns?

Size, Value, Profitability, and Investment Factors in International Stocks

By |December 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Size Investing Research|

Using data on 65,000 stocks from 23 countries, they evaluated the performance of the Fama-French factors, examining the factor premia in global markets to verify their robustness across different company size categories and geographical regions. Their data sample covered the period 1987-2019.

The Value of the Value Factor: Cheaper now than a year ago?

By |November 23rd, 2021|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think you'd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at levels beyond 1999 by some measures.

Factor Investing Deep Dive with Jack Vogel

By |November 12th, 2021|Factor Investing, Podcasts and Video, Value Investing Research, Momentum Investing Research|

Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions

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 Morningstar[ref]A great person to [...]

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