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", [...]

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, [...]

ETF-prenuers: An Introduction to ETF White Label Services

By |June 24th, 2020|Research Insights, Key Research, ETF Investing|

Interested in starting an ETF? Interested in converting a managed account, hedge fund, or mutual fund into an ETF? Simply want to learn more about the process of launching an ETF? This piece is an [...]

Is Active Investing Doomed as a Negative Sum Game? A Critical Review.

By |January 2nd, 2020|Research Insights, Factor Investing, Academic Research Insight, Key Research, Active and Passive Investing|

1. Introduction In an influential piece, Sharpe (1991)Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9 put forward the proposition that active investing must be a losing pursuit in aggregate, [...]

Trust the Process

By |June 21st, 2018|Research Insights, Factor Investing, Trend Following, Key Research, Value Investing Research, Momentum Investing Research|

As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]

Factor Investing and Trading Costs

By |November 28th, 2017|Factor Investing, Key Research, Momentum Investing Research|

Factor investing, and the associated intellectual battles, have raged for decades in academic finance journals. However, now that factor investing has gone mainstream via ETFs, the debate has broader interest among the investing public. Some investors [...]

Do Portfolio Factors or Characteristics Drive Expected Returns?

By |October 31st, 2017|Research Insights, Factor Investing, Key Research, Value Investing Research|

This article examines a somewhat overlooked, but important, discussion that raged among academic researchers in the late 1990s and early 2000's. The topic: factors versus characteristics. What do you mean, "Factors versus characteristics?" We often [...]

The Global Value Momentum Trend Philosophy

By |June 6th, 2017|Research Insights, Factor Investing, Trend Following, Key Research, Value Investing Research, Momentum Investing Research|

Our Global Value Momentum Trend Index ("GVMT" or "GVMT Index") is a globally diversified equity strategy that leverages trend-following to manage tail-risks. The strategy can be summarized as follows: Turns out that this [...]

“Alternative” Facts about Formulaic Value Investing

By |April 22nd, 2017|Research Insights, Key Research, Behavioral Finance, Value Investing Research|

A new paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half of my inbox is filled with questions regarding this [...]

Factor Investing is More Art, and Less Science

By |February 3rd, 2017|Research Insights, Factor Investing, Key Research, Value Investing Research, Momentum Investing Research, Size Investing Research|

Albert Einstein is reported to have said the following: The more I learn, the more I realize how much I don’t know. We can relate. Having studied finance for a long time (Ph.D., professor, books, [...]

1042 Qualified Replacement Property: An Overview of ESOP Rollover Strategies

By |December 28th, 2016|1042 QRP Solutions, Key Research|

Executive Summary Employee Stock Ownership Plans (“ESOP”) offer a variety of liquidity, tax and operating benefits to business owners who are contemplating a sale or partial sale of their business. This updatedArticle updated February 6, [...]

Creating an Alternative Investment Strategy with Value and Momentum

By |July 7th, 2016|Key Research, Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

Anyone who follows our website should be familiar with the extensive evidence behind our favorite stock selection strategies: Value Investing Momentum Investing The evidence suggests that high-conviction (<50 stock) value and momentum portfolios, deployed as a system, seems like [...]

Even God Would Get Fired as an Active Investor

By |February 2nd, 2016|Research Insights, Key Research, Tactical Asset Allocation Research|

Empirical asset pricing research can sometimes get monotonous because you end up circling back relentlessly to the same conclusions: value, momentum, trend-following are all interesting, and yet, markets are remarkably competitive (perhaps not efficient). But, sometimes, research [...]

How to Use Factor Funds in a Diversified Portfolio

By |September 30th, 2015|Introduction Course, Investor Education, Key Research, Tactical Asset Allocation Research|

Active management has been out of favor for a while--high fees, high tax burdens, and poor long-term performance. But with the slow rise of actively managed ETFs, which have lower costs and more tax efficiency [...]

The Sustainable Active Investing Framework: Simple, But Not Easy

By |August 17th, 2015|Key Research, Behavioral Finance|

We cannot overemphasize that identifying sustainable alpha in the market is no cakewalk. More importantly, being smart, having superior stock-picking skills, or amassing an army of PhDs to crunch data is only half of the equation. Even with those tools, you are still only one shark in a tank filled with other sharks. All sharks are smart, all sharks have a MBA or PhD from a fancy school, and all the sharks know how to analyze a company. Maintaining an edge in these shark infested waters is no small feat, and one that only a handful of investors has accomplished. In order to achieve sustainable success as an active investor, one needs not only skill, but also an understanding of human psychology, and an appreciation of market incentives (behavioral finance). We start our journey where mine began: as an aspiring PhD student studying at the University of Chicago. Let the adventure begin... This post is not meant to convert a passive investor into an active investor; however, we do explain why we believe active investing can sustainably beat passive strategies in the long run. Plus, we bring to bear many years of cumulative research and experience to support our arguments. We cannot overemphasize that alpha in the market is no cakewalk. More importantly, being smart, having superior stockpicking skills, or amassing an army of PhDs to crunch data is only half of the equation. Even with those tools, you are still only one shark in a tank filled with other sharks. All sharks are smart, all sharks have a MBA or PhD from a fancy school, and all the sharks know how to analyze a company. Maintaining an edge in these shark infested waters is no small feat, and one that only a handful (e.g., we can count them in one hand) of investors has successfully accomplished. In order too achieve sustainable success as an active investing, one needs both skill and an understanding of human psychology and market incentives (behavioral finance). We start our journey where mine began: as an aspiring PhD student studying under Eugene Fama at the University of Chicago. Let the adventure begin...

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