Value and Momentum Investing: Combine or Separate?
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 [...]
Using Satellite Images to Study Local Information Advantage
The Firm Next Door: Using Satellite Images to Study Local Information Advantage Kang, Stice-Lawrence, Wong Journal of Accounting Research, 2021A version of this paper can [...]
Predictability of the Value Premium Across Asset Classes
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 [...]
Are Ben Graham’s Disciples Value and Quality Factor Investors?
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 [...]
ESG Performance Breakdown by E, S, and G
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting Guido Giese, Zoltán Nagy, and Linda-Eling LeeJournal [...]
Fixed income when you’re between a rock and a hard place — Part 2/2
Part 2: From understanding factors to solving investor problems In Part 1, we defined fixed income factors. But factors alone will not solve each investor’s [...]
Value Investing Still Beats Growth Investing, Historically
In the past, I've seen comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. Let's talk [...]
Where Are The Women in Finance? More Clues.
The Family Origin of the Math Gender Gap is a White Affluent Phenomenon Dossi, Figlio, Giuliano and SapienzaNBER working paper, 2020A version of this paper [...]
Global Factor Performance: May 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Text-Based Factor Investing
Part 1: The End of Accounting This is the first part of a series of guest posts by Kai Wu, the CIO & Founder of [...]
Resurrecting the Value Premium
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 [...]
DIY Asset Allocation Weights: May 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Competition for Attention in the ETF Space
Competition for Attention in the ETF Space Itzhak Ben-David, Francesco Franzoni, Byungwook Kim, and Rabih MoussawiSSRN Working paperA version of this paper can be found hereWant [...]
Market Timing Using Aggregate Equity Allocation Signals
When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, [...]
We Should Increase Trust in Financial Services
Trust and Financial Advice Burke and HungJournal of Pension Economics and Finance, 2021A version of this paper can be found hereWant to read our summaries of [...]
Building a Better q-Factor Asset Pricing Model
Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the [...]
Advisor Analyst Podcast: Wes Discusses Concentrated Factor Investing
Our chat with Wes Gray illuminates the subtle nuance and discipline of concentrated factor investing, the difference between behavioural and risk-based factor premiums, and the [...]
Climate Change and Asset Allocation
Climate Change and Asset Allocation: A Distinction That Makes a Difference Brian Jacobsen, Eddie Cheng, and Wai LeeJournal of Portfolio ManagementA version of this paper [...]
How Portfolio Construction Impacts the Reliability of Outcomes
We are proponents of focused (i.e., 50 stock) long-only value and momentum factor strategies.[ref]Please note that in the context of long/short factor investing, which is [...]
Inflation and the Value Premium
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 [...]