Compound Your Knowledge Ep 25: Big vs. Small firms, and the case against REITs
In this week's video, we discuss two articles examining (1) the performance gap between large and small firms and (2) the case against REITs. [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
Do Insider Trades Provide Insights into Future Returns?
The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several [...]
What to Do When Alpha Becomes Beta
Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read [...]
Compound Your Knowledge Ep 24: Enterprise Multiples, Asset Allocation & Factor Models
In this week's video, we discuss two articles examining (1) why Enterprise Multiples explain stock returns and (2) Asset allocation (and factor allocation). [...]
The Gap Between Large and Small Companies is Growing. Why?
In my role as chief research officer for the Buckingham Family of Financial Services, I receive many questions from investors and advisors alike, asking me [...]
DIY Asset Allocation Weights: March 2020
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 [...]
How do Institutional Investors approach Climate Risks?
The Importance of Climate Risks for Institutional Investors Philipp Krueger, Zacharias Sautner, and Laura T. Starks Review of Financial StudiesA version of this paper can [...]
Compound Your Knowledge Ep 23: Value, the ETF Rule & Free Trading
In this week's post, we discuss two articles examining (1) the relative underperformance of Value compared to Growth and (2) the new ETF rule and [...]
Smart Money Indicator Rebuttal
In February 2019, Wes asked that I share my research on what I call the "Smart Money Indicator." I did a guest post on the [...]
Global Low Volatility and Momentum Factor Investing Portfolios
Betting on Boring Winners
Deep Reinforcement Learning for trading applications
This blog talks about reinforcement learning for trading applications. Once one of my pups found half a roast chicken in the corner of a parking [...]
Compound Your Knowledge Ep 22: 2019 Factor Performance
In this week's post, we discuss two articles examining the 2019 Factor Performance in (1) the U.S. stock market and (2) the International stock market. [...]
Macroeconomic Risks in Equity Factor Investing: Part 2/2
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]
The Massive Performance Divergence Between Large Growth and Small Value Stocks
From 2017 through 2019, the Russell 1000 Growth Index returned 20.5 percent per annum, outperforming the Russell 1000 Value Index, which returned 9.7 percent, by [...]
Factor Investing Update: An Analysis of 2019 International Factor Returns
Last week I summarized the 2019 factor performance for U.S. stocks. A natural follow-up question was the following--"what about International stocks?" A great question. So [...]
Brokers, Retail Investors, and Conflict of Interests
Mark EganJournal of Finance, Winter 2019A version of this paper can be found here[ref]An old version of the paper that is easily accessible is HERE[/ref]Want to [...]
“Price”, ETFs, and Bond Market Liquidity
Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public [...]
Factor Investing Update: An Analysis of 2019 U.S. Factor Returns
In case you missed it, 2019 was a good year to be an equity investor. Examining market-cap-weighted indices, the U.S. stock market was up ~ [...]
Macroeconomic Risks in Equity Factor Investing: Part 1
Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant [...]