DIY Asset Allocation Weights: April 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 [...]
An Empirical Challenge for Trend-Following
Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify [...]
Compound Your Knowledge Ep 27: Value, Momentum, and Low Volatility
In this video, we examine two articles highlighted on our site. The first article, written by Larry Swedroe, examines the Value and Momentum performance over [...]
Compound Your Knowledge Ep 26: Bond Mutual Funds and ETFs
Last week, there were some pretty big dislocations between bond mutual funds and ETFs. I picked one specific example I found interesting, comparing the Vanguard [...]
Corporate Governance, ESG, and Stock Returns around the World
Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of [...]
Social Distancing: Why and What Does it Mean?
Editor's Note: This is not a quantitative finance post and is an editorial piece by Jack Vogel on a topic in which he has a [...]
Is There Something Wrong with the Value Premium?
The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly [...]
The Use and Value of Financial Advice for Retirement Planning: Part 1/2
The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper [...]
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 [...]