Value Investing Research

///Value Investing Research

The Best Research Paper Ever Written on Trading Costs

By |2018-08-14T09:49:04+00:00August 14th, 2018|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a [...]

Comments Off on The Best Research Paper Ever Written on Trading Costs

Trust the Process

By |2018-06-25T15:02:05+00:00June 21st, 2018|Factor Investing, Trend Following, Research Insights, 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: [...]

Comments Off on Trust the Process

The Future for Factor Investing May Be Different Than its Backtested Past

By |2018-06-07T07:27:05+00:00June 8th, 2018|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research, Uncategorized|

We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time.  Many are common sense and easily observable - like fire creates smoke - while [...]

Factor Regressions Problems and How to Fix Them

By |2018-06-01T12:51:45+00:00June 1st, 2018|Factor Investing, Research Insights, Value Investing Research|

Factor Regressions are one way to ascertain a fund's exposure to certain factors that an investor/advisor may want to allocate towards, such as Value, Momentum, Quality, etc. Luckily, there are some great free tools available [...]

Podcast: Value Investing in India and Technology

By |2018-05-14T09:56:14+00:00May 14th, 2018|Podcasts, Value Investing Research|

Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's Reunion Radio. Hosts Jeremy Schwartz and Wes Gray talk to [...]

Comments Off on Podcast: Value Investing in India and Technology

Value Investing Portfolios are Not Dead, But Some Have Done Better than Others

By |2018-05-07T18:10:10+00:00May 3rd, 2018|Factor Investing, Guest Posts, Value Investing Research|

Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that value is dead and may never come back. Of course, most [...]

The World’s Longest Multi-Asset Momentum Investing Backtest!

By |2018-04-18T14:11:37+00:00April 24th, 2018|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research|

As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)" [...]

Timing Country Exposure with Value: A Valuation Measure Horserace

By |2018-04-03T11:31:00+00:00April 3rd, 2018|Academic Research Insight, Research Insights, Value Investing Research|

Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, "buying cheap" stocks was a good idea (i.e., the so-called "value" premium). But [...]

Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?

By |2018-03-13T07:34:57+00:00March 14th, 2018|Research Insights, Value Investing Research, $SPY|

Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and internal discussions is several books and hundreds of blog posts [...]

Comments Off on Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?

Explaining the Value Effect in Emerging Markets

By |2018-02-21T07:36:22+00:00February 21st, 2018|Academic Research Insight, Research Insights, Value Investing Research|

Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]

Comments Off on Explaining the Value Effect in Emerging Markets

Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?

By |2018-01-19T17:34:43+00:00January 19th, 2018|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research|

 Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architect's take AQR's take [...]

The Value Effect and Macroeconomic Risk

By |2018-01-09T09:26:25+00:00January 9th, 2018|Larry Swedroe, Research Insights, Guest Posts, Value Investing Research|

It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of that premium: Is it risk-based or is it related to [...]

Comments Off on The Value Effect and Macroeconomic Risk

The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)

By |2017-12-20T21:43:21+00:00December 21st, 2017|Larry Swedroe, Research Insights, Value Investing Research, Tactical Asset Allocation Research|

The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value in terms of future returns. The higher the earnings yield, [...]

Comments Off on The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)

Historical Finance Fight: Ben Graham versus H.M. Gartley

By |2017-12-08T09:50:16+00:00December 7th, 2017|Research Insights, Value Investing Research|

Reading really old research is humbling. https://archive.org/ is an awesome place to start. One quickly recognizes that market participants were very savvy way back in the day. I've always assumed that investors today are more intelligent and [...]

Comments Off on Historical Finance Fight: Ben Graham versus H.M. Gartley

Do Portfolio Factors or Characteristics Drive Expected Returns?

By |2018-04-11T15:41:13+00:00October 31st, 2017|Factor Investing, Research Insights, Value Investing Research|

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

Comments Off on Do Portfolio Factors or Characteristics Drive Expected Returns?

Want to Learn More About Factor Investing? Read This.

By |2017-10-26T10:23:15+00:00October 26th, 2017|Factor Investing, Research Insights, Interviews, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Replicating Anomalies is arguably a "must read" for anyone who thinks about factor investing and is looking to improve their understanding of the space. Lu Zhang, and his colleagues, Kewei Hou and Chen Xue, spent [...]

Academic Research Insight: Stick to the Fundamentals and Discover Your Industry Peers

By |2017-10-23T08:01:14+00:00October 23rd, 2017|Factor Investing, Basilico, Academic Research Insight, Research Insights, Value Investing Research|

Stick to the Fundamentals and Discover Your Peers Jean Overgaard Knudsen, Simon Kold and Thomas Plenborg A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Comments Off on Academic Research Insight: Stick to the Fundamentals and Discover Your Industry Peers

A Fund Flows Theory for Value and Momentum Investing

By |2017-10-17T09:16:42+00:00October 17th, 2017|Research Insights, Value Investing Research, Momentum Investing Research|

Value and Momentum Investing -- our two favorite factors. We talk about these phenomena on our blog all the time, and have given both rational and behavioral explanations as to why these may occur.However, very few in the finance community are direct investors into Value and Momentum securities -- the individual stocks (or bonds) themselves. Many use ETFs or mutual funds to gain access to these factors. Institutions generally do the same, either investing in hedge funds or managed accounts. This is delegated asset management, whereby one delegates the decision of the security selection onto a third-party manager. A by-product of delegation is that from time to time, the third-party manager must be assessed. While many may claim the process is most important, the performance is always taken into consideration. So what happens to a Value manager who is overweight the wrong industry? While the manager may be following the same process discussed ex-ante, the ex-post assessment may be that the manager needs to be fired due to underperformance.

Comments Off on A Fund Flows Theory for Value and Momentum Investing

Replicating Anomalies

By |2017-11-08T11:34:27+00:00October 13th, 2017|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research|

Academic research is amazing and incredibly useful for helping us better understand the complex world in which we live. In fact, academic research has literally rewired my brain at times. However, research isn't perfect and [...]

Comments Off on Replicating Anomalies

Reconciling Individual Stock Returns and Factor Portfolio Returns

By |2018-06-06T08:46:58+00:00October 6th, 2017|Research Insights, Value Investing Research|

Those in the financial media have recently been writing multiple stories on a fascinating working paper, "Do Stocks Outperform Treasury Bills?" by Hendrik Bessembinder. We originally highlighted the paper on our blog in January. However, recent [...]