Value Investing Research

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Is There Something Wrong with the Value Premium?

By |2020-03-24T12:13:15-04:00March 24th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

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 possible that what economists call a “regime change” could cause [...]

The Use and Value of Financial Advice for Retirement Planning: Part 1/2

By |2020-03-17T08:19:27-04:00March 17th, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 can be found hereWant to read our summaries of academic finance [...]

Low Volatility-Momentum Versus Value-Momentum Factor Portfolios

By |2020-03-13T11:40:42-04:00March 13th, 2020|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Boring versus Cheap Winners

The Massive Performance Divergence Between Large Growth and Small Value Stocks

By |2020-02-21T12:04:41-05:00February 21st, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Size Investing Research|

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 10.8 percentage points a year; and the Russell 2000 Growth [...]

Factor Investing Update: An Analysis of 2019 International Factor Returns

By |2020-02-19T10:17:00-05:00February 19th, 2020|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

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 below I dig into the 2019 performance for International Factor [...]

Enterprise Multiples and Expected Stock Returns

By |2020-03-06T10:04:29-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

By |2019-12-30T11:25:44-05:00December 30th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Improving the Performance of Deep Value Strategies

By |2019-12-10T19:32:32-05:00December 12th, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher long-term returns than the broad market. Motivated by such legendary [...]

Forbidden Knowledge: Long-Only Academic Factors are Also Cool

By |2019-11-27T09:31:15-05:00November 27th, 2019|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Enterprise Multiples and Equity Country Allocations

By |2019-11-25T08:08:33-05:00November 25th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Are Value, Carry and Momentum Regime Dependent?

By |2019-11-05T08:12:33-05:00November 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is “The Death of [...]

Dividends are Different

By |2019-11-26T12:40:36-05:00November 20th, 2019|Dividends and Buybacks, Research Insights, Guest Posts, Academic Research Insight, Value Investing Research|

There has been abundant discussion regarding the utility of dividends.Here are a few examples: dividends, dividends, and more dividends...and Jon See'ds piece on buybacks, if you'd like to go down that rabbit hole. Many [...]

Superstar Investors

By |2019-10-22T09:34:11-04:00October 23rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Superstar Investors Brooks, Tsuji and VillalonJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions? Many [...]

An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”

By |2019-10-01T10:50:12-04:00October 8th, 2019|Research Insights, Factor Investing, Value Investing Research|

James MontierA full version of this paper can be found in this bookWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction In an earlier post we analyzed the prominent [...]

The Failure of Value Investing explained

By |2019-09-16T11:35:38-04:00September 16th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Value: Don’t Call it a Comeback, it’s Been Here for Years

By |2019-09-12T10:21:40-04:00September 12th, 2019|Research Insights, Factor Investing, Value Investing Research|

Value and Momentum each had back to back extreme returns (five sigma) days on Monday, September 9th and Tuesday, September 10th.  The Dow Jones Thematic Market Neutral Value Index (“Value”) started the week up 3.45%, [...]

An Analysis of “Benjamin Graham’s Net Current Asset Values: A Performance Update”

By |2020-02-14T13:53:05-05:00September 5th, 2019|Research Insights, Academic Research Insight, Value Investing Research|

Henry R. Oppenheimer A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Summary The study examined the performance of securities that were trading [...]

Can Low Vol Strategies Be Improved

By |2019-07-29T10:42:55-04:00July 30th, 2019|Research Insights, Factor Investing, Value Investing Research, Low Volatility Investing|

My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomaly—low volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, [...]

Purchasing Managers’ Index (PMI) and Factor Performance

By |2019-07-16T12:38:43-04:00July 23rd, 2019|Factor Investing, Value Investing Research, Momentum Investing Research|

A physicist, a chemist, and an economist are stranded on an island, with nothing to eat. A can of soup washes ashore. The physicist says, “Let’s smash the can open with a rock”. The chemist [...]

Value Investing & Concentration

By |2019-07-18T16:51:24-04:00July 18th, 2019|Research Insights, Value Investing Research|

As many investors have experienced, Value investing has underperformed for some time now. For the period following the Global Financial Crisis, Value investing (in general) has underperformed (1) the market and (2) Growth stocks. So [...]