Value Investing Research

///Value Investing Research

After a Lost Decade, Will Value Get its Groove back in 2019?

By |2018-12-11T09:23:32+00:00December 11th, 2018|Research Insights, Factor Investing, Value Investing Research|

Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion[ref]Morningstar[/ref]. But with poor returns over the past decade, the question of whether [...]

Factor Investing Fact Check: Are Value and Momentum Dead?

By |2018-11-15T16:13:03+00:00November 15th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

The "stock market," at least as measured via the S&P 500, has been on an epic performance run -- especially relative to almost all asset classes. It doesn't matter whether you look at the other [...]

Value and Momentum and Risk

By |2018-09-25T10:16:46+00:00September 25th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

Early in the summer, I was on a podcast with Corey Hoffstein discussing momentum investing. During the discussion, Corey asked me a question regarding risk versus mispricing, specific to the momentum anomaly. We frequently cite [...]

The Conservative Formula: Quantitative Investing made Easy

By |2018-09-05T10:14:34+00:00September 11th, 2018|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

The Conservative Formula: Quantitative Investing made Easy Pim van Vliet and David Blitz A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

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 [...]

Trust the Process

By |2018-08-16T08:10:20+00:00June 21st, 2018|Research Insights, Factor Investing, Trend Following, 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: [...]

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

By |2018-06-07T07:27:05+00:00June 8th, 2018|Research Insights, Factor Investing, 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|Research Insights, Factor Investing, 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 and Video, 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 [...]

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|Research Insights, Academic Research Insight, 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 |2018-09-07T07:55:36+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 [...]

Explaining the Value Effect in Emerging Markets

By |2018-02-21T07:36:22+00:00February 21st, 2018|Research Insights, Academic Research Insight, 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 [...]

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|Research Insights, Larry Swedroe, 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 [...]

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

By |2017-12-20T21:43:21+00:00December 21st, 2017|Research Insights, Larry Swedroe, 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, [...]

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 [...]

Do Portfolio Factors or Characteristics Drive Expected Returns?

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

Want to Learn More About Factor Investing? Read This.

By |2017-10-26T10:23:15+00:00October 26th, 2017|Research Insights, Factor Investing, 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 [...]

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