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 [...]
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 [...]
Low Volatility-Momentum Versus Value-Momentum Factor Portfolios
Boring versus Cheap Winners
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 [...]
Enterprise Multiples and Expected Stock Returns
Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack Vogel Journal of Portfolio Management, forthcoming A version of this paper [...]
Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?
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 [...]
Improving the Performance of Deep Value Strategies
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 [...]
Forbidden Knowledge: Long-Only Academic Factors are Also Cool
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 [...]
Enterprise Multiples and Equity Country Allocations
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 [...]
Are Value, Carry and Momentum Regime Dependent?
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. [...]
Dividends are Different
There has been abundant discussion regarding the utility of dividends.[ref]Here are a few examples: dividends, dividends, and more dividends…and Jon See'ds piece on buybacks, if [...]
Superstar Investors
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 [...]
An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”
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 [...]
The Failure of Value Investing explained
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 [...]
Value: Don’t Call it a Comeback, it’s Been Here for Years
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 [...]
An Analysis of “Benjamin Graham’s Net Current Asset Values: A Performance Update”
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 Introduction [...]
Can Low Vol Strategies Be Improved
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, [...]
Purchasing Managers’ Index (PMI) and Factor Performance
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, [...]