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An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?”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, [...]
Value Investing & Concentration
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) [...]
Compound Your Knowledge Ep. 16: Trend-Following, Large-Cap Value, Active Mgmt
In this week's post, we discuss three papers. The first post, written by Wes, covers a deep-dive into trend-following on equities. The second post, written [...]
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
Factor Investing Research On Steroids
Factor Premia and Factor Timing: A Century of Evidence Antti Ilmanen, Ronen Israel, Toby Moskowitz, Ashwin Thapar, and Franklin Wang Working paper A version of [...]
Value Factor Valuations Over Time: US and Developed
We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool [...]
The Cross-Section of Emerging Market Stock Returns
Matthias x. Hanauer, Jochim G. LauterbachA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]