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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 [...]

Brokers, Retail Investors, and Conflict of Interests

By |2020-02-18T13:25:39-05:00February 18th, 2020|Research Insights, Basilico and Johnsen|

Mark EganJournal of Finance, Winter 2019A version of this paper can be found hereAn old version of the paper that is easily accessible is HERE Want to read our summaries of academic finance papers? Check out [...]

“Price”, ETFs, and Bond Market Liquidity

By |2020-02-13T11:54:53-05:00February 13th, 2020|Guest Posts, Fixed Income, ETF Investing|

Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public market balked at the price the private market (ok, manly [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Case Against REIT’s

By |2020-02-06T09:51:11-05:00February 6th, 2020|Research Insights, Guest Posts, Academic Research Insight|

Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction [...]

Book Review: Smart(er) Investing by Elisabetta and Tommi

By |2020-02-04T10:20:41-05:00February 4th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Book Reviews, Other Insights|

It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta Basilico and Tommi Johnsen! If you haven't read Elisabetta and [...]

Conflict of Interest and Mutual Fund Sales

By |2020-02-03T10:54:41-05:00February 3rd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version of this paper can be found hereWant to read our summaries [...]

Low Volatility-Momentum Factor Investing Portfolios

By |2020-01-30T09:00:31-05:00January 30th, 2020|Research Insights, Factor Investing, Guest Posts, Momentum Investing Research, Low Volatility Investing|

INTRODUCTION Factor investing is hard and some factors make it harder than others. A value strategy results in a portfolio of stocks that exhibit temporary or structural issues and are usually rated “Sell” by brokers, [...]

The predictability of crowding on factor strategy performance

By |2020-01-27T11:39:22-05:00January 27th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA 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 Expected Stock Returns

By |2020-01-21T10:54:39-05:00January 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 [...]

Timing Low Volatility with Factor Valuations

By |2020-01-06T15:03:33-05:00January 16th, 2020|Research Insights, Factor Investing, Guest Posts, Low Volatility Investing|

INTRODUCTION Funds flows are frequently analyzed by investors to gauge the demand for investment strategies, but it represents a challenging exercise. Key issues are data availability as few market participants disclose their holdings as well [...]

How ESG Affects Valuation, Risk, and Performance

By |2020-01-13T10:43:46-05:00January 13th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio ManagementA version of this paper can be found hereWant to read [...]

The Idiosyncratic Volatility Puzzle: Then and Now

By |2020-01-06T15:03:35-05:00January 9th, 2020|Research Insights, Larry Swedroe, Low Volatility Investing|

One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This is an anomaly because idiosyncratic volatility is viewed as a [...]

Quant Tools for Private Equity and Real Assets

By |2020-01-06T12:14:02-05:00January 6th, 2020|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

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 [...]

The market impact of rebalancing factor investing strategies

By |2019-12-23T13:12:33-05:00December 23rd, 2019|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2

By |2019-12-16T12:32:08-05:00December 16th, 2019|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal 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 [...]

Protecting the Downside of Trend When It Is Not Your Friend : Part 1

By |2019-12-09T12:07:59-05:00December 9th, 2019|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Global Impact of Investor Home Country Bias

By |2019-12-05T16:16:14-05:00December 5th, 2019|Research Insights, Larry Swedroe, Macroeconomics Research|

A large body of research demonstrates that “familiarity breeds investment.” For example, a study by Gur Huberman found that shortly after AT&T was broken up and shareholders were given shares in each of what were [...]