Other Insights

Home/Posts/Other Insights

Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |2020-10-26T08:51:01-04:00October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Can A Computer Read Employee Emails and Detect Fraud?

By |2020-10-19T09:28:09-04:00October 19th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education, Machine Learning|

Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News S.R. Das, S. Kim, B. KothariJournal of Financial Data Science, Spring 2019A version of this paper can be found hereWant to read our summaries [...]

Equity Trend Following Performance Around the Globe

By |2020-10-15T10:52:15-04:00October 15th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights|

Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had [...]

Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.

By |2020-10-09T09:08:49-04:00October 8th, 2020|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]

Institutional Investment Strategies: Keep it Simple

By |2020-10-05T09:41:39-04:00October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]

ETFs and Mutual Funds Should Pay More Attention to Their Investor Base

By |2020-09-28T09:55:28-04:00September 28th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, Pedro MatosManagement Science, forthcomingA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

How To Design Machine Learning Models – A Market Timing Example

By |2020-09-08T07:56:00-04:00September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

By |2020-09-22T11:11:37-04:00September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

Accruals and Momentum and Their Implications for Factor Investors

By |2020-09-02T14:41:24-04:00September 17th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Momentum Investing Research|

The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]

Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test

By |2020-09-14T08:52:06-04:00September 14th, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]

Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators

By |2020-09-08T08:31:59-04:00September 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Fixed Income|

Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

How to Optimize Fixed Annuity Tax Deferral

By |2020-08-31T15:54:42-04:00September 3rd, 2020|Financial Planning, Guest Posts, Tax Efficient Investing|

Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

How to Measure and Understand Portfolio Tail Risk Events

By |2020-08-27T10:35:54-04:00August 27th, 2020|Crisis Alpha, Research Insights, Factor Investing, Guest Posts, Academic Research Insight|

Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

Even Great Investments Experience Massive Drawdowns

By |2020-08-17T18:19:53-04:00August 20th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]

Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns

By |2020-08-17T11:26:16-04:00August 17th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning|

When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper can be found hereWant to read our summaries of academic finance [...]

An Introduction to Digital Signal Processing for Trend Following

By |2020-08-14T11:22:35-04:00August 13th, 2020|Research Insights, Trend Following, Guest Posts|

Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other [...]

What is Sequence Risk and Can Trend Following Help Reduce It?

By |2020-08-10T10:50:08-04:00August 10th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of this paper can be found hereWant to read our summaries of [...]

Go to Top