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Crowded trades, asset centrality and predicting equity bubbles

By |2019-10-14T08:55:58-04:00October 14th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

A Framework for Creating Model Portfolios

By |2019-10-07T10:07:25-04:00October 7th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Alternative Investments – A Field Manual

By |2019-09-23T09:17:00-04:00October 3rd, 2019|Financial Planning, Factor Investing, Guest Posts|

It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It's my hope that I can forewarn you of the [...]

Quality: Independent attributes or a real factor?

By |2019-09-30T15:23:19-04:00September 30th, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Technological Links and Predictable Returns

By |2019-09-23T12:30:16-04:00September 23rd, 2019|Basilico and Johnsen, Academic Research Insight|

Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Failure of Value Investing explained

By |2019-09-16T11:35:38-04:00September 16th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 finance papers? Check out our Academic Research Insight category What [...]

Spending Policies in a Low Return Environment

By |2019-09-04T07:56:34-04:00September 9th, 2019|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|

Evaluating Spending Policies in a Low Return Environment Peng Wang,  Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Crisis proof your portfolio: part 2/2

By |2019-09-03T09:35:34-04:00September 3rd, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

Can We Explain the Low Volatility Anomaly?

By |2019-08-22T09:12:16-04:00August 29th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]

Social Media, News Based Sentiment, and Market Timing

By |2019-08-26T08:32:29-04:00August 26th, 2019|Basilico and Johnsen, Academic Research Insight|

Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan BeckersJournal of Portfolio Management, Winter 2019A version of this paper can be found hereWant to read our [...]

Structured Notes: The Exploitation of Retail Investors

By |2019-08-21T09:08:57-04:00August 22nd, 2019|Research Insights, Larry Swedroe, Investment Advisor Education, Active and Passive Investing|

One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they are fictitious and highly fanciful tales of legendary deeds and [...]

Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

The Variance Risk Premium is Pervasive

By |2019-08-09T14:35:45-04:00August 15th, 2019|Research Insights, Factor Investing, Larry Swedroe|

The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]

No Skill? Well, Active Share Won’t Save You!

By |2019-07-28T12:26:24-04:00August 5th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

The Perils (and Inevitability) of Forecasting

By |2019-07-22T12:28:16-04:00August 1st, 2019|Research Insights, Guest Posts, Tactical Asset Allocation Research, Macroeconomics Research|

I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong).  I better realize now [...]

Financial Advice and Bank Profits

By |2019-07-31T09:29:34-04:00July 29th, 2019|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and here. Want to read our summaries of academic finance papers? [...]

Research on the Financial Performance of Collectibles

By |2019-07-22T12:41:52-04:00July 22nd, 2019|Basilico and Johnsen, Academic Research Insight|

When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Strategies to Reduce Crash Risk in Stocks

By |2019-07-12T13:15:49-04:00July 16th, 2019|Research Insights, Larry Swedroe|

Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity risk. Here’s the simple math demonstrating the point. Well-diversified equity [...]

Pathetic Protection via Protective Puts

By |2019-07-12T13:14:02-04:00July 15th, 2019|Crisis Alpha, Factor Investing, Basilico and Johnsen, Academic Research Insight, Managed Futures Research|

Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]