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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 [...]

Cross-Asset Signals and Time-Series Momentum

By |2020-08-03T11:12:14-04:00August 6th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, [...]

CEOs Formative Years and the Gender Gap

By |2020-08-03T11:08:48-04:00August 3rd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A version of this paper can be found hereWant to read our [...]

Is Systematic Value Dead???

By |2020-07-21T18:11:50-04:00July 30th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor. Ronen Israel, Kristoffer Laursen, Scott A. Richardson in "Is (Systematic) Value Investing Dead" There is a large [...]

Relative Skewness: A New Risk Factor?

By |2020-07-27T11:36:34-04:00July 27th, 2020|Skewness, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA 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 research [...]

Fundamental Momentum, the Carry Trade, and Currency Returns

By |2020-07-21T11:28:33-04:00July 23rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same asset class that have performed poorly over the prior year. [...]

What is Impact Investing?

By |2020-07-20T10:58:02-04:00July 20th, 2020|Financial Planning, ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Planning Opportunities: Why Gift It, If You Can Loan It?

By |2020-07-17T10:23:29-04:00July 16th, 2020|Financial Planning, Research Insights, Guest Posts, Investment Advisor Education|

The coincidence of historically low-interest rates and the increased gift tax exemption under the 2017 Tax Cuts and Jobs Act has temporarily created an opportunity for high net worth families to tax-efficiently transfer wealth from generation to generation. Of course, families can use their [...]

Left Tail Risk and Left Tail Momentum

By |2020-07-13T13:19:48-04:00July 14th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk securities, they demand higher compensation in the form of higher [...]

Reducing Estimation Error in Mean-Variance Optimization

By |2020-07-13T11:00:18-04:00July 13th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari LevineWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Market Return Around the Clock

By |2020-07-06T13:47:26-04:00July 7th, 2020|Overnight Returns Research, Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

Market Return Around the Clock: A Puzzle Oleg Bondarenko and Dmitriy MuravyevWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Board Diversity: When Will We Break Through the Glass Ceiling?

By |2020-07-06T08:54:37-04:00July 6th, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Board leadership positions elude diverse directors Laura Casares Field, Matthew Sauther and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Combining Momentum with Long-Term Reversal

By |2020-07-02T11:20:25-04:00July 3rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Momentum Investing Research|

Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month [...]

How Trend Following Strategies Shape Return Distributions

By |2020-06-29T10:34:49-04:00June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Can Statistics Actually Determine if Managers Have No Skill?

By |2020-06-22T09:53:36-04:00June 22nd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Campbell Harvey and Yan LiuJournal of Finance, 2020A 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 Research Questions? Whether they [...]

Do Option Prices Inform Stock Returns?

By |2020-06-15T12:06:24-04:00June 18th, 2020|Volatility (e.g., VIX), Options, Research Insights, Larry Swedroe|

In perfectly efficient markets, option prices should not convey any new information or contribute to the price discovery of underlying assets. However, if markets are not perfectly efficient, traders with private information might prefer to [...]

Trading Costs Wipe Out the Overnight Return Anomaly

By |2020-06-15T11:22:34-04:00June 16th, 2020|Overnight Returns Research, Research Insights, Guest Posts|

At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at the close of the market, then selling it at the [...]

Order Flow Correlation May Imply Momentum Factor Crowding

By |2020-06-15T10:54:35-04:00June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |2020-06-08T10:18:10-04:00June 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA 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 Research Questions The [...]

Do Interest Rates Explain Value’s Underperformance?

By |2020-06-02T10:55:56-04:00June 4th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Tactical Asset Allocation Research, Macroeconomics Research|

From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]

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