Larry Swedroe

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Trend Following Research: Breaking Bad Trends

By |2020-11-12T11:31:32-05:00November 12th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights, Momentum Investing Research|

Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. Initial research on [...]

Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?

By |2020-10-27T08:12:29-04:00November 5th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|

In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study “The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead [...]

Combining Value and Profitability Factors to Improve Performance

By |2020-10-26T09:57:45-04:00October 29th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, which added momentum to market beta, size, and value, becoming [...]

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 [...]

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 [...]

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 [...]

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 [...]

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, [...]

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 [...]

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. [...]

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 [...]

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 [...]

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 [...]

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 [...]

Trend Following is Everywhere

By |2020-04-22T09:50:30-04:00April 23rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following|

Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend following it's worth your time to review Alpha Architects white [...]

Is There a Tail Risk Premium in Stocks?

By |2020-04-15T08:36:40-04:00April 16th, 2020|Crisis Alpha, Research Insights, Factor Investing, Larry Swedroe|

It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict.editor's note: This [...]

Is There Something Wrong with the Value Premium?

By |2020-03-24T12:13:15-04:00March 24th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly possible that what economists call a “regime change” could cause [...]

Do Insider Trades Provide Insights into Future Returns?

By |2020-03-09T09:57:42-04:00March 11th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several blog posts just a few of which are here and [...]

The Gap Between Large and Small Companies is Growing. Why?

By |2020-03-02T07:40:38-05:00March 5th, 2020|Research Insights, Larry Swedroe, Size Investing Research|

In my role as chief research officer for the Buckingham Family of Financial Services, I receive many questions from investors and advisors alike, asking me to address concerns they have that originate from articles they [...]

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 [...]

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