Larry Swedroe

///Larry Swedroe

Deep Dive into the Value Factor

By |2019-04-30T09:25:03-04:00May 2nd, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]

Investment Strategy in an Uncertain World

By |2019-04-02T08:28:43-04:00April 11th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Tactical Asset Allocation Research|

In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]

The Momentum of News

By |2019-04-02T08:12:09-04:00April 4th, 2019|Research Insights, Larry Swedroe, Momentum Investing Research|

Since the development of the capital asset pricing model (CAPM) in the 1960s, hundreds of anomalies (what John Cochrane famously called a “zoo of new factors”) have been uncovered in the cross-section of stock returns. [...]

Why the Size Premium Should Persist

By |2019-03-19T14:08:06-04:00March 20th, 2019|Research Insights, Factor Investing, Larry Swedroe, Size Investing Research|

As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]

“The Failure of Factor Investing was Predictable”

By |2019-02-04T13:02:58-04:00January 28th, 2019|Research Insights, Factor Investing, Larry Swedroe|

In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed miserably”— called for examination of the facts. But first, a [...]

Discipline: A Necessary Condition for Successful Investing

By |2018-12-31T11:41:58-04:00December 31st, 2018|Research Insights, Larry Swedroe, Guest Posts, Behavioral Finance|

A good friend, Sherman Doll, related the following story. Sherman has been a two-line sport kite flier for years. While not a pro, he has learned a few tricks from observing the flying behavior of [...]

Is Active Alpha Enough to Cover Taxes?

By |2019-01-04T10:41:33-04:00December 26th, 2018|Research Insights, Larry Swedroe, Tax Efficient Investing|

Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to outperform is highlighted. The evidence on this failure led Charles [...]

How a Multi-factor Portfolio is Constructed Matters

By |2018-10-10T10:27:23-04:00October 11th, 2018|Research Insights, Factor Investing, Larry Swedroe|

The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected Stock Returns,” Eugene Fama and Kenneth French introduced a new-and-improved [...]

How Leverage Constraints Effect Mutual Fund Risk Taking

By |2018-09-14T15:56:24-04:00September 13th, 2018|Research Insights, Factor Investing, Larry Swedroe, Low Volatility Investing|

The 2014 study by Andrea Frazzini and Lasse Heje Pedersen, “Betting Against Beta,” found strong support for low-beta strategies. I’ve previously written on low-beta strategies here. This paper finds that, for U.S. stocks, the betting [...]

The Value Effect and Macroeconomic Risk

By |2018-01-09T09:26:25-04:00January 9th, 2018|Research Insights, Larry Swedroe, Guest Posts, Value Investing Research|

It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of that premium: Is it risk-based or is it related to [...]

The Tax Efficiency of Long-Short Strategies

By |2017-12-28T07:07:09-04:00December 28th, 2017|Research Insights, Larry Swedroe, Tax Efficient Investing|

Conventional wisdom can be defined as ideas that are so accepted that they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two great examples are that millions of people once believed the conventional wisdom that [...]

The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)

By |2017-12-20T21:43:21-04:00December 21st, 2017|Research Insights, Larry Swedroe, Value Investing Research, Tactical Asset Allocation Research|

The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value in terms of future returns. The higher the earnings yield, [...]

Factor Timing Investigation: Interest Rates, Value Spreads, and Factor Premiums

By |2017-09-22T09:34:38-04:00September 22nd, 2017|Research Insights, Factor Investing, Larry Swedroe, Guest Posts|

Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, [...]

Short Term Momentum and Long Term Reversals Can Coexist

By |2017-08-28T10:27:32-04:00August 30th, 2017|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Momentum Investing Research|

In their seminal 1993 paper, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Narasimhan Jegadeesh and Sheridan Titman reported significant returns to buying winners and selling losers in the U.S. equity [...]

Diversification Benefits of Time Series Momentum

By |2017-08-18T17:06:44-04:00August 10th, 2017|Research Insights, Larry Swedroe, Trend Following|

Similar to some better-known factors like size and value, time-series momentum is a factor that historically has demonstrated above average excess returns. Time-series momentum, also called trend-momentum or absolute momentum, is measured by a portfolio long assets that have had recent positive returns and short assets that have had recent negative returns. Compare this to the traditional (cross-sectional) momentum factor that considers recent asset performance only relative to other assets. The academic evidence suggests that inclusion of a strategy targeting time-series momentum in a portfolio improves the portfolio’s risk-adjusted returns.

Do Security Analyst Recommendations Bet on or Against Academic Findings?

By |2017-10-16T08:10:03-04:00July 6th, 2017|Research Insights, Larry Swedroe, Behavioral Finance|

As my co-author Andrew Berkin, the director of research for Bridgeway Capital Management, and I explain in our new book, “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return predictability. Citing [...]

Active Share: Does it Predict Fund Performance?

By |2017-08-18T17:10:54-04:00June 15th, 2017|Factor Investing, Larry Swedroe, Active and Passive Investing|

The Holy Grail for mutual fund investors is the ability to identify in advance, which of the active mutual funds (or ETFs nowadays) will outperform in the future. The evidence suggests this task is almost [...]

The Value Premium: Risk or Mispricing?

By |2017-08-18T16:55:06-04:00May 24th, 2017|Research Insights, Larry Swedroe, Other Insights, Behavioral Finance, Value Investing Research|

One of the great debates in finance is whether the source of the value premium is risk-based or a behavioral anomaly. In our book, “Your Complete Guide to Factor-Based Investing,” my co-author Andrew Berkin and [...]

Swedroe Spotlight: Enhancing Momentum Strategies Via Idiosyncratic Momentum

By |2018-10-22T10:53:10-04:00May 2nd, 2017|Research Insights, Factor Investing, Larry Swedroe, Guest Posts, 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. The momentum effect [...]

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