Larry Swedroe

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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 [...]

The Idiosyncratic Volatility Puzzle: Then and Now

By |2020-01-06T15:03:35-05:00January 9th, 2020|Research Insights, Larry Swedroe, Low Volatility Investing|

One of the interesting puzzles in finance is that stocks with greater idiosyncratic volatility (IVOL) have produced lower returns (see an earlier post here). This is an anomaly because idiosyncratic volatility is viewed as a [...]

Improving the Performance of Deep Value Strategies

By |2019-12-10T19:32:32-05:00December 12th, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

A large body of evidence demonstrates that investment strategies focused on buying stocks that are cheap relative to measures of fundamental value have achieved higher long-term returns than the broad market. Motivated by such legendary [...]

Global Impact of Investor Home Country Bias

By |2019-12-05T16:16:14-05:00December 5th, 2019|Research Insights, Larry Swedroe, Macroeconomics Research|

A large body of research demonstrates that “familiarity breeds investment.” For example, a study by Gur Huberman found that shortly after AT&T was broken up and shareholders were given shares in each of what were [...]

Are Earnings Forecasts of Sell-side Analysts Biased?

By |2019-11-25T09:22:02-05:00November 26th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources [...]

Are Value, Carry and Momentum Regime Dependent?

By |2019-11-05T08:12:33-05:00November 21st, 2019|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is “The Death of [...]

The Investment Factor and Expected Returns

By |2019-11-18T14:15:00-05:00November 14th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research piece that tells a different side of the story. We [...]

What Returns Should Investors Expect from Private Equity

By |2019-11-05T11:11:10-05:00November 7th, 2019|Research Insights, Larry Swedroe, Behavioral Finance|

The collapse in interest rates, combined with historically high valuations (at least for U.S. stocks), have led many endowments, pension plans (especially those with large unfunded liabilities) and high net worth investors (such as those [...]

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 [...]

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 [...]

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 [...]

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 [...]