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Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?

By | 2018-03-13T07:34:57+00:00 March 14th, 2018|Research Insights, Value Investing Research, $SPY|

Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and internal discussions is several books and hundreds of blog posts [...]

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Want to Learn More About Factor Investing? Read This.

By | 2017-10-26T10:23:15+00:00 October 26th, 2017|Factor Investing, Research Insights, Interviews, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Replicating Anomalies is arguably a "must read" for anyone who thinks about factor investing and is looking to improve their understanding of the space. Lu Zhang, and his colleagues, Kewei Hou and Chen Xue, spent [...]

Dividend Capture Strategy: Trade Execution Matters

By | 2017-10-09T20:38:51+00:00 October 12th, 2017|$dtd, Research Insights, Guest Posts|

One area in investing that is often overlooked by investors is trade execution, which relates primarily to commissions, bid-ask spreads, and price impact. Yet sometimes it is trade-execution alone that can make the difference between [...]

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ETF Product Development: Past, Present, and Future

By | 2017-10-04T11:09:41+00:00 October 4th, 2017|Factor Investing, Active and Passive Investing, $mtum, ETF Investing|

On October 1st, 1908 Henry Ford introduced the Model T to the world. The power of the Model T was that it democratized the automobile so the average working-class person could afford a car for [...]

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A few highlights from The Evidence-Based Investing Conference (West)

By | 2017-08-18T17:11:24+00:00 June 30th, 2017|Business Updates, $SPY, Yahoo Tickers, $IEF, $mtum, $vlue|

Earlier this week, I attended the Evidence-Based Investing Conference (West) and spoke on "The Factor Zoo" panel. I present a few highlights / takeaways from the event before you begin the 4th of July weekend. Of course, these [...]

“Alternative” Facts about Formulaic Value Investing

By | 2017-08-18T17:12:00+00:00 April 22nd, 2017|Research Insights, Key Research, Behavioral Finance, Value Investing Research, $vlue, $brk-a|

A new paper, "Facts about Formulaic Value Investing," is making the rounds and professes to plunge a dagger directly into the heart of systematic value investors. Half of my inbox is filled with questions regarding this [...]

How Asset Managers Are Adapting to Exchange-Traded-Funds

By | 2017-08-18T17:03:42+00:00 April 10th, 2017|$hack, $XLU, Guest Posts, ETF Investing|

The ETF industry has been around for over 20 years at this point, but over the past 5 years the ETF industry has captivated the investment world. I've had a front seat on the action, launching [...]

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Book Review — The Undoing Project: A Friendship That Changed Our Minds

By | 2017-08-18T17:09:06+00:00 March 15th, 2017|Research Insights, Guest Posts, Behavioral Finance, Book Reviews, $SPY|

Psychology permeates nearly every area of human endeavor. In the world of investing, for instance, psychology can help us understand the systematically poor decision-making that drives the academic anomalies explored on this blog. One cannot [...]

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Swedroe Spotlight: Explaining the Low Risk Effect

By | 2017-08-18T16:56:28+00:00 February 21st, 2017|Larry Swedroe, $usmv, $iwb, Research Insights, Guest Posts, $SPLV, Low Volatility Investing|

Before proceeding, it’s important to note that beta and volatility are related, though not the same. Beta depends on volatility and correlation to the market, whereas volatility is related to idiosyncratic risk (see here for an explanation of how to calculate the different measures). The superior performance of low-volatility and low-beta stocks was first documented in the literature in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” And the low-volatility anomaly has been shown to exist in equity markets around the world. Interestingly, this finding is true not only for stocks, but for bonds as well. In other words, it has been pervasive.

How to Explain Momentum with Rational Investors — It’s complicated.

By | 2017-08-18T17:03:23+00:00 February 14th, 2017|Research Insights, Momentum Investing Research, $mtum|

A recent theory paper from researchers at NYU and Rutgers attempts to explain the empirical evidence on stock serial correlation (e.g., short-term reversal, long-term stock reversal, and classic stock momentum). The interesting wrinkle with this paper is the [...]

Shooting Yourself in the Foot with Socially Responsible Investing

By | 2017-08-18T16:57:00+00:00 January 31st, 2017|Guest Posts, Corporate Governance, $dsi|

Socially responsible investing (SRI). Environmental, Social, and Governance investing (ESG). Impact investing...and so on... These socially responsible investing concepts can be roughly described as portfolio strategies that allocate investment dollars based on ethical, social, sustainability, or [...]

Treasury Bills Outperform Most Stocks — Say What???

By | 2017-08-18T16:54:25+00:00 January 26th, 2017|Research Insights, $SPY, Active and Passive Investing, Macroeconomics Research|

Each morning we peruse a variety of research sites to see if there is anything exciting, new, and intriguing. Rarely does one find something that triggers a knee-jerk reaction like a recent paper by Hendrik [...]

Go Skew Yourself with Managed Futures

By | 2017-08-18T17:04:39+00:00 January 10th, 2017|Trend Following, $wdti, Research Insights, Guest Posts, Managed Futures Research|

Skewness is a statistical measure of how returns behave in the tails of a probability distribution.  Wikipedia has a more robust definition of skewness with some good visuals here. If an investment (e.g., stocks) has negative [...]

In Calm Markets Should We Buy “Cheap” Put Protection?

By | 2017-08-18T17:03:09+00:00 November 18th, 2016|Research Insights, $vxx|

Time for a little myth busting. Recently, the Motley Fool posted an article that argued the following: when market volatility is low, protective put options are cheap. From the article: Smart investors know that the time to buy most [...]

Digging Deeper into Closed End Fund Investment Opportunities

By | 2017-08-18T17:06:50+00:00 October 11th, 2016|Value Investing Research, $FTF|

A couple of weeks ago, I received Franklin Templeton Investments' letter to shareholders of Franklin Limited Duration Trust (ticker FTF) imploring us to not let "self-serving" Saba (an activist shareholder) "DESTROY YOUR FUND" [their bold and all [...]

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Value Investing Got Crushed During the Internet Bubble — Here’s Why…

By | 2017-08-18T16:53:53+00:00 October 10th, 2016|Value Investing Research, Momentum Investing Research, $vlue, $iwd|

The dot-com bubble of the late 90s was a wild time in the stock market. Internet stocks were trading through the roof, tech IPOs were a practically daily experience, and people quit their jobs to [...]

Quantitative Momentum: A Guide to Momentum-Based Stock Selection

By | 2017-08-18T16:58:23+00:00 October 5th, 2016|Book Reviews, Momentum Investing Research, Business Updates, $mtum|

The long wait is over. Our newest book--Quantitative Momentum--is finally here. After 2 years of research review, results replication, reverse engineering, internal idea generation, writing, editing, and final publication, we have a final product. We think [...]

Predicting Booms and Busts in Low Volatility Strategies

By | 2017-08-18T16:59:12+00:00 September 27th, 2016|Research Insights, $SPLV, Low Volatility Investing|

Low volatility funds are some of the best performers in the market these days. As such, they have attracted renewed attention in addition to significant asset flows. (note: a refresher on low volatility investing is here, h.t. Eric [...]

Managed Futures: Understanding a Misunderstood Diversification Tool.

By | 2017-08-18T17:01:10+00:00 August 24th, 2016|$fut, Tactical Asset Allocation Research, Managed Futures Research|

In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (“Crisis Alpha” months), and I analyze the performance of US stocks during really bad [...]