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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 [...]

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 [...]

Surprise! The Size, Value, and Momentum Anomalies Survive After Trading Costs

By | 2017-08-18T16:56:32+00:00 August 17th, 2016|Research Insights, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Anyone who has spent time reading this blog has become familiar with research involving asset pricing anomalies that generate excess returns. In particular, the academic literature has addressed the following: "size," or a portfolio of [...]

Evidence-Based Investing Requires Less Religion and More Reason

By | 2017-08-18T17:05:23+00:00 July 27th, 2016|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

Technical Analysis: The Market’s Oldest Religion During the 1600s, the Dutch had a large merchant fleet and the port city of Amsterdam was a dominant commercial hub for trade from around the world. Based on [...]

Why Investors Should Combine Value and Momentum Investing Strategies

By | 2017-08-18T16:52:10+00:00 March 22nd, 2016|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value and momentum investing concepts.* Many investors recognize that stand-alone value and [...]

How Do Dividend Paying Stocks Affect the Value Investing Anomaly?

By | 2017-08-18T17:03:41+00:00 October 5th, 2015|Value Investing Research, $vlue, $iwd|

Meb Faber tweeted an interesting question related to taxes, dividend payers, and the value premium the other day. I'll summarize the heart of the question: How do dividend payers affect the value premium? Instead of pontificating on the [...]

Expensive Junk Stocks are Killing High-Quality Value Stocks, YTD

By | 2017-08-18T17:05:18+00:00 August 4th, 2015|Value Investing Research, $vlue, $iwd, $qual|

In general, investors focused on affordable stocks with strong fundamentals have been taken to the cleaners year-to-date. Meanwhile, expensive stocks with poor fundamentals have been rocking! Some Basic Statistics: Below we  document some core performance [...]

Value Investing Research: O-Score and Distress Risk

By | 2017-08-18T16:53:50+00:00 July 7th, 2015|Value Investing Research, Yahoo Tickers, $vlue, $syld, $iwd|

Book-to-Market Equity, Distress Risk, and Stock Returns, by Griffin and Lemmon (2002 Journal of Finance) investigate the relationship between value premiums and distress risk.  There are two schools of thought on the value premium, or [...]

The Most Important Decision When Selecting a Value Investing Fund

By | 2017-08-18T16:55:26+00:00 April 23rd, 2015|Value Investing Research, $vlue, $voe|

The Best Investment with the Worst Performance We are huge believers in value investing. I personally started off as a fundamental value guy, spending twenty-plus years trying to pick stocks. I eventually ran into Wes, [...]

Are Value Investing and Momentum Investing Robust Anomalies?

By | 2017-08-18T17:10:04+00:00 April 21st, 2015|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and we can probably tell you the stats on it fairly quickly. [...]

Attention Value Investors: How to Predict Accounting Trickery

By | 2017-08-18T17:09:54+00:00 April 20th, 2015|Research Insights, Value Investing Research, $vlue, $voe|

Predicting Material Accounting Misstatements Dechow, Ge, Larson and Sloan A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We examine 2,190 [...]

Tactical Asset Allocation with Market Valuations: Magic of Myth?

By | 2017-08-18T16:56:18+00:00 April 14th, 2015|Research Insights, Value Investing Research, Tactical Asset Allocation Research, $SPY, $vlue|

Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as an effective way to manage risk and to time markets. [...]

How to Combine Value and Momentum Investing Strategies

By | 2017-08-18T17:03:25+00:00 March 26th, 2015|Key Research, Value Investing Research, Momentum Investing Research, $SPY, $mtum, $vlue, $voo|

The evidence suggests that we keep highly active exposures to value and momentum in their purest forms (assuming we are doing high-conviction non-watered down versions of the anomalies). Blending the strategy dilutes the benefit of value and momentum portfolios. The summary of the benefits of a pure value and a pure momentum approach can be summarized as follows: Easier ex-post assessment, stronger portfolio diversification benefits, and stronger expected performance.

How Rebalancing Frequency Affects Quality and Value investing funds

By | 2017-08-18T17:03:33+00:00 March 19th, 2015|Value Investing Research, $vlue, $voo|

Rebalance frequency affects value and quality factors in different ways: Value works better when assessed more frequently Quality factors work about the same, regardless of frequently. Other important findings: Value portfolios outperform the market, historically. Quality portfolios perform inline [...]

Timing Value and Momentum with Valuation-Spreads

By | 2017-08-18T16:54:55+00:00 March 4th, 2015|Value Investing Research, Momentum Investing Research, Tactical Asset Allocation Research, $SPY, $mtum, $vlue|

We were recently passed along an article suggesting that valuation spreads, or the spread in a valuation metric across the most expensive and least expensive stocks, matters for timing investments. We take this concept one step further [...]

Did Warren Buffett Move the Goalposts in the Latest Letter?

By | 2017-08-18T17:06:52+00:00 February 28th, 2015|$SPY, $vlue, $brk-a|

It appears even the Oracle of Omaha may be vulnerable to short term performance pressures. The Berkshire report came out today, and it has magically changed formats to deemphasize the fact the book value per share [...]