Do Security Analyst Recommendations Bet on or Against Academic Findings?
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 [...]
A few highlights from The Evidence-Based Investing Conference (West)
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 [...]
Tactical Asset Allocation: Does the Day of the Month Matter?
Most long-term approaches to investing, like tactical asset allocation or factor investing, are designed to trade infrequently, generally once a month or once a quarter. [...]
Podcast: Value Investing with Charlie Tian (Wes)
Here is a link to our podcast on Behind the Markets We discuss value investing alongside Charlie Tian. You can listen to the podcast via [...]
Academic Research Insight: The Value of Crowsourced Earnings Forecasts
Title: THE VALUE OF CROWDSOURCED EARNINGS FORECASTS Authors: RUSSELL JAME, RICK JOHNSTON, STANIMIR MARKOV, AND MICHAEL C. WOLFE Publication: JOURNAL OF ACCOUNTING RESEARCH, SEPTEMBER 2016 (version here) What [...]
Factor Investing: Evidence Based Insights
I will be talking on the Factor Investing panel at the upcoming Evidence-Based Investing Conference in Dana Point, CA next Sunday –Tuesday. I am excited [...]
1042 Exchange: Navigating Between a Rock and a Hard Place
This particular Greek dilemma is what came to mind when I first encountered an ESOP. I observed that business owners who sold shares to an ESOP seemed, like Odysseus, to find themselves between a rock and a hard place. They could elect to pursue a 1042 exchange and bypass the Scylla of capital gains taxes, but in doing so they had to roll their sale proceeds into qualified replacement property. That path would likely lead to the Charybdis of Floating Rate Notes. These special ESOP bonds are the predominant 1042 exchange asset in the marketplace, a fact that belies their relative shortcomings as an investment asset. Just how unattractive floating rate notes are, and why they became the default 1042 rollover strategy among financial advisors, is the subject of this article. However, unlike Odysseus, business owners seeking to implement 1042 exchanges have more affordable and transparent paths to navigate between a rock and a hard place.
Academic Research Insight: The Strategic Timing of Earnings News
Title: FURTHER EVIDENCE ON THE STRATEGIC TIMING OF EARNINGS NEWS: JOINT ANALYSIS OF WEEKDAYS AND TIMES OF DAY Authors: RONI MICHAEY, AMIR RUBIN, [...]
Active Share: Does it Predict Fund Performance?
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 [...]
“Passive” Investing: Theory and Practice in a Global Market
Purely passive investing is theoretically plausible but practically impossible. That said, the practical implementations can often be "good enough." As a theoretical index investor, you deploy [...]
Academic Research Insight: Factors and the Road to Retirement
Title: A WEALTH MANAGEMENT PERSPECTIVE ON FACTOR PREMIA AND THE VALUE OF DOWNSIDE PROTECTION Authors: LOUIS SCOTT AND STEFANO CAVAGLIA Publication: THE JOURNAL OF PORTFOLIO [...]
What’s the Scale of Your ETF Portfolio?
In most industries, whether it be cars, jewelry, food or beverages, some products are built for scale and mass distribution, while others are niche and [...]
The Global Value Momentum Trend Philosophy
Our Global Value Momentum Trend Index ("GVMT" or "GVMT Index") is a globally diversified equity strategy that leverages trend-following to manage tail-risks. The strategy can [...]
Academic Research Insight: Concentration is King
Title: PORTFOLIO CONCENTRATION AND PERFORMANCE OF INSTITUTIONAL INVESTORS WORLDWIDE Authors: NICOLE CHOI, MARK FEDEINA, HILLA SKIBA, TATYANA SOKOLYK Publication: JOURNAL OF FINANCIAL [...]
The Dividend Disconnect: Behavioral Finance Strikes Again
The first prediction in the paper is that "Capital Gains and Dividends Viewed as Distinct Desirable Attributes". But what does that mean? The authors highlight that when assessing stock positions, an investor has two options for how to assess the performance -- (1) simple price appreciation/depreciation or (2) total return. Note that price appreciation/depreciation is simply the price appreciation/depreciation on the position, while total return includes both the price appreciation/depreciation plus the dividend return. Directly from the paper: For many positions, either price changes or returns including dividends will yield the same category of gain or loss. However, some positions are at a gain when dividends are included, but at a loss without their inclusion. Do investors treat such positions as being at a gain or at a loss when evaluating whether to sell the position? This is equivalent to asking whether investors adjust for the mechanical decrease in shares price that results from dividend payments.
Portfolio Rebalancing Research: Momentum and Tolerance Bands
If you are looking for research on stock selection, you're in luck -- the research is everywhere and has arguably been overdone. Get started with Moon [...]
Academic Research Insight: Factor Investing Over the Long Run
Title: FACTOR BASED INVESTING: THE LONG TERM EVIDENCE Authors: ELROY DIMSON, PAUL MARSH, AND MIKE STAUNTON Publication: THE JOURNAL OF PORTFOLIO MANAGEMENT, [...]
March for the Fallen: Get Fit with Alpha Architect
Editor's notes: Dedicated web page is here: https://alphaarchitect.com/march-for-the-fallen-2018/. Pat O'Shaughnessy is doing the event. You can hear our podcast on the subject here. Also, there is a March [...]
Trust, but Verify: The Potential Problems of Blind Investing
Nobody can predict the future, but there is a chance the blind purchase of broad-index portfolios will come to an abrupt and potentially chaotic end when the [...]
The Value Premium: Risk or Mispricing?
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 [...]