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Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

By |2020-09-22T11:11:37-04:00September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

How to Optimize Fixed Annuity Tax Deferral

By |2020-08-31T15:54:42-04:00September 3rd, 2020|Financial Planning, Guest Posts, Tax Efficient Investing|

Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

Value Investing: An Examination of the 1,000 Largest Firms

By |2020-08-18T10:57:53-04:00August 18th, 2020|Research Insights, Factor Investing, Value Investing Research|

Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]

Diversifying Your Value Portfolio? Quality Works, but Have You Heard of Momentum?

By |2020-06-26T12:15:33-04:00June 26th, 2020|Research Insights, Factor Investing, Value Investing Research, Momentum Investing Research|

What if your portfolio was only based on one idea? Something like “stocks always go up” or “value always beats growth.”  You may be learning a humbling lesson right now that Mr. Market has taught [...]

Trading Costs Wipe Out the Overnight Return Anomaly

By |2020-06-15T11:22:34-04:00June 16th, 2020|Overnight Returns Research, Research Insights, Guest Posts|

At least once a year, the press and Twittersphere propagate the mistaken idea that investors can earn excess returns by buying the S&P 500 at the close of the market, then selling it at the [...]

5 Surprising Things We Learned from a Factor Investing Expert

By |2020-06-11T11:24:37-04:00June 11th, 2020|Research Insights, Factor Investing|

Lu Zhang and his colleagues made some waves with their new paper, “Replicating Anomalies.” (now published in the RFS -- congrats!). We have a summary of the paper here. Lu Zhang, and his colleagues, Kewei [...]

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