Investing Research Articles

Do very old data confirm reliability of widely accepted asset return factor premiums? In their January 2019 paper entitled “Global Factor Premiums”, Guido Baltussen, Laurens Swinkels and Pim van Vliet present replication (1981-2011) and out-of-sample (1800-1908 and 2012-2016) tests of six global factor premiums across four asset classes. The asset classes are equity indexes, government bonds, commodities and… Keep Reading

Does choice of multi-asset portfolio rebalance date(s) materially affect performance? In their October 2018 paper entitled “Rebalance Timing Luck: The Difference Between Hired and Fired”, Corey Hoffstein, Justin Sibears and Nathan Faber investigate effects of varying portfolio rebalance date on performance. Specifically, they quantify noise (luck) from varying annual rebalance date for a 60% S&P 500 Index-40% 5-year… Keep Reading

Below is a weekly summary of our research findings for 2/11/19 through 2/15/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Subscribers asked whether risk parity might work better than equal weighting of winners within the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month selects the best performers over a specified lookback interval from among the following eight asset class exchange-traded funds (ETF), plus cash: PowerShares DB Commodity Index Tracking (DBC) iShares MSCI Emerging Markets Index… Keep Reading

How well do mutual funds exploit theoretical (academic) equity factor premiums, and how well do investors exploit such exploitation? In their January 2019 paper entitled “Factor Investing from Concept to Implementation”, Eduard Van Gelderen, Joop Huij and Georgi Kyosev examine: (1) how performances of mutual funds that target equity factor premiums (low beta, size, value, momentum, profitability, investment)… Keep Reading

Personal residences represent the largest asset class allocation for many U.S. investors. What return do they generate, how do their returns relate to stock market returns and how do they vary across Metropolitan Statistical Areas (MSA)? In their January 2019 paper entitled “The Cross-Section of Expected Housing Returns”, Esther Eiling, Erasmo Giambona, Ricardo Lopez Aliouchkin and Patrick Tuijp examine how… Keep Reading

Below is a weekly summary of our research findings for 2/4/19 through 2/8/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

In response to “Robustness of SACEMS Based on Sharpe Ratio”, a subscriber asked whether Martin ratio might work better than raw returns and Sharpe ratio for ranking assets within the Simple Asset Class ETF Momentum Strategy (SACEMS), which each month selects the best performers over a specified lookback interval from among the following eight asset class… Keep Reading

Larry Swedroe and Kevin Grogan introduce their 2019 book, Your Complete Guide to a Successful and Secure Retirement, as follows: “…failure to plan is to plan to fail. While so many of us have carefully planned our education, career choices, and family responsibilities, we tend to fail to prepare a written retirement life plan that considers, among other things, our… Keep Reading

Do expert investors (institutional stock portfolio managers) add value both by buying future outperforming stocks and by selling future underperforming stocks? In their December 2018 paper entitled “Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors”, Klakow Akepanidtaworn, Rick Di Mascio, Alex Imas and Lawrence Schmidt examine trade decisions of experienced institutional (e.g., pension fund) stock portfolio… Keep Reading