Star Fund Managers Lose Luster
It was a particularly hot summer weekend day in St. Louis, too hot to be outside. So I decided to use the time going through the collection of articles I keep for future use. I save these articles, to be...
Small Value Funds Not Equal, Part II
Smart investors begin their journey by developing an investment plan, or investment policy statement, that includes an asset allocation table. After the plan has been prepared, the next step is to select proper investment vehicles for providing the appropriate exposure...
Is ‘Momentum’ Faltering? Part I
For the decade from 2004-2013, the momentum premium—as measured by the Fama-French momentum factor—experienced a negative compound return of -1.2 percent per year. (This number was calculated using the monthly momentum premium figures from the Fama-French data series. Note that returns...
Is ‘Momentum’ Faltering? Part II
Earlier this week, we took a look at some of the historical evidence on the persistence of the Fama-French momentum factor. Today we’ll examine the momentum premium’s out-of-sample record, as well as its uses in portfolio diversification. The authors of...
Small Value Vs Midcap Value
My column from July 14 on the persistence of the small-value premium resulted in some interesting discussions on the subject. I thought it would be informative to share one of them. One reader pointed out that in the past 20 years, midcap...
Active Funds Fail Again & Again
The evidence is overwhelming that most actively managed funds underperform their appropriate benchmarks, especially after taxes. However, not all actively managed funds underperform, just a large majority of them. Those who believe in active management as the winning strategy believe they can...
Enough With The Hedge Fund Hype
The first half of this year again brought hedge funds little relief from their historically poor performance. Hedge funds began 2014 coming off their fifth-straight year of trailing U.S. stocks by some significant margins. And based on data through June 30, it...
Not All Value Metrics Are Equal
The metric most commonly used to categorize value stocks and to construct portfolios is the one employed by the Fama-French three-factor model—book-to-market (BtM) ratio. Russell Indexes only uses BtM to determine value as well. However, other metrics also show a...
Debunking Grantham’s Concerns
“For some months now, Jeremy Grantham, a respected market strategist with GMO, an institutional asset management company, has been railing about the efficient market hypothesis.” So began a June 6, 2009, New York Times article by Joe Nocera. He went...
Bogle May Be Right About ETFs
Vanguard Group founder John Bogle created the first index funds available to individual investors in 1976, and ever since then he’s been a tireless champion of their use. Given that passive ETFs can provide advantages—such as lower costs and greater...
