Does Market Timing Work? The recent surge in market volatility and associated plunge in stock prices have been quite remarkable. In less than four weeks, the S&P 500 Index plummeted 27% from a record high on February 19 to its close on March 16, signaling the arrival of a bear market and a close to a remarkably long, 11-year […] View Article

Turning Shareholder Yield into an Investment Strategy Share buybacks have become a major theme in the US stock market in recent years. Share repurchases reached a new peak in 2018-2019, helped along by the sharp cut in corporate tax rates that took effect in January 2018. But what motivates companies to buy back shares? We conducted research on this question and came […] View Article

Using Factors to Rebalance a Client’s Portfolio We normally think about investment risk factors—such as value or momentum—at the individual security level. We decided to test whether the same factor logic works at the asset-class level. Specifically, we studied whether applying the momentum factor is a useful tool to manage quantitative, tactical asset allocation and its byproduct—portfolio rebalancing—in an effective way. Momentum […] View Article