Third-Party Research & Methodology Only

This section shares summaries of third-party academic research and descriptions of quantitative models. The content represents the findings of the original researchers, not the opinions or recommendations of Foxholm Financial. Foxholm Financial does not publish hypothetical or backtested performance metrics on its quantitative research pages. All content is restricted to methodology, signal construction, factor logic, and risk architecture. SEC rules require that investment advisers not present misleading performance data, and our methodology-only approach reflects that standard and the firm's fiduciary obligations.

Research Reviews

Academic Research Reviews

Plain-language summaries of published academic papers on factor investing, momentum, volatility, and portfolio construction. Each review explains what the researchers found, why it matters, and how the findings connect to quantitative investing practice. Original papers are linked where publicly available.

Momentum, Value & Cross-Asset Strategies

Evidence for two of the most persistent patterns in financial markets: buying recent winners (momentum) and buying cheap assets (value). These papers document the effects across stocks, bonds, currencies, and commodities.

Jegadeesh & Titman (1993)
The original momentum paper, showing that stocks that have risen over the past 3 to 12 months tend to keep rising, and losers tend to keep falling.
Lakonishok, Shleifer & Vishny (1994)
Evidence that cheap, out-of-favor stocks historically outperformed expensive "glamour" stocks, driven by investor overreaction rather than extra risk.
Moskowitz, Ooi & Pedersen (2012)
Documents momentum in the time dimension: assets that have been rising tend to keep rising across stocks, bonds, currencies, and commodities.
Asness, Moskowitz & Pedersen (2013)
Value and momentum work across stocks, bonds, currencies, and commodities worldwide, and the two strategies offset each other's risks.

Portfolio Construction & Risk

Research on how to build portfolios and model risk. These papers address fundamental questions about diversification, optimization, and how correlations between investments change over time.

Black & Litterman (1992)
A portfolio method that starts from what the market implies about expected returns and blends in the investor's own views, producing more stable allocations than classical optimization.
DeMiguel, Garlappi & Uppal (2009)
Research showing that simply splitting money equally across investments performed competitively against more sophisticated optimization methods.
Engle (2002)
A method for modeling how correlations between investments change over time, capturing the tendency for assets to move together more during market stress.

Factor Models & Return Drivers

Research on what characteristics predict stock returns. These papers established the academic foundation for factor investing and raised important questions about how many of those factors are real.

Fama & French (1993)
The landmark paper that identified company size and cheapness as two key drivers of stock returns beyond overall market performance.
Novy-Marx (2013)
Shows that profitable companies earn higher stock returns than unprofitable ones, even when they look expensive by traditional measures.
Harvey, Liu & Zhu (2016)
A study of hundreds of claimed stock market patterns that argues most are false discoveries caused by data mining.
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Disclaimer

This content is for educational and informational purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing herein constitutes investment advice or recommendations tailored to your individual situation. All investments involve risk, including the potential loss of principal. Past performance is no guarantee of future results. Information presented is believed to be factual and up-to-date, but Foxholm Financial does not guarantee its accuracy and it should not be regarded as a complete analysis of the subjects discussed. Before making investment decisions, consult with a qualified financial advisor who can evaluate your specific circumstances.