Value Factor Diversification: Is Quality Better Than Momentum?
By Wesley Gray, PhD|June 26th, 2020|Factor Investing, Research Insights, Key Research, Value Investing Research, Momentum Investing Research|
What if your portfolio was only based on one idea? [...]
ETF-prenuers: An Introduction to ETF White Label Services
By Wesley Gray, PhD|June 24th, 2020|ETF Operations, Research Insights, Key Research, ETF Investing|
Interested in starting an ETF? Interested in converting a managed [...]
Can Statistics Actually Determine if Managers Have No Skill?
By Wesley Gray, PhD|June 22nd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|
Campbell Harvey and Yan LiuJournal of Finance, 2020A version of [...]
Math Is Magic: A Weekend Brain Teaser
By Douglas Faust|June 19th, 2020|Academic Research Insight, Behavioral Finance|
In the course of some research on costs and constraints [...]
Do Option Prices Inform Stock Returns?
By Larry Swedroe|June 18th, 2020|Volatility (e.g., VIX), Options, Larry Swedroe, Research Insights|
In perfectly efficient markets, option prices should not convey any [...]
Trading Costs Wipe Out the Overnight Return Anomaly
By Matthew Bartolini|June 16th, 2020|Overnight Returns Research, Research Insights, Guest Posts|
At least once a year, the press and Twittersphere propagate [...]
Order Flow Correlation May Imply Momentum Factor Crowding
By Tommi Johnsen, PhD|June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|
Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, [...]
Monster Factor Correlation Chart
By Wesley Gray, PhD|June 12th, 2020|Factor Investing, Research Insights|
We recently added a monster correlation matrix to our factor [...]
5 Surprising Things We Learned from a Factor Investing Expert
By Wesley Gray, PhD|June 11th, 2020|Research Insights, Factor Investing|
Lu Zhang and his colleagues made some waves with their [...]
A Viral Market Melt-Up; Optimism or Fundamentals?
By Rich Shaner, CFA|June 9th, 2020|Research Insights|
" It is often said there are two types of [...]