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ETFs and Mutual Funds Should Pay More Attention to Their Investor Base

By |2020-09-28T09:55:28-04:00September 28th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, Pedro MatosManagement Science, forthcomingA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

How To Design Machine Learning Models – A Market Timing Example

By |2020-09-08T07:56:00-04:00September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

By |2020-09-22T11:11:37-04:00September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

Accruals and Momentum and Their Implications for Factor Investors

By |2020-09-02T14:41:24-04:00September 17th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Momentum Investing Research|

The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]

Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test

By |2020-09-14T08:52:06-04:00September 14th, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]

Can We Use the Shiller CAPE Ratio to Forecast Country Returns?

By |2020-09-08T07:55:51-04:00September 10th, 2020|Research Insights, Factor Investing, Value Investing Research, Tactical Asset Allocation Research|

Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]

Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators

By |2020-09-08T08:31:59-04:00September 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Fixed Income|

Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

How to Optimize Fixed Annuity Tax Deferral

By |2020-08-31T15:54:42-04:00September 3rd, 2020|Financial Planning, Guest Posts, Tax Efficient Investing|

Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]

DIY Asset Allocation Weights: September 2020

By |2020-09-02T10:15:34-04:00September 2nd, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

How to Measure and Understand Portfolio Tail Risk Events

By |2020-08-27T10:35:54-04:00August 27th, 2020|Crisis Alpha, Research Insights, Factor Investing, Guest Posts, Academic Research Insight|

Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

Does Gold do What it is Supposed to do?

By |2020-08-24T11:51:24-04:00August 24th, 2020|Crisis Alpha, Research Insights, Academic Research Insight|

Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out [...]

How A Great Team, and 2 Quant Geeks with no Clue, Survived The Leadville 100 Trail Run.

By |2020-08-22T23:01:01-04:00August 22nd, 2020|Research Insights, Business Updates|

Editor's Note: this post has nothing to do with finance. Skipping this post costs you nothing. We encourage you to not read this post if you are only here to "geek out." This post is [...]

Even Great Investments Experience Massive Drawdowns

By |2020-08-17T18:19:53-04:00August 20th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through March 2020, in terms of total returns, the Russell 3000 [...]

Value Investing: An Examination of the 1,000 Largest Firms

By |2020-08-18T10:57:53-04:00August 18th, 2020|Research Insights, Factor Investing, Value Investing Research|

Among stock investors, a common strategy/belief held is Value investing -- buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier [...]

Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns

By |2020-08-17T11:26:16-04:00August 17th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning|

When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper can be found hereWant to read our summaries of academic finance [...]

An Introduction to Digital Signal Processing for Trend Following

By |2020-08-14T11:22:35-04:00August 13th, 2020|Research Insights, Trend Following, Guest Posts|

Digital signal processing (DSP), specifically the use of digital filters, is embedded in many indicators used by technical analysts to study and make trading decisions using time series of stock, bond, currency, commodity, and other [...]

What is Sequence Risk and Can Trend Following Help Reduce It?

By |2020-08-10T10:50:08-04:00August 10th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of this paper can be found hereWant to read our summaries of [...]

Cross-Asset Signals and Time-Series Momentum

By |2020-08-03T11:12:14-04:00August 6th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, [...]

DIY Asset Allocation Weights: August 2020

By |2020-08-04T08:29:05-04:00August 4th, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

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