Academic Research Insight

///Academic Research Insight

ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities

By |2018-12-10T10:56:30+00:00December 10th, 2018|Basilico and Johnsen, Academic Research Insight|

The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of this paper can be found here Want to read our summaries [...]

Measuring Factor Exposures: Uses and Abuses

By |2018-12-03T11:15:12+00:00December 3rd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

A Proxy for the Unobservable Global Market Portfolio

By |2018-11-26T11:45:20+00:00November 26th, 2018|Basilico and Johnsen, Academic Research Insight|

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio Gregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 A version of this paper can be found here Want to [...]

Short volatility strategies are extensive and widespread

By |2018-11-19T11:32:50+00:00November 19th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing

By |2018-11-12T12:14:37+00:00November 12th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance [...]

Fund Capacity Analysis: How Much Capital Will a Strategy Handle?

By |2018-11-05T08:07:56+00:00November 5th, 2018|Basilico and Johnsen, Academic Research Insight|

Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Do Bank Affiliated Funds Underperform Unaffiliated Funds?

By |2018-10-30T11:36:13+00:00October 29th, 2018|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.

By |2018-10-15T10:51:14+00:00October 15th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Investment Factor Timing: Challenging, but Not Impossible

By |2018-10-08T11:36:08+00:00October 8th, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

When Diversification Fails

By |2018-11-07T09:53:19+00:00October 1st, 2018|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

When Diversification Fails Sebastien Page and Robert Panariello Financial Analyst Journal, forthcoming A 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 [...]

The Trillion Dollar Question: Why so few women in finance?

By |2018-09-20T15:45:57+00:00September 24th, 2018|Basilico and Johnsen, Academic Research Insight|

Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-21T11:25:57+00:00September 21st, 2018|Research Insights, Podcasts and Video, Academic Research Insight, Weekly Research Recap Videos|

You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a paper by Linda Zhang investigating the volatility of [...]

Leveraged ETFs and Volatility Jumps

By |2018-09-17T11:45:58+00:00September 17th, 2018|Basilico and Johnsen, Academic Research Insight|

Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

Video: Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-17T08:11:56+00:00September 14th, 2018|Research Insights, Podcasts and Video, Academic Research Insight, Weekly Research Recap Videos, Low Volatility Investing|

You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting [...]

What’s in Your Benchmark?

By |2018-09-09T17:20:47+00:00September 10th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence

By |2018-09-04T10:52:33+00:00September 4th, 2018|Basilico and Johnsen, Academic Research Insight|

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance [...]

Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices

By |2018-08-27T09:50:12+00:00August 27th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management A version of this paper can be found here Want to [...]

Looking at Alternatives? Avoid Complexity and Magical Backtests

By |2018-09-17T15:49:19+00:00August 20th, 2018|Basilico and Johnsen, Academic Research Insight|

Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic [...]

Macro Conditions May Enhance Short-term Predictability of the Shiller P/E

By |2018-08-13T13:28:25+00:00August 13th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version of this paper can be found here Want to read our [...]

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