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Trend Following the S&P 500? Some Practical Advice

By |2020-05-18T10:42:45-04:00May 18th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]

Discussion: Managing the Costs of Passively Investing in Active Strategies

By |2020-06-05T07:40:57-04:00May 14th, 2020|Research Insights, Academic Research Insight, Active and Passive Investing|

We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]

Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles

By |2020-05-13T10:20:28-04:00May 13th, 2020|Research Insights, Guest Posts, Academic Research Insight, Machine Learning|

Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements of risk and/or systematic mispricing. However, what if we could [...]

Skulls, Financial Turbulence and Risk Management

By |2020-05-11T11:28:49-04:00May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions When hunting [...]

Why Passively Investing in Active Methods May Not Work.

By |2020-05-04T10:49:16-04:00May 4th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Ways to Measure Extreme Downside Risk

By |2020-04-27T10:54:04-04:00April 27th, 2020|Crisis Alpha, Research Insights, Basilico and Johnsen, Academic Research Insight|

Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

How to Compute Active Share

By |2020-04-21T18:52:36-04:00April 21st, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Academic Research Insight, Tool How-To-Guides, ETF Investing|

In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start by computing the active share for two hypothetical funds, and [...]

Estimating Pandemic Economic Costs for “Face-to-Face” Businesses

By |2020-04-20T10:44:21-04:00April 20th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Trend Following Reality: You Need Trends to Trend-Follow

By |2020-04-13T10:56:14-04:00April 13th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight|

You Can't Always Trend When You Want Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos The Journal of Portfolio Management, March 2020A version of this paper can be found hereWant to read our summaries of academic [...]

The Economic Consequences of Pandemics: A Guide from History

By |2020-04-10T12:46:23-04:00April 10th, 2020|Research Insights, Factor Investing, Academic Research Insight, Tactical Asset Allocation Research, Macroeconomics Research|

Pandemics: Long-Run Effects Òscar Jordà, Sanjay R. Singh, Alan M. TaylorCEPR PressA 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 [...]

Pandemics and Factor Investing: A Glimpse into the Past

By |2020-04-03T12:17:29-04:00April 3rd, 2020|Research Insights, Factor Investing, Academic Research Insight|

Equity Styles and the Spanish Flu Guido Baltussen, Pim van VlietA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research [...]

An Empirical Challenge for Trend-Following

By |2020-03-30T10:40:00-04:00March 30th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Tactical Asset Allocation Research|

Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Time Series Momentum: Is it There? Dashan Huang [...]

Corporate Governance, ESG, and Stock Returns around the World

By |2020-03-26T12:24:35-04:00March 26th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

The Use and Value of Financial Advice for Retirement Planning: Part 1/2

By |2020-03-17T08:19:27-04:00March 17th, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

Do Insider Trades Provide Insights into Future Returns?

By |2020-03-09T09:57:42-04:00March 11th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several blog posts just a few of which are here and [...]

What to Do When Alpha Becomes Beta

By |2020-03-11T12:39:02-04:00March 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Case Against REIT’s

By |2020-03-13T08:54:05-04:00February 6th, 2020|Research Insights, Guest Posts, Academic Research Insight|

Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction [...]

Book Review: Smart(er) Investing by Elisabetta and Tommi

By |2020-02-04T10:20:41-05:00February 4th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Book Reviews, Other Insights|

It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta Basilico and Tommi Johnsen! If you haven't read Elisabetta and [...]

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