ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
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 [...]
Measuring Factor Exposures: Uses and Abuses
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 [...]
A Proxy for the Unobservable Global Market Portfolio
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 [...]
Short volatility strategies are extensive and widespread
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 [...]
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing
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 [...]
Fund Capacity Analysis: How Much Capital Will a Strategy Handle?
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 [...]
Do Bank Affiliated Funds Underperform Unaffiliated Funds?
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 [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
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 [...]
Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.
This blog discusses the academic research about after-tax alpha by exploring how taxable asset management has evolved over time, and the predictors of tax-efficient asset [...]
Investment Factor Timing: Challenging, but Not Impossible
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 [...]
When Diversification Fails
When Diversification Fails Sebastien Page and Robert PanarielloFinancial Analyst Journal, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance [...]
The Trillion Dollar Question: Why so few women in finance?
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 [...]
Alpha Architect Weekly Research Recap (Jack & Ryan)
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 [...]
Leveraged ETFs and Volatility Jumps
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 [...]
Video: Alpha Architect Weekly Research Recap (Jack & Ryan)
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 [...]
What’s in Your Benchmark?
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 [...]
Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence
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 [...]
Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices
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 [...]
Looking at Alternatives? Avoid Complexity and Magical Backtests
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 [...]
Macro Conditions May Enhance Short-term Predictability of the Shiller P/E
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 [...]