The Costs and Benefits of Tax-Loss-Harvesting (TLH) Versus an ETF

By |June 11th, 2021|Research Insights, Tax Efficient Investing, ETF Investing|

Recently, we have experienced a rush of questions from investors/clients who seek our opinion on direct indexing/tax-loss-harvesting ("TLH") and how it compares to the potential tax benefits of an ETF. Unfortunately, there is no easy [...]

Competition for Attention in the ETF Space

By |May 3rd, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Competition for Attention in the ETF Space Itzhak Ben-David, Francesco Franzoni, Byungwook Kim, and Rabih MoussawiSSRN Working paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

How Active Mutual Funds Use ETFs

By |March 29th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

ETF use among actively managed mutual fund portfolios D. Eli Sherrill, Sara E. Shirley, Jeffrey R. StarkJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Do ETFs Adversely Affect Market Quality? Nope.

By |February 11th, 2021|Research Insights, Academic Research Insight, ETF Investing|

Intraday Arbitrage Between ETFs and their Underlying Portfolios Box, Davis, Evans, and LynchWorking paperA version of this paper can be found here Editor's note: Seeing how the results may have shifted since the "ARK phenomenon" would [...]

How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?

By |January 11th, 2021|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Buying Quality: Is the Juice Worth the Squeeze?

By |December 10th, 2020|Quality Investing, Research Insights, Factor Investing, Guest Posts, ETF Investing|

Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]

Institutional Investment Strategies: Keep it Simple

By |October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

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

By |September 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 [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |August 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 [...]

ETF-prenuers: An Introduction to ETF White Label Services

By |June 24th, 2020|Research Insights, Key Research, ETF Investing|

Interested in starting an ETF? Interested in converting a managed account, hedge fund, or mutual fund into an ETF? Simply want to learn more about the process of launching an ETF? This piece is an [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |June 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA 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 The [...]

How to Compute Active Share

By |April 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 [...]

Smart Beta is Officially Dead, but Not Forgotten

By |September 6th, 2018|Research Insights, Factor Investing, ETF Investing|

What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Here's his original definition (from a great piece attempting to bring sanity to [...]

Understanding the State of the ETF Industry through Mergers, Acquisitions, and Fragility

By |May 1st, 2018|Research Insights, ETF Investing|

Last year I wrote the following: In 2014 and 2015 there was a wave of ETF company acquisitions by large asset management firms. The reason was simple: if an asset management company was not in the [...]

An Inside Look at How ETF Firms are Competing. Hint: Price Isn’t Everything

By |January 31st, 2018|Research Insights, ETF Investing|

Morgan Housel had a post on the idea of conflicting skill sets. Morgan makes the following comment: F. Scott Fitzgerald said intelligence is "the ability to hold two opposing ideas in your head at the [...]

The History of ETFs: Perspectives from ETF Legends, Reggie Browne and Arlene Rockefeller

By |January 11th, 2018|Interviews, ETF Investing|

ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past 5 to 7 years. Opponents of ETF growth have gone [...]

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