ETF Investing

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 [...]

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 [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |2020-06-08T10:18:10-04:00June 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 |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 [...]

“Price”, ETFs, and Bond Market Liquidity

By |2020-04-15T18:02:59-04:00February 13th, 2020|Guest Posts, Fixed Income, ETF Investing|

Multiple events last year reminded us that “price” is a nebulous concept. The most well-publicized price disagreement came in September of 2019 when the public market balked at the price the private market (ok, mainly [...]

Smart Beta is Officially Dead, but Not Forgotten

By |2018-09-07T09:21:53-04:00September 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 |2020-02-25T13:14:30-05:00May 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 |2018-01-31T10:05:35-05:00January 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 |2018-01-11T11:30:02-05:00January 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 [...]

ETF Product Development: Past, Present, and Future

By |2017-10-04T11:09:41-04:00October 4th, 2017|Factor Investing, Active and Passive Investing, ETF Investing|

On October 1st, 1908 Henry Ford introduced the Model T to the world. The power of the Model T was that it democratized the automobile so the average working-class person could afford a car for [...]

Assessing the Potential Market Impact of Passive, Short-volatility, and Low-volatility Strategies

By |2017-09-29T11:59:50-04:00September 29th, 2017|Research Insights, Guest Posts, Active and Passive Investing, ETF Investing|

The market has recently experienced record low levels of realized volatility and the VIX™ (volatility index) has fallen to historic lows. Moreover, the incredibly popular FAAMG stocksFAAMG is an abbreviation referring to the stocks of [...]

How ETF Trading Works: A Deep Dive Into ETF Market Making

By |2017-09-06T10:24:19-04:00September 6th, 2017|Research Insights, ETF Investing|

Many in the financial service industry are now using ETFs to build portfolios. Some love the tax-efficiency of ETFs relative to mutual funds, while others use ETFs as trading vehicles. Either way, ETF assets continue to [...]

The Capacity of Smart Beta Funds — Larger than Previously Thought?

By |2017-08-18T16:55:44-04:00April 28th, 2017|Research Insights, Factor Investing, ETF Investing|

ETFs and factor investing are on the tip of everyone's tongue these days. Factor investing is being couched as a "new" thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing the effective use of smart beta strategies by institutional investors.) However, because factor investing is now directly accessible via ETFs, those who are unfamiliar with factor investing are asking questions about how these "new" funds will affect the market. Two burning questions many investors have: What is the overall capacity of smart beta funds? What is the capacity of momentum-based funds, specifically?

Great Academic Finance Research Papers at WFA 2017

By |2017-08-18T17:04:31-04:00April 25th, 2017|Research Insights, ETF Investing|

There are several big academic finance conferences that attract the best research and the best researchers in one bullpen -- the AFA and the WFA meetings. We chatted about the AFA event last January (be [...]

How are ETFs Affecting the Stock Market: Is There a Dark Side to ETFs?

By |2017-08-18T17:03:43-04:00April 12th, 2017|Research Insights, ETF Investing, Corporate Governance|

The Dark Side of ETFs? Sounds interesting, and in my humble opinion, an image of Darth Vader on page 1 would be a great addition to the paper. The paper, "Is there a dark side to exchange [...]

How Asset Managers Are Adapting to Exchange-Traded-Funds

By |2020-03-30T15:43:14-04:00April 10th, 2017|Guest Posts, ETF Investing|

The ETF industry has been around for over 20 years at this point, but over the past 5 years the ETF industry has captivated the investment world. I've had a front seat on the action, launching [...]

Active Versus Passive for the US and the Canadian Markets

By |2017-08-18T17:10:53-04:00February 7th, 2017|Behavioral Finance, Active and Passive Investing, ETF Investing|

We all hear about the massive move away from active to passive in the US market. We also hear arguments that passive may eat the world and that active management is a zero sum game [...]

Factor ETF Due Diligence: A New Challenge for Some Investors

By |2017-08-18T17:05:15-04:00January 6th, 2017|Factor Investing, Basilico and Johnsen, ETF Investing|

Factor investing seems to be everywhere, but the topic is still misunderstood by large swaths of the investing public. Tommi Johnsen and I would like to help bring clarity to the topic and help this [...]

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