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 [...]
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 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 [...]
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 [...]
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 [...]
Interested in starting an ETF? Simply want to learn more about the process of launching an ETF? This piece is an introduction to ETF white label services, which is the industry term for a firm [...]
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 [...]
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 [...]
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 [...]
Lingchi is the Chinese term for the form of torture we know as “death by 1000 cuts” that was reportedly used from 900 CE until it was banned in 1905. It is also translated as [...]
Peter Thiel has this quote to open his book Zero to One: Every moment in business happens only once. The next Bill Gates will not build an operating system. The next Larry Page or Sergey [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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?
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 [...]
