Research Insights Archives

Why Advisors (and Family Offices) Should Consider Creating their Own ETFs

Independent RIA firms seek to do what is "right" for the client, which often boils down to minimizing fees and taxes and increasing transparency/education (i.e., ETFs). But the "right" solution for an advisor's clients might not be available 'off-the-shelf' in the ETF market, or the advisor can't use ETFs because they are stuck "managing around" legacy portfolios and tax problems.

What's the solution? Allow advisors to create their own ETFs, which can be customized to deliver the specific investment program the advisor desires and allows an advisor to offer unique solutions for legacy tax issues tied to low-basis securities.

Market Risk and Speculative Factors

Soroush Ghazi and Mark Schneider authors of the August 2022 study “Market Risk and Speculation Factors” decomposed the excess market return (the equity risk premium) into speculative (in the simple sense that it is negative, reflecting a premium investors pay to hold assets that are more subject to speculative demand) and non-speculative, or risk (in the simple sense that it is positive, a necessary characteristic for a factor to reflect compensation for risk) components.

DIY Trend-Following Allocations: November 2022

No exposure to domestic equities. No exposure to international equities. No exposure to REITs. Full exposure to commodities. No exposure to intermediate-term bonds.

Momentum Factor Investing: 30 years of Out of Sample Data

In this article, the author examines the research published over the last 30 years on momentum and its theoretical credibility. One of the original momentum articles was published by Jegadeesh and Titman in 1993, and is considered the seminal work on the topic. The research review contained in this publication begins with the 1993 work and confines itself to only the highest quality journals among the plethora of work that has been published on momentum.

Mind the Momentum Gap to Improve Performance

This article discusses the academic research about the Momentum Gap and the role that its predictive potential may have in reducing momentum crashes, hence possibly improving performance.

Bias in Beta and Implications for Empirical Asset Pricing

In this article, the author examines several important questions related to asynchronous trading, or the variation in trading frequency that occurs when trading stocks or other assets.

Are ESG strategies more effective for societal impact or performance?

In this article, we examine the research addressing the question of to what extent, if any, ESG strategies improve investment performance on a risk-adjusted basis, or if they are more effectively used for the societal impact they potentially have.

The Effect of Indexing on Price Discovery and Limits to Arbitrage

We discuss the academic research about the causal effect of indexing on arbitrage conditions and price discovery.

Is Democracy better for the stock market?

We examine the question of whether or not democracy leads to better possible outcomes for the stock market.

Lottery Demand and the Asset Growth Anomaly

It is well documented in the literature that over the long term, low-investment firms have outperformed high-investment firms—with the negative relation between asset growth (AG) and future stock returns particularly featured by the overvaluation of high AG stocks.

What is the Story Behind Trend Following?

Trend Following is simply buying an asset when it is going up, *and,* you sell that asset when it is going down.

Pulling the curtain back: what do millionaires invest in?

In this article, we examine the academic research about what millionaires invest in.

Global Factor Performance: October 2022

Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads

Momentum Everywhere, Including Emerging Markets

Atilgan et al. contribute to the momentum literature with “Momentum and Downside Risk in Emerging Markets.”

DIY Trend-Following Allocations: October 2022

No exposure to domestic equities. No exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.

Does Gender Affect Reactions to Market Sentiment Shifts?

Does gender matter in institutional investing?

The Relationship Between the Demand for Leverage and Management Fees

This article discusses what academic research says about the relationship between the demand for leverage and management fees.

Portfolio Architect as a Tool for Growing Your Business: Today at 12pm EST.

Scott will demonstrate how he uses our Portfolio Architect tool to simplify the investment model discussion with clients and how the tool can save you time creating marketing material.

If you are a current user of our tool, we highly recommend you attend this discussion.

Gender Pay Gap Transparency

In this article, we examine what the research says about gender pay gap transparency. We look at the research questions and academic insights with an eye toward why it matters.

High-Frequency Consumer Spending Data and the Cross-Section of Stock Returns

Consumer demand drives the cash flows of consumer-oriented companies. Thus, they should serve as a reliable source of information to predict future fundamentals above and beyond the information contained in financial statements and readily available market data.

Are You Ready to Become a Better Investor?

Important Disclosures