Estimating the Stock-Bond Correlation
The Stock-Bond Correlation Megan Czasonis, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
DIY Asset Allocation Weights: April 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Fixed Income when you’re Between a Rock and a Hard Place – Part 1/2
Figure 1: Investors are between a rock and a hard place.Source: Getty Images. Invesco. Investors are stuck between a rock and a hard place. On [...]
How Active Mutual Funds Use ETFs
In this paper we discuss the academic research about how active mutual funds use ETFs for the purpose of improving the operations of the fund, [...]
More on the Factor Investing Replication Debate
Open Source Cross-Sectional Asset Pricing Andrew Chen and Tom ZimmermannWorking paperA version of this paper can be found here What are the research questions? There has [...]
Democratize Quant Conference Recap and Materials
COVID is killing conference mojo overall, but we were able to host a short and sweet "Democratize Quant" conference this morning. The speakers were terrific [...]
Is There a Replication Crisis in Finance?
In recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies [...]
An Economic Framework for ESG Investing
Responsible Investing: The ESG Efficient Frontier Pedersen, Fitzgibbons, and PomorskiJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]
Conditional Volatility Targeting
Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper “Studies of Stock Price Volatility [...]
How to Predict Stock Returns (using a simple model)
Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns. The so-called “Occam's razor” (law of parsimony) approach is an [...]
How to Measure the Liquidity of Cryptocurrency?
In this blog we discuss the academic research surrounding the question of cryptocurrency liquidity. How to Measure the Liquidity of Cryptocurrency? Brauneis, Mestel , Riordan [...]
Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?
Betting against correlation: Testing theories of the low-risk effect Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje PedersenJournal of Financial EconomicsA version of this [...]
Global Factor Performance: March 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Momentum Factor Investing: What’s the Right Risk-Adjustment?
Momentum? What Momentum? Erik Theissen and Can YilanciA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
DIY Asset Allocation Weights: March 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Does Crowdsourced Investing Work?
Extrapolative Beliefs in the Cross Section: What Can We Learn from the Crowds? Zhi Da, Xing Huang, Lawrence J. JinJournal of Financial Economics, 2020A version [...]
The Forecasting Power of Value, Profitability, and Investment Spreads
Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to [...]
RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations
Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on [...]
The Risk and Returns to Private Debt Investments
The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions Douglas Cumming, Grant Fleming, and Zhangxin (Frank) Liu Financial Analysts JournalA version of this paper [...]
The R&D Premium: Is it Risk or Mispricing?
Asset pricing models are important because they help us understand which factors explain the variation of returns across diversified portfolios. However, models are not like [...]