Active and Passive Investing

///Active and Passive Investing

Crisis proof your portfolio: part 2/2

By |2019-09-03T09:35:34-04:00September 3rd, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

Can We Explain the Low Volatility Anomaly?

By |2019-08-22T09:12:16-04:00August 29th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]

Structured Notes: The Exploitation of Retail Investors

By |2019-08-21T09:08:57-04:00August 22nd, 2019|Research Insights, Larry Swedroe, Investment Advisor Education, Active and Passive Investing|

One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they are fictitious and highly fanciful tales of legendary deeds and [...]

Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

No Skill? Well, Active Share Won’t Save You!

By |2019-07-28T12:26:24-04:00August 5th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Is Active Management Skilled? If So, Who Benefits?

By |2019-06-27T10:47:59-04:00June 28th, 2019|Research Insights, Larry Swedroe, Active and Passive Investing|

According to Christian mythology, the Holy Grail was the dish, plate or cup with miraculous powers that were used by Jesus at the Last Supper. Legend has it that the Grail was sent to Great [...]

Deconstructing the Low Volatility/Low Beta Anomaly

By |2018-07-20T12:12:26-04:00July 12th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]

Explaining the Beta Anomaly

By |2018-06-27T09:40:49-04:00June 28th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The superior performance of low-beta and low-volatility stocks was documented in the literature back in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” [...]

Sharpening the Arithmetic of Active Management

By |2018-05-31T09:31:43-04:00May 31st, 2018|Research Insights, Active and Passive Investing|

For many investors, the superiority of passive investing over active investing is axiomatic (Earth to passive investors; Lunch is never free!) And why not? Study after study has demonstrated that only a small portion of [...]

Investor Attention and the Low Volatility Anomaly

By |2018-05-20T11:58:54-04:00May 24th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]

Explaining the Demand for Higher Beta Stocks

By |2018-05-17T07:52:53-04:00May 17th, 2018|Research Insights, Low Volatility Investing, Active and Passive Investing|

The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, as I’ve previously discussed, the historical evidence demonstrates that, while [...]

Are Long/Short Equity Strategies Worth the Fees?

By |2018-03-09T12:08:10-04:00March 7th, 2018|Research Insights, Factor Investing, Active and Passive Investing|

High net worth individuals, university endowments, and public pension funds have heavily invested in long/short equity hedge funds. But is the long/short equity asset class benefiting investors? The pitfalls of expensive financial products are well [...]

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, $mtum|

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 stocks[ref]FAAMG is an abbreviation referring to the stocks of [...]

Active Share: Does it Predict Fund Performance?

By |2017-08-18T17:10:54-04:00June 15th, 2017|Factor Investing, Larry Swedroe, Active and Passive Investing|

The Holy Grail for mutual fund investors is the ability to identify in advance, which of the active mutual funds (or ETFs nowadays) will outperform in the future. The evidence suggests this task is almost [...]

“Passive” Investing: Theory and Practice in a Global Market

By |2017-08-18T17:11:58-04:00June 14th, 2017|Guest Posts, Active and Passive Investing|

Purely passive investing is theoretically plausible, but practically impossible. That said, the practical implementations can often be "good enough." As a theoretical index investor, you deploy capital, take a long snooze, and wake up some day [...]

Trust, but Verify: The Potential Problems of Blind Investing

By |2017-08-18T16:54:18-04:00May 25th, 2017|Guest Posts, Active and Passive Investing|

Nobody can predict the future, but there is a chance the blind purchase of broad-index portfolios will come to an abrupt and potentially chaotic end when the music finally stops. This argument is the thesis of this blog post. [...]

Chinese Market Anomalies – The Factor Killer?

By |2017-08-18T17:08:10-04:00May 12th, 2017|Value Investing Research, Momentum Investing Research, Size Investing Research, Active and Passive Investing|

The Oracle of Omaha just commented on the Chinese stock market in this year's Berkshire's annual meeting: ...Markets have a casino characteristic that has a lot of appeal to people, particularly when they see people [...]

Rebalance Your Portfolio? You are a Market Timer and Here’s What to Consider

By |2017-08-18T16:58:05-04:00March 23rd, 2017|Research Insights, Guest Posts, Tactical Asset Allocation Research, Active and Passive Investing|

In this piece I examine various way in which an investor can think about their active market timing decisions, often labeled with the innocuous term "rebalancing." Rebalancing a portfolio is the finance version of "eat [...]

Active Managers Should Love Passive Investing–It Makes Them Better!

By |2017-08-18T17:10:55-04:00February 27th, 2017|Research Insights, Basilico and Johnsen, Active and Passive Investing|

Blaming the disappointing performance of active management on the exponential growth of passive indexing (defined here) is not a new idea. However, a recently published paper in the Journal of Financial Economics,(3) provides a new and notable take on the continuing debate. In a surprising turnabout to Mr. Odey’s comment, the authors of the article find that actively managed funds are more “active”, charge lower fees, and produce higher alpha, when faced with more competitive pressure from low-cost passive index funds.