Active and Passive Investing

Home/Posts/Research Insights/Active and Passive Investing

Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test

By |2020-09-14T08:52:06-04:00September 14th, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]

Can Statistics Actually Determine if Managers Have No Skill?

By |2020-06-22T09:53:36-04:00June 22nd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Campbell Harvey and Yan LiuJournal of Finance, 2020A 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? Whether they [...]

Discussion: Managing the Costs of Passively Investing in Active Strategies

By |2020-06-05T07:40:57-04:00May 14th, 2020|Research Insights, Academic Research Insight, Active and Passive Investing|

We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]

Why Passively Investing in Active Methods May Not Work.

By |2020-05-04T10:49:16-04:00May 4th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Is Active Investing Doomed as a Negative Sum Game? A Critical Review.

By |2020-01-04T11:20:21-05:00January 2nd, 2020|Research Insights, Factor Investing, Academic Research Insight, Key Research, Active and Passive Investing|

1. Introduction In an influential piece, Sharpe (1991)Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9 put forward the proposition that active investing must be a losing pursuit in aggregate, [...]

Active Share: Predictor of Future Performance or Urban Legend?

By |2019-10-10T08:59:01-04:00October 17th, 2019|Financial Planning, Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming body of academic research which has demonstrated that past performance [...]

Factor Investing from Concept to Implementation

By |2019-10-08T10:41:47-04:00September 17th, 2019|Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi Kyosev Working paper A version of this paper can be found herehat tip to Art Johnson for mentioning this paper! What are [...]

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 Hemert The Journal of Portfolio Management A [...]

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 Hemert The Journal of Portfolio Management A [...]

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 Brar The Journal of Asset Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

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 [...]

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 [...]

Go to Top