Mutual fund investments in private firms
Mutual fund investments in private firms Sungjoung Kwon, Michelle Lowry, Yiming QianJournal of Financial EconomicsA version of this paper can be found hereWant to read our [...]
Is the Market Getting more Efficient?
Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]
How Do You Think the Global Market Portfolio Has Performed from 1960-2017?
Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam and Laurens SwinkelsThe Review of Asset Pricing Studies, 2019A version of this paper can be [...]
Institutional Investment Strategies: Keep it Simple
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 [...]
Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test
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 [...]
Can Statistics Actually Determine if Managers Have No Skill?
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 [...]
Discussion: Managing the Costs of Passively Investing in Active Strategies
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 [...]
Why Passively Investing in Active Methods May Not Work.
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 [...]
Is Passive Investing Better than Active Investing?A Critical Review.
The broad thrust of this paper is that Sharpe’s proposition is not water-tight upon closer examination, and certainly should not be received as gospel.
Active Share: Predictor of Future Performance or Urban Legend?
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 [...]
Factor Investing from Concept to Implementation
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
Crisis proof your portfolio: part 2/2
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, [...]
Can We Explain the Low Volatility Anomaly?
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 [...]
Structured Notes: The Exploitation of Retail Investors
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 [...]
Crisis Proof Your Portfolio: part 1/2
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, [...]
No Skill? Well, Active Share Won’t Save You!
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 [...]
Is Active Management Skilled? If So, Who Benefits?
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. [...]
Deconstructing the Low Volatility/Low Beta Anomaly
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 [...]
Explaining the Beta Anomaly
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 [...]
Sharpening the Arithmetic of Active Management
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 [...]