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The Best Strategies for Dealing with Inflation? Factors and Trend-Following

By |January 24th, 2022|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Inflation -- what's that? ... It has been quite a while since inflation has been considered a problem. Today, however, the angst surrounding the possibility of a resurgence in inflation is real and “top of mind” for investors.   If the current fear becomes a reality, how should investors react? What strategies and asset classes perform well in a rising inflationary environment? If inflation does resurge beyond a temporary phase, how should investors restructure or reposition their portfolios? The purpose of this article is to provide context for those decisions.

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Empowering Investors Through Education Actually Works!

By |January 18th, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Empowering investors through education is a foundational tenet of our firm and a big reason why we write these posts. The article we cover here is a meta-analysis 76 randomized studies on the impacts and design of financial education, a topic we've hit on before. It' almost cliche now to hear parents and educators demand schools take the initiative to make financial education a high priority. However, it's reasonable to ask, does financial education even work?

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Asset Allocation and Private Market (i.e. illiquid) Investing

By |January 10th, 2022|Private Equity, Liquidity Factor, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Allocations to illiquid assets have become increasingly popular requiring asset managers to consider portfolio-wide liquidity characteristics. Although determining the price of illiquidity is a challenge for investors, the construction of a portfolio that includes liquidity constraints can be even more daunting. How do we optimize asset allocation with liquidity as a significant constraint on the portfolio?

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Interesting Insights into How Endowments Invest

By |January 3rd, 2022|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Despite their popularity and the ease of access to university-based endowments, there is little in the academic literature about the history of endowment investing. In this article, the authors aim at filling this gap.

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The Illiquidity Discount is an Opportunity Cost

By |December 28th, 2021|Liquidity Factor, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Private investment opportunities seem to have been filling investors' portfolios. These investment vehicles come with a discount to the assets value to pay investors for taking on illiquidity risk. Readers of this article are treated to the development of a theory and a practical model that quantifies the illiquidity discount.

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Do Mutual Funds Increase Disclosure Complexity to Hide Fees?

By |December 22nd, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|

Do mutual funds create unnecessarily complex disclosures and fee structures to obfuscate weak net performance? Yes.

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What percentage of COO/CCO/CTOs in Finance are Women?

By |December 17th, 2021|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight|

This is the second article in a series on women in leadership roles. To dig deeper into where women are in finance we analyzed 36,499 functional positions for the COO, CCO, and CTO roles in 29 countries, including 25 developed markets and Brazil, Russia, India, China (the “BRICs”). All public and private firms in the finance industry were included regardless of market capitalization or other characteristics.

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ESG Investing: Dissecting Green Returns

By |December 13th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Momentum Investing Research|

In theory green stocks should have lower expected returns, this however, is not what we've seen. So the question is what has caused the outperformance of green stocks? And has that outperformance cost value investors their returns?

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Value and Momentum Factors? Naw, Focus on the Music Factor!

By |December 6th, 2021|Relative Sentiment, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Can market sentiment be derived from the tunes that your fellow countrymen are listening to? According to the research summarized here you'll find that there is important market information buried in the listening habits of Spotify users.

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Can Prospect Theory Explain the Value and Momentum Factors?

By |November 29th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Today we summarize an investigation into the usefulness of Prospect Theory and Narrow Framing to evaluate whether a new model can help explain 22 prominent market anomalies.

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Do Financial Advisors Transmit their Biases to Clients? Yes.

By |November 15th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|

Are there similarities in the trading behavior of financial advisors and their clients? Are fees paid by advisors and clients similar too? Are advisers overconfident in their skill at identifying active managers and in their ability to outperform passive investments?

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US Funds Have Surprisingly Large International Exposure

By |November 8th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight|

How Global is Your Mutual Fund? International Diversification from Multinationals Irem Demirci, Miguel A. Ferreira, Pedro Matos, and Clemens SialmReview of Financial Studies, 2021A version of this paper can be found hereWant to read our summaries [...]

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Fee Disclosures Can Improve Investor Decision-Making

By |November 1st, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Corporate Governance|

Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations Kronlund, Pool, Sialm and StefanescuJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of [...]

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What percentage of CFO/CAOs are Women?

By |October 29th, 2021|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight|

In this original research, Elisabetta and I study data across 29 global markets and provide empirical data on the following question: What percentage of CFO and CAO roles do women fill in the global marketplace? [...]

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Do factors have a role in asset allocation?

By |October 26th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Role of Factors in Asset Allocation Mark KritzmanJournal 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 What [...]

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Boards are More Diverse-What about Board Leadership?

By |October 18th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

At the table but cannot break through the glass ceiling: Board leadership positions elude diverse directors Laura Casares Field, Matthew E. Souther, Adam S. YoreJournal of Financial EconomicsA version of this paper can be found hereWant [...]

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Do Big Value Spreads Mean Big Returns to Value Strategies?

By |October 11th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

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Studying Financial Idea “Infection Rates”

By |October 4th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

The rate of communication Huang, Hwang and LouJournal of Financial Economics, 2021A 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 [...]

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Macro risks and the term structure of interest rates

By |September 27th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Fixed Income, Macroeconomics Research|

Macro risks and the term structure of interest rates Bekaert, Engstrom, ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

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