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Volatility, Risk Management, and Market Chaos: Research that Might Help

By |2020-04-06T12:57:26-04:00April 6th, 2020|Crisis Alpha, Research Insights, Factor Investing, Trend Following, Basilico and Johnsen|

Given the recent market decline, we thought it would be helpful to review some of our blog posts from the past that may be relevant to the current crisis atmosphere.  These posts focus on research [...]

An Empirical Challenge for Trend-Following

By |2020-03-30T10:40:00-04:00March 30th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Tactical Asset Allocation Research|

Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Time Series Momentum: Is it There? Dashan Huang [...]

Corporate Governance, ESG, and Stock Returns around the World

By |2020-03-26T12:24:35-04:00March 26th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

The Use and Value of Financial Advice for Retirement Planning: Part 1/2

By |2020-03-17T08:19:27-04:00March 17th, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

What to Do When Alpha Becomes Beta

By |2020-03-11T12:39:02-04:00March 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

How do Institutional Investors approach Climate Risks?

By |2020-03-02T07:47:30-05:00March 2nd, 2020|ESG, Research Insights, Basilico and Johnsen|

The Importance of Climate Risks for Institutional Investors Philipp Krueger, Zacharias Sautner, and Laura T. Starks Review of Financial StudiesA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Brokers, Retail Investors, and Conflict of Interests

By |2020-02-18T13:25:39-05:00February 18th, 2020|Research Insights, Basilico and Johnsen|

Mark EganJournal of Finance, Winter 2019A version of this paper can be found hereAn old version of the paper that is easily accessible is HERE Want to read our summaries of academic finance papers? Check out [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Book Review: Smart(er) Investing by Elisabetta and Tommi

By |2020-02-04T10:20:41-05:00February 4th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Book Reviews, Other Insights|

It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta Basilico and Tommi Johnsen! If you haven't read Elisabetta and [...]

Conflict of Interest and Mutual Fund Sales

By |2020-02-03T10:54:41-05:00February 3rd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version of this paper can be found hereWant to read our summaries [...]

The predictability of crowding on factor strategy performance

By |2020-01-27T11:39:22-05:00January 27th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Enterprise Multiples and Expected Stock Returns

By |2020-03-06T10:04:29-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

How ESG Affects Valuation, Risk, and Performance

By |2020-01-13T10:43:46-05:00January 13th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio ManagementA version of this paper can be found hereWant to read [...]

Quant Tools for Private Equity and Real Assets

By |2020-01-06T12:14:02-05:00January 6th, 2020|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

By |2019-12-30T11:25:44-05:00December 30th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

The market impact of rebalancing factor investing strategies

By |2019-12-23T13:12:33-05:00December 23rd, 2019|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2

By |2019-12-16T12:32:08-05:00December 16th, 2019|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Protecting the Downside of Trend When It Is Not Your Friend : Part 1

By |2019-12-09T12:07:59-05:00December 9th, 2019|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Myth-busting: Fed Actions and Stock Prices

By |2019-12-02T08:10:24-05:00December 2nd, 2019|Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]