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How Trend Following Strategies Shape Return Distributions

By |2020-06-29T10:34:49-04:00June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

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 [...]

Order Flow Correlation May Imply Momentum Factor Crowding

By |2020-06-15T10:54:35-04:00June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |2020-06-08T10:18:10-04:00June 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA 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 The [...]

Is value dead? Has the story changed? No.

By |2020-06-01T09:30:54-04:00June 1st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Tactically Adjusting Everything in a Financial Crisis? Bad Idea.

By |2020-05-26T09:12:49-04:00May 26th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here or here.Want to read our summaries of academic finance papers? [...]

Trend Following the S&P 500? Some Practical Advice

By |2020-05-18T10:42:45-04:00May 18th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]

Skulls, Financial Turbulence and Risk Management

By |2020-05-11T11:28:49-04:00May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A 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 When hunting [...]

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 [...]

Ways to Measure Extreme Downside Risk

By |2020-04-27T10:54:04-04:00April 27th, 2020|Crisis Alpha, Research Insights, Basilico and Johnsen, Academic Research Insight|

Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Estimating Pandemic Economic Costs for “Face-to-Face” Businesses

By |2020-04-20T10:44:21-04:00April 20th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Trend Following Reality: You Need Trends to Trend-Follow

By |2020-04-13T10:56:14-04:00April 13th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight|

You Can't Always Trend When You Want Abhilash Babu, Brendan Hoffman, Ari Levine, Yao Hua Ooi, Sarah Schroeder and Erik Stamelos The Journal of Portfolio Management, March 2020A version of this paper can be found hereWant to read our summaries of academic [...]

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 [...]