Momentum factor investing: Evidence and evolution
Momentum works, across markets, time periods, and portfolio designs. But it also has weak spots, especially during market reversals, which risk-aware construction can help manage.
Rethinking Growth Investing: Why Traditional Growth Indices Miss the Mark
Historically, the finance community (both academics and investment firms) has divided stocks into two categories: cheap and expensive. Initially, the book-to-price ratio was used to [...]
How New Laws Reshaped Stock Market Participation
Over the past two decades, middle-class Americans have quietly changed how they invest. This paper shows that the share of investable wealth held in stocks has risen—and become systematically linked to age. The driving force? The Pension Protection Act (PPA), which made target date funds (TDFs) the default option in retirement plans.
Do persuasive personalities deliver subpar performance?
Using thousands of real pitch recordings, the authors find that presentation style drives funding success even when fundamentals are identical. The catch: the most persuasive founders don’t always build the best businesses.
The Tax Revolution: How ETFs Are Reshaping Investment Strategies
While many investors initially gravitated toward ETFs for their intraday trading capabilities, lower expense ratios, and commission-free trading options, a deeper story has emerged: tax efficiency has become the primary driver of this massive migration, particularly for long-term taxable investors.
Do Mutual Fund Flows Really Say What We Think They Say?
For decades, mutual fund flows have been a workhorse variable for understanding investor behavior, market sentiment, and price impact. But what if the way we measure them distorts the story?
How does inflation impact trading?
When inflation rises, trading behavior changes in systematic ways: liquidity deteriorates, bid-ask spreads widen, and investors trade less on fundamentals and more on short-term noise.
Where Factors Speak Loudest: Why Size Matters in Factor Investing
The size effect is alive and well, but it's more nuanced than we once thought. Rather than viewing it as a simple "small beats large" phenomenon, we should understand size as a critical dimension that shapes how effectively other investment factors perform.
Should Limited Partners use AI to assist with investment decisions?
This paper reviews early evidence that algorithms can read GP reports, forecast cash flows, and benchmark funds. But it also shows where the limits lie.
Can Machine Learning Predict Factor Returns?
Can machine learning techniques improve the prediction of cross-sectional factor returns in equity markets?
When the Machine Becomes the Portfolio Manager
Today, machines are not only processing data but interpreting narratives, forecasting returns, and constructing investment theses once reserved for humans. This paper examines how AI is reshaping the role of the discretionary PM, arguing that the edge isn’t disappearing — it’s migrating.
Thematic Investing: a Risk-Based Perspective
Candès, Hastie, Hogan, Kahn, Luo, and Spector develop a novel framework to measure whether thematic baskets capture real, coherent risks that matter for investors. Their findings challenge conventional risk models and highlight both the dangers and opportunities of betting on investment “themes.”
A TIPS Ladder Plus Stocks: Retirement Planning Solved?
A sufficient portfolio consists solely of a ladder of inflation-indexed bonds, such as U.S. Treasury Inflation-Protected Securities (TIPS), and a stock market index fund. We explain theoretically and demonstrate empirically how this strategy is less risky and more effective at maximizing lifetime retirement income than are methods commonly used by financial advisors.
When LLMs Go Abroad: Why U.S. AI Models Are Too Optimistic on Chinese Stocks
Large language models are increasingly being used to forecast stock prices and guide investment decisions. But what happens when these models cross borders?
ESG Metrics: Just Information or Value-Added Investment Intelligence?
As portfolios incorporate more sustainability data—from climate impact assessments to labor practices and board diversity metrics—a critical question emerges: Does this wealth of ESG information actually enhance portfolio performance, or is it merely additional data without tangible investment value?
Why did credit marketplaces ditch peer-to-peer?
Most platforms now intermediate—pooling loans into short-dated portfolios and, increasingly, offering bank-like products that absorb liquidity risk. Why did credit marketplaces evolve away from pure peer-to-peer? This paper quantifies the welfare value of those design choices.
Intelligent Concentration: A Synopsis of Warren Buffett and Diversification
A historical review of Buffett’s implementation of diversification and concentration in practice, as well as his perspective on these concepts, documents a long tradition of heterodox thinking and application.
Equity duration and predictability
Equity duration has increased dramatically. As firms reinvest more and delay payouts to the future, asset prices become more sensitive to changes in expected returns rather than fundamentals.
The False Dichotomy: Why the Active vs. Passive Fund Debate Misses the Point
In the ongoing debates about the virtues of active versus passive investment strategies, a fundamental problem undermines meaningful discussion: there is no universally accepted definition of what constitutes a "passive" strategy.
Designing Risk Scenarios
This paper rethinks how financial regulators should design stress tests. Rather than treating stress testing as a pass/fail assessment, the authors show it should be viewed as an exercise in information gathering.