Data Science is Revolutionizing Investment Practice
Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of [...]
Trend Following on Steroids
Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and [...]
Measuring Factor Exposures: Uses and Abuses
Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want [...]
Is Financial Advice Conflicted…Or is it Simply Misguided?
The Misguided Beliefs of Financial Advisers Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero Kelley School of Business Research Paper No. 18-9 A version of [...]
A Proxy for the Unobservable Global Market Portfolio
The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio Gregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 [...]
Short volatility strategies are extensive and widespread
Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be [...]
Want to Minimize Capital Gains Taxes? Check Out Our Guide to Opportunity Zone Investments
If you have a large "low-basis stock problem," or an "embedded capital gain problem," the Opportunity Zone (OZ) program could possibly be the single largest [...]
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing
Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can [...]
Fund Capacity Analysis: How Much Capital Will a Strategy Handle?
Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want [...]
Do Bank Affiliated Funds Underperform Unaffiliated Funds?
Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this [...]
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending
Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this [...]
Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.
This blog discusses the academic research about after-tax alpha by exploring how taxable asset management has evolved over time, and the predictors of tax-efficient asset [...]
How a Multi-factor Portfolio is Constructed Matters
The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, “The Cross-Section of Expected [...]
Fixed Income Factors: An Overlooked Corner of the Market
Factors, or "style" investing, seems to be all the rage these days, including the use of factors in fixed income (here, here and here are good [...]
Investment Factor Timing: Challenging, but Not Impossible
The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper [...]
When Diversification Fails
When Diversification Fails Sebastien Page and Robert PanarielloFinancial Analyst Journal, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance [...]
The Trillion Dollar Question: Why so few women in finance?
Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want [...]
Illustrating the Value of Retirement Accounts
What do most people consider to be the biggest benefit of retirement accounts? Many investors and advisors will say, "tax deferral." But a recent article (pdf [...]
Leveraged ETFs and Volatility Jumps
Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here [...]