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Insights

Sustainable investing in equilibrium
Sustainable investing in equilibrium
This is a theoretical paper which investigates what happens if some investors care about ESG, while others do not, or care less.
10-06-2020 | From the field
Value ain’t dead
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Appraising home bias exposure
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
A review of 20 years of academic literature on mutual funds
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field
Adjusting the Value factor for intangibles
Adjusting the Value factor for intangibles
The standard academic definition for the Value factor is the ratio of book-value-to market-value (B/M).
19-02-2020 | From the field
Is shared analyst coverage the source of all spillover effects?
Is shared analyst coverage the source of all spillover effects?
A wide range of spillover effects has been documented in the academic literature.
22-01-2020 | From the field
Index investing: passive in name only
Index investing: passive in name only
Not all index-based products are alike.
18-12-2019 | From the field
The active world of passive investing
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Short-term factor momentum
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field
Seasonal patterns in individual stock returns
Seasonal patterns in individual stock returns
New insights on monthly stock return patterns.
10-07-2019 | From the field
It’s not about active or passive, but about costs
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
06-03-2019 | From the field
Size and Value in China
Size and Value in China
Factor investing in A-share markets?
06-12-2018 | From the field
Selecting managers based on their past performance
Selecting managers based on their past performance
Is past performance of any use for investors?
28-08-2018 | From the field
Tweaking a popular low volatility index
Tweaking a popular low volatility index
Investment solutions based on popular smart beta indices have enjoyed tremendous success.
14-02-2018 | From the field
Next time, ask your fund manager what kind of car they drive
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
‘Facts’ about formulaic value investing
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
Investment lessons from the racetrack
Investment lessons from the racetrack
Misperceptions matter.
11-10-2017 | From the field
The Quality Factor
The Quality Factor
The quality effect is the tendency of high-quality stocks to outperform low-quality ones.
19-07-2017 | From the field
Estimating the equity risk premium
Estimating the equity risk premium
Assessing the equity risk premium (ERP) is an ongoing debate among academics.
28-06-2017 | From the field
Ten misconceptions about smart beta investing
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field
The siren song of factor timing
The siren song of factor timing
Timing when to enter and exit factors seems to be the holy grail of quant investing.
26-04-2017 | From the field
Smart beta is no monkey business
Smart beta is no monkey business
It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do.
05-04-2017 | From the field
Decomposing fundamental indexation?
Decomposing fundamental indexation?
Previous studies have shown that the value added by fundamental indexation strategies is entirely driven by their implicit exposure to the classic value premium.
22-03-2017 | From the field
Active weight instead of active share?
Active weight instead of active share?
A 2015 study* argues that a simplified measure of activeness, termed active weight, is even more effective than active share.
21-02-2017 | From the field
The case against the size premium
The case against the size premium
This Research Affiliates research note argues that the size premium does not exist.
14-12-2016 | From the field
Is the relationship between risk and return positive or negative?
Is the relationship between risk and return positive or negative?
This paper challenges the earlier work of Fu (2009).
16-11-2016 | From the field
Smart beta = Dumb beta + Smart Marketing?
Smart beta = Dumb beta + Smart Marketing?
20-04-2016 | From the field
Characteristics of different low-volatility strategies
Characteristics of different low-volatility strategies
A study* by three Blue Sky pension provider researchers (Bastiaan Pluijmers, Imke Hollander and Ramon Tol) together with Dimitris Melas from MSCI compares the characteristics of nine different low-volatility strategies.
17-02-2016 | From the field
Factor investing for diversification purposes?
Factor investing for diversification purposes?
20-05-2015 | From the field
Low-volatility anomaly among mutual funds
Low-volatility anomaly among mutual funds
A paper* examines whether the low-volatility anomaly, which has been extensively documented for global equity markets, is also visible in mutual fund returns.
27-03-2015 | From the field
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