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Do mutual funds with good sustainability scores attract more assets?
Do mutual funds with good sustainability scores attract more assets?
In March of 2016, Morningstar first published sustainability ratings (globes), for over 20,000 mutual funds.
08-05-2019 | From the field
Are mutual funds on the other side of the low volatility trade?
Are mutual funds on the other side of the low volatility trade?
This new research helps to explain the existence of the low volatility anomaly.
03-04-2019 | 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
Low risk in China
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | 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
Volatility lessons
Volatility lessons
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
Reach for yield vs. reach for safety
Reach for yield vs. reach for safety
Interested in low-risk bonds?
16-05-2018 | From the field
Transitioning from procyclical to countercyclical behavior
Transitioning from procyclical to countercyclical behavior
Are large institutional investors pro- or countercyclical?
02-05-2018 | From the field
Failing to capture factor premiums because of poor timing
Failing to capture factor premiums because of poor timing
Looking for an explanation to the value effect?
04-04-2018 | From the field
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Benchmark followers amplify the low volatility effect.
07-03-2018 | 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
Why ETFs can be more expensive than you think
Why ETFs can be more expensive than you think
The recent rise of passive and smart beta strategies has resulted mainly from the success of ETFs.
24-01-2018 | From the field
Anomalies remain strong in international equity markets after publication
Anomalies remain strong in international equity markets after publication
One oft-heard concern on factor investing is that factors could be arbitraged away.
03-01-2018 | 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
Institutional asset managers add value... by using factors
Institutional asset managers add value... by using factors
Are factors the future of active asset management?
22-11-2017 | From the field
Investment lessons from the racetrack
Investment lessons from the racetrack
Misperceptions matter.
11-10-2017 | From the field
Rankings and risk-taking in the financial industry
Rankings and risk-taking in the financial industry
Rankings matter.
20-09-2017 | 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
Is smart beta performance driven by rising valuations?
Is smart beta performance driven by rising valuations?
Rob Arnott, argues that the good recent performance of many smart beta strategies has mainly been driven by rising valuations.
08-03-2017 | 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 virtue of patience
The virtue of patience
In a previous study, Cremers showed that high active share funds beat the market on average, while low active share funds (closet indexers) do not.
25-01-2017 | From the field
The case for the size premium
The case for the size premium
This AQR working paper argues that the size effect does, in fact, exist.
16-12-2016 | 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
Not only high-volatility stocks underperform
Not only high-volatility stocks underperform
One of the explanations for the low-volatility anomaly is that stocks with lottery-like characteristics (a small chance of experiencing a large positive payoff) are overpriced.
02-11-2016 | From the field