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Weekly Summary of Research Findings: 10/15/18 – 10/19/18

October 19, 2018 • Posted in Weekly Summary

Below is a weekly summary of our research findings for 10/15/18 through 10/19/18. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs.

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  • Evolution of Quantitative Stock Investing
    The body of research suggests that quantitative investing has evolved toward practical factor investing, factor timing and subtle big-data exploitation.
  • Are Equity Multifactor ETFs Working?
    Limited available evidence offers little support for belief that equity multifactor ETFs beat their benchmarks, though one of seven offers some diversification with comparable performance.
  • Are Hedge Fund ETFs Working?
    Limited available evidence on attractiveness of hedge fund-oriented ETFs is negative.
  • Stock Size and Excess Stock Portfolio Growth
    Evidence indicates that simple stock portfolios such as equal weighting and random weighting beat market capitalization weighting over the long run due to higher volatilities, not higher returns, of smaller stocks.
  • Do Equal Weight ETFs Beat Cap Weight Counterparts?
    Evidence from simple tests on some prominent equal weight U.S. equity ETFs indicates that equal weight does not consistently outperform, and may usually underperform, capitalization weight on a net basis.
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