Investing Research Articles

Are managed futures, as implemented by exchange-traded funds (ETF), attractive? To investigate, we consider six managed futures ETFs, five live and one dead: WisdomTree Managed Futures Strategy (WTMF) – seeks positive total returns in rising or falling markets that are uncorrelated with broad market equity and fixed income returns via diversified combination of commodities, currencies… Keep Reading

Defined outcome Exchange-Traded Funds (ETF) use complex options strategies that buffer against loss but cap gain to generate a defined outcome for investors over a predefined period. Are they attractive? In their February 2023 paper entitled “The Dynamics of Defined Outcome Exchange Traded Funds”, Luis García-Feijóo and Brian Silverstein analyze average performance of the Innovator… Keep Reading

What is the best way to put strategic edges and tactical views into investment portfolios? In their March 2018 paper entitled “Model Portfolios”, Debarshi Basu, Michael Gates, Vishal Karir and Andrew Ang describe and illustrate a three-step optimized asset allocation process incorporating investor preferences and beliefs that is rigorous, repeatable, transparent and scalable. The three steps are:  Select a benchmark… Keep Reading

Do U.S. stock momentum exchange-traded funds (ETF) deliver attractive performance? In their February 2022 paper entitled “A Look Under the Hood of Momentum Funds”, Ayelen Banegas and Carlo Rosa examine the performance of U.S. stock momentum funds. To measure performance uncontaminated by discretionary stock picking and portfolio construction methods, they focus on mechanical (passive) momentum… Keep Reading

Do linear factor model specification choices inherently produce out-of-sample underperformance of investment strategies seeking to exploit factor premiums? In their January 2024 paper entitled “Why Has Factor Investing Failed?: The Role of Specification Errors”, Marcos Lopez de Prado and Vincent Zoonekynd examine whether standard practices induce factor specification errors and how such errors might explain… Keep Reading

Is the currency carry trade, as implemented by exchange-traded funds/notes (ETF/ETN), attractive? To investigate, we consider two currency carry trade ETF/ETNs, one live (with low trading volume) and one dead: PowerShares DB G10 Currency Harvest Fund (DBV) – tracks changes in the Deutsche Bank G10 Currency Future Harvest Index. This index consists of futures contracts… Keep Reading

How well do mutual funds exploit theoretical (academic) equity factor premiums, and how well do investors exploit such exploitation? In their January 2019 paper entitled “Factor Investing from Concept to Implementation”, Eduard Van Gelderen, Joop Huij and Georgi Kyosev examine: (1) how performances of mutual funds that target equity factor premiums (low beta, size, value, momentum, profitability, investment)… Keep Reading

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Below is a weekly summary of our research findings for 9/15/25 through 9/19/25. 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. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

What are the implications of rapid global adoption of factor (smart beta) investing in single-factor, multi-factor and dynamic multi-factor strategies, most notably via equity exchange-traded funds (ETF). In their September 2018 paper entitled “Smart-Beta Herding and Its Economic Risks: Riding the Dragon?”, Eduard Krkoska and Klaus Schenk-Hoppé summarize the current state of smart beta investing, providing a… Keep Reading