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Japan’s Pension Fund Trips On Active Mgmt

  • November 7th, 2016
  • ETF

Japan’s Government Pension Investment Fund (GPIF) is the world’s biggest state investor, trumping all other managed government retirement and sovereign wealth funds. Prime Minister Shinzo Abe’s drive to spur the Japanese economy out of its two-decade-and-growing economic slump, known as Abenomics, has pushed the GPIF to plow more money into risky investments, aiming both to… Read More

Published Results Impact Future Results

  • November 7th, 2016
  • ETF

Financial research has uncovered many relationships between investment factors and stock returns. For investors, an important question is whether the publication of this research can impact the future size of factor premiums. Asking this question is crucial on two fronts. First, if anomalies are the result of behavioral errors, or even investor preferences, and the… Read More

Trend-Following Strategies Work

  • November 7th, 2016
  • ETF

As an investment style, trend-following, also referred to as time-series momentum, has existed for quite some time. Time-series momentum examines the trend of an asset with respect to its own past performance. This is different from cross-sectional momentum, which compares the performance of an asset with respect to the performance of another asset. Academic research… Read More

Some Alternatives to Big Banks and Their Record-High Fees

  • October 31st, 2016
  • BAM Author

Fees are at an all-time high at the nation’s big banks, while the interest they pay is at an all-time low. Worse yet, evidence recently has come to light of the criminal abuse of a practice common among large banks since the fall of Glass-Steagall: cross-selling. Cross-selling is rooted in consumer research that large financial institutions tend… Read More

Checking In With The ‘Gurudex’

  • October 31st, 2016
  • ETF

One of my favorite sayings about the market forecasts of so-called experts is from Jason Zweig, financial columnist for The Wall Street Journal: “Whenever some analyst seems to know what he’s talking about, remember that pigs will fly before he’ll ever release a full list of his past forecasts, including the bloopers.” You will almost… Read More

On the Performance of Long-Serving Active Mutual Fund Managers

  • October 31st, 2016
  • BAM Author

Given its importance to so many investors, it’s not surprising that there has been a tremendous amount of research into the performance of actively managed mutual funds. An overwhelming body of evidence has demonstrated that the vast majority of active funds underperform their appropriate risk-adjusted benchmarks, even before considering the impact of taxes. In addition,… Read More

Do Upside and Downside Capture Ratios Predict Mutual Fund Performance?

  • October 31st, 2016
  • BAM Author

The importance of actively managed mutual funds in the financial sector has led to substantial research focused on their performance. The overwhelming evidence is that it’s very difficult, if not impossible, to identify ahead of time the shrinking percentage of active managers who will outperform in the future. Among the reasons for the difficult nature… Read More

Diversification Is Key to Factor Investing

  • October 31st, 2016
  • BAM Author

As my co-author, Andrew Berkin, and I explain in our forthcoming book, “Your Complete Guide to Factor-Based Investing,” no matter how strong the evidence regarding the persistence and pervasiveness of an investment factor’s return premium, there’s some chance that the factor will experience long periods of underperformance. You can see the evidence of this in… Read More

‘Free Lunch’ Investing Takes Time To Cook

  • October 31st, 2016
  • ETF

As the director of research for The BAM Alliance, I’ve been getting lots of calls recently from investors questioning their international equity investments. This hasn’t been a surprise, as any time an asset class does poorly, a significant number of investors will question why they own that asset. One particular inquiry I received addressed the… Read More

Hedge Funds Fail Across Asset Classes

  • October 31st, 2016
  • ETF

Hedge funds began this year coming off their seventh-straight year of trailing U.S. stocks (as measured by the S&P 500 Index) by significant margins. What’s more, for the 10-year period ending 2015 (one that included the worst bear market in the post-Depression era), the HFRX Global Hedge Fund Index managed to return just 0.1% a… Read More

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