Posts by Jack Vogel, Ph.D.

(Fight) the Fed Model

May 4, 2017

Over the past few years, we’ve been asked questions related to the relationship between stock prices and interest rates. Forms of the

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The Capacity of Smart Beta Funds — Larger than Previously Thought?

April 28, 2017

ETFs and factor investing are on the tip of everyone's tongue these days. Factor investing is being couched as a "new" thing, despite the fact that institutional investors have been deploying these strategies for years. (See this working paper discussing the effective use of smart beta strategies by institutional investors.) However, because factor investing is now directly accessible via ETFs, those who are unfamiliar with factor investing are asking questions about how these "new" funds will affect the market. Two burning questions many investors have: What is the overall capacity of smart beta funds? What is the capacity of momentum-based funds, specifically?

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How to Measure Momentum?

October 14, 2016

Since we’ve released our new book, Quantitative Momentum, we’ve received a handful of basic questions related to momentum–specifically as it

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