Research

PPLC Whitepaper

The first US-listed ETF targeting the S&P 500 Index began trading in 1993. Today the US ETF market is over $3 trillion, and over 185 ETFs representing almost $800 billion in assets are dedicated to US large caps, most in variations of S&P 500 strategies. These large-cap ETFs are by now quite varied in approach, …

KNOW Characteristics: Finding the Right Factors

In this paper we will explore the evolution of smart beta investing through the advent of academic factor investing and examine how the characteristics sought by the SBRQAM Index can potentially overweight and/or rotate through the most common factors contributing to competitive performance. The Sabrient Multi-cap Inside/Analyst Quant-Weighted Index (SBRQAM), is an index that investors …

Enhancing the Core: What Do Insiders Know?

“What we need is a no-load, minimum management-fee mutual fund that simply buys the hundreds of stocks making up the broad stock-market averages and does no trading from security to security in an attempt to catch the winners. Whenever below-average performance on the part of any mutual fund is noticed, fund spokesmen are quick to …

Create Better ‘Barbells’ With Bond ETFs

Many investors expect the return streams from bond ETFs to behave like the direct purchase of a bond, essentially providing current income with the likely return of principle at a future date.  Although the expansion of ETFs has provided investors access to bonds, and at a reasonable cost, the performance behavior of these ETFs are …

ETFs, Hedge Funds and Democracy

This month ETFGI, a wholly independent research and consultancy firm founded Deborah Fuhr, has made headlines with their data showing that global ETP assets will soon surpass the assets held in hedge funds. It is important to note that this inflection point coincides with record assets under management for WisdomTree Investments, Inc. (WETF). Today, close …

Taming Volatility: Downside Protection Indexes

The stock market, as represented by the S&P 500 Index (“S&P 500”), has just experienced a historic 6-year bull market. But, many investors did not participate in much of this appreciation. The Great Recession of 2008 caused many investors to significantly reduce their market exposure, and many advisors were unable to find thoughtful solutions for …

Business Characteristics: Completing the Core

The historical returns of mainstream indexing may not be what investors should expect to receive in the future.  In this commentary we identify ETFs that focus on business characteristics which may enhance the access to securities omitted or trimmed from the mainstream, over-bought ETFs which are tied to traditional market cap weighted indexes. The content …

Earnings: Quality Over Quantity; and Size Does Matter

Selecting the most appropriate ETF can be a challenging proposition, especially in the unusual markets we are experiencing today.  At Toroso, we examine the underlying fundamentals and look for economic themes that indicate opportunities and pitfalls.  In today’s market we believe the rosy earnings picture is hiding a real problem from most investors.  The quality …

Want Tail Risk Protection?

The goal of Modern Portfolio Theory (MPT) is to have a portfolio of assets that each have positive expected long-term returns, and are negatively correlated to each other, so as to help smooth the volatility of the overall portfolio and increase the overall returns through rebalancing.  This commentary explores the impact of  volatility and several …

Smart Beta and Betting on Unicorns

Smart beta is the popular buzzword that describes an emerging trend of alternatively weighted indexes in the ETP world.  This catchy term implies a panacea and evergreen solution to some of the common issues often associated with traditional market cap indexing.  If this were the case, just like unicorns, the Holy Grail and the fountain …

Alternative to What?

The world of alternative investing has experienced massive expansion in the past few years through new mutual funds and Exchange-Traded Products (ETPs). Until now, this part of the investment universe has been relatively opaque and inaccessible to the average investor.  In this commentary, Toroso defines the alternative ETP landscape and concludes with one method of …

ETFs – The Business of Indexation

The democratization of the market through ETFs, as envisioned by Dr. Burton Malkiel and implemented by John Bogle of Vanguard, has transitioned indexing from a benchmarking tool to an asset-gathering tool and possibly tarnished many of the benefits indexing provides for the average investor and created significant opportunities for the savvy investor. Read full research: …

Small Caps – What do you want to own?

Using ETFs to own small cap stocks can be a tricky proposition and requires investigative analysis to uncover what the investor truly owns. We find that small cap stocks, as an asset class, are generally unsuited for indexing since most indexation methodologies over-weight the largest companies. Read full research: Small Caps – What do you …

REITs, Everybody Is In….and I Want Out

The valuations of many large publicly traded REITS  now appear to be unsustainable for some of the observations outlined in this commentary, including understanding of the fundamentals, the ETF effect, and non-US ownership. Read full research: REITs, Everybody Is In….and I Want Out  

Bond ETFs – Where Is the Income?

We examine the top 25 Fixed Income ETFs to unlock the net yield and then discuss alternative strategies to creating portfolios focused on yield. Read full research: Bond ETFs – Where Is the Income?