The investment research papers and articles linked below present thinking on a wide range of subject matter related to portfolio management, asset pricing models and valuation, retirement planning, tax minimization strategies, estate planning, etc.
While not an exhaustive list, a lot of this research helped to form the approach that Wealth Engineers employs today.
Note that a link to an article, paper, or data source does not necessarily mean that Wealth Engineers endorses a particular approach, strategy, or investment. Rather, the library is intended to educate and serve as a foundation from which to make thoughtful, informed decisions.
“I believe in the discipline of mastering the best that other people have ever figured out. I don’t believe in just sitting there and trying to dream it up all yourself. Nobody’s that smart.”
Charlie Munger
Vice-Chairman of Berkshire Hathaway Corporation
Active vs Passive Management
- S&P Indices Versus Active Funds (SPIVA) Scorecard. S&P Dow Jones Indices, Year-End 2012.
- Norstad, John. “Three Proofs that TSM is Efficient.” November 3, 2011.
- Bogle, John C. “The Lessons of History – Endowment and Foundation Investing Today.” Remarks before The NMS Investment Management Forum, September 12, 2011.
- Fama, Eugene F. and Kenneth R. French. “Luck Versus Skill in the Cross Section of Mutual Fund Returns.” The Journal of Finance, October 2010.
- French, Kenneth R. “The Cost of Active Investing.” April 9, 2008.
- Berk, Jonathan B. “Five Myths of Active Portfolio Management.” The Journal of Portfolio Management, Spring 2005.
- Carhart, Mark M., Jennifer N. Carpenter, Anthony W. Lynch, and David K. Musto “Mutual Fund Survivorship.” The Journal of Financial Studies, Winter 2002.
- Wermers, Russ. “Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses.” The Journal of Finance, August 2000.
- Carhart, Mark M. “On Persistence in Mutual Fund Performance.” The Journal of Finance, March 1997.
- Sharpe, William F. “The Arithmetic of Active Management.” Financial Analysts Journal, January-February 1991.
- Samuelson, Paul A. “Challenge to Judgment.” The Journal of Portfolio Management, Fall 1974.
International Diversification
- Philips, CFA, Christopher B., Francis M. Kinniry Jr., CFA, and Scott J. Donaldson, CFA, CFP. “The Role of Home Bias in Global Asset Allocation Decisions.” Vanguard Research, June 2012.
- Philips, CFA, Christopher B., “Considerations for Investing in Non-U.S. Equities.” Vanguard Research, March 2012.
- Asness, Clifford S., Roni Israelov, and John M. Liew. “International Diversification Works (Eventually).” Financial Analysts Journal, May/June 2011.
Multifactor Diversification
- Novy-Marx, Robert. “The Other Side of Value: The Gross Profitability Premium.” June 2012.
- Idzorek, CFA, Thomas M., James X. Xiong, Ph.D., CFA, and Roger G. Ibbotson, Ph.D. “The Liquidity Style of Mutual Funds.” February 2012.
- Damodaran, Aswath. “Value Investing: Investing for Grown Ups?” New York University, April 2012.
- Asness, Clifford S., Tobias J. Moskowitz, and Lasse H. Pedersen. “Value and Momentum Everywhere.” Chicago Booth Research Paper No. 12-53, June 2012.
- Fama, Eugene F. and Kenneth R. French. “Value versus Growth: The International Evidence.” The Journal of Financial Economics, December 1998.
- Fama, Eugene F. and Kenneth R. French. “Common Risk Factors in the Returns on Stocks and Bonds.” The Journal of Financial Economics, September 1992.
- Fama, Eugene F. and Kenneth R. French. “The Cross-Section of Expected Stock Returns.” The Journal of Finance, June 1992.
Tax Efficient Investing
- Arnott, Robert D., Andrew Berkin, and Paul Bouchey. “Is Your Alpha Big Enough to Cover Its Taxes? Revisited” Investments & Wealth Monitor, January/February 2011.
- Daryanani, Gobind and Chris Cordaro. “Asset Location: A Generic Framework for Maximizing After-Tax Wealth.” Journal of Financial Planning, January 2005.
- Arnott, Robert D., Andrew Berkin, and Jia Ye. “The Management and Mismanagement of Taxable Assets.” Journal of Investing, Spring 2001.
- Arnott, Robert D., Andrew Berkin, and Jia Ye. “Loss Harvesting: What’s it Worth to the Taxable Investor?” Journal of Wealth Management, Spring 2001.
- Arnott, Robert D., Andrew Berkin, and Jia Ye. “How Well Have Taxable Investors Been Served in the 1980s and 1990s?” Journal of Portfolio Management, Summer 2000.
- Jeffrey, Robert H. and Robert D. Arnott. “Is Your Alpha Big Enough to Cover Its Taxes?” Journal of Portfolio Management, Spring 1993.
Hedge Funds
- Lack, CFA, Simon. “The Hedge Fund Mirage: The Illusion of Big Money and Why It’s Too Good to be True.” CFA Institute Conference Proceedings Quarterly, December 2012.
- Kelly, Bryan T. and Hao Jiang. “Tail Risk and Hedge Fund Returns.” Chicago Booth Research Paper No. 12-44; Fama-Miller Working Paper, November 1, 2012.
- Aiken, Adam L., Christopher P. Clifford, and Jesse Ellis. “Out of the Dark: Hedge Fund Reporting Biases and Commercial Databases.” Review of Financial Studies, July 6, 2012.
- Dewaele, Benoit, Hugues Pirotte, Nils Tuchschmid and Erik Wallerstein. “Assessing the Performance of Funds of Hedge Funds.” Midwest Finance Association 2012 Annual Meetings Paper. October 9, 2011.
Private Equity
- Franzoni, Francesco A., Eric Nowak, and Ludovic Phalippou. “Private Equity Performance and Liquidity Risk.” Journal of Finance, Swiss Finance Institute Research Paper No. 09-43, August 29, 2011.
- Phalippou, Ludovic and Oliver Gottschalg. “The Performance of Private Equity Funds.” EFA 2005 Moscow Meetings, March 28, 2008.
- Phalippou, Ludovic and Maurizio Zollo. “The Performance of Private Equity Funds.” September 2005.
- Moskowitz, Tobias J. and Annette Vissing-Jorgensen. “The Returns to Entrepreneurial Investment: A Private Equity Puzzle.” The American Economic Review, September 2002.