Research articles and white papers on quantitative finance, free cash flow investing, portfolio construction, and active management evaluation.
June 2019 Investment strategy Media appearances
In June 2019, MarketWatch published a Deep Dive analysis of the TrimTabs All Cap US Free-Cash-Flow ETF (TTAC), focusing on the fund’s unique combination of active management and daily holdings transparency. The article noted that unlike many new actively managed...
June 2019 Investment strategy Media appearances
In June 2019, CNBC’s “ETF Edge” program featured the TrimTabs All Cap U.S. Free-Cash-Flow ETF (TTAC), which was later rebranded as the Abacus FCF Leaders ETF (ABFL). At the time, the fund had delivered a 19% year-to-date gain versus 17%...
January 2022 Investment strategy Quantitative finance
Free cash flow analysis reveals the extent to which companies that invest heavily in R&D outperform their peers, suggesting investors should be looking to ensure these innovators form a core part of their portfolios going forward. Key Insights: Companies combining...
January 2022 Investment strategy Quantitative finance
This paper discusses how we apply active management and the common misconceptions around active and passive investing. We apply a framework to estimate the “pure alpha” opportunity of an active strategy. Our evaluation reveals that a quantitative active strategy may...
April 2022 Investment strategy Quantitative finance
The FCF US Quality strategy takes a quantitative active approach to quality factor investing. In this paper, we conduct case studies that illustrate and expose some of the drawbacks embedded in the MSCI USA Sector Neutral Quality Index, and how...
September 2022 Investment strategy Quantitative finance Media appearances
In September 2022, James Comtois of ETF Trends covered my research paper on free cash flow versus earnings as measures of corporate profitability. The article highlighted the central argument of my white paper: that free cash flow provides a more...
February 2023 Investment strategy Quantitative finance
Research Highlights This paper extends our previous research, starting with revisiting a two-dimensional framework for measuring active management using active shares and tracking errors. The limitations of the traditional framework are discussed and a new dimension, the pure alpha estimate,...
March 2023 Investment strategy Etf strategy
Exchange-traded funds (ETFs) have become an increasingly popular investment option for investors of all levels of experience. The creation-redemption process of ETFs is one of the key features that sets them apart from other investment vehicles. This study examines the...
April 2023 Investment strategy Quantitative finance
Free cash flow is a critical financial metric that offers a more transparent view of a company’s profitability in the context of equity valuation. Historically, both free cash flow profitability and free cash flow yield have demonstrated strong predictive capabilities,...
February 2024 Investment strategy Market insights
Entering 2024, our market outlook is cautiously optimistic, underpinned by a nuanced understanding of the global financial landscape. In the U.S., the enduring strength of companies with substantial free cash flow (FCF) profitability continues to be a pivotal factor. Our...