Peer-reviewed
Two papers in the Journal of Portfolio Management on how ETF adoption changed the macro efficiency and the risk structure of the market.
Abstracts are hosted by the publishers. We link to them and host no copies.
The Journal of Portfolio Management · July 2022
Shows that ETF adoption changed how efficiently the market prices macro information. Risk now sits in shared baskets, so holdings that looked independent move together.
Read the abstract: How Have ETFs Changed Market Macro Efficiency and Risk Structure? (First page of the 2022 Journal of Portfolio Management paper)The Journal of Portfolio Management · April 2025
Extends the 2022 work to equity markets and shows why risk models built on the old market structure misjudge diversification today.
Read the abstract: ETF Adoption and Equity Market Macroefficiency (First page of the 2025 Journal of Portfolio Management paper)Financial Times
The Financial Times cites Cap8's research on how ETFs have changed the way markets move.
Read the article: Cited by the Financial Times, 2025 (First page of the Financial Times article)Lineage
Our research began at MIT in 2018. Eight years of work on ETFs and market risk structure sit behind the papers, and behind the engine that applies them to the strategy you run.
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