Infundly Weekly Briefing - 13 November 2026
This week's research brings together several useful developments in portfolio construction, investment implementation and manager due diligence. New academic work challenges conventional estimates of portfolio efficiency. Market commentary from BlackRock and J.P. Morgan also raises questions about the durability of equity leadership and the opportunities emerging beyond large-cap stocks.
The common thread is the distinction between an attractive investment opportunity and the ability to capture it in practice. For selectors, that means looking beyond modelled returns, headline valuations and stated investment processes to understand the costs, constraints and decisions that ultimately determine investor outcomes.
This week's shortlist
NBER — The Hidden Sharpe Ratio
November 2026 · Working Paper 35988 · Portfolio construction
What changed: Researchers propose a new way of estimating the maximum achievable Sharpe ratio across large groups of assets without first constructing an efficient portfolio. Their method suggests conventional approaches can materially underestimate theoretical investment opportunities. Applied to US equities, the estimated maximum annualised Sharpe ratio is approximately 7.4, falling to 5.0 when micro-cap stocks are excluded. These are statistical estimates, not realised or readily investable returns.
Worth reading because: The distinction between theoretical portfolio efficiency and implementable investment outcomes is fundamental to quantitative manager research. Selectors should examine whether reported improvements survive transaction costs, liquidity constraints, estimation uncertainty and genuine out-of-sample testing.
NBER — Financial Advisors and Retirees' Risk-taking
November 2026 · Working Paper 35990 · Portfolio suitability and decumulation
What changed: The researchers find that advised retirees maintain approximately two-thirds of their portfolios in equities well into retirement, around 30–40 percentage points more than several comparator groups. Allocations adjust gradually when clients change advisers, suggesting that investment advice materially influences risk-taking rather than simply reflecting investor inertia. The authors also model circumstances in which greater equity exposure can improve investor welfare.
Worth reading because: This is particularly relevant to multi-asset ranges, retirement portfolios and decumulation strategies. It raises questions about how risk capacity is assessed, the role of secure pension income and whether portfolio design is driven by investor circumstances or an adviser's preferred investment approach. The findings should not be interpreted as a general case for higher equity allocations in retirement.
NBER — Unconventional Monetary Policy and Deposit Retention
November 2026 · Working Paper 35985 · Financial-sector research
What changed: The paper finds that prolonged near-zero interest rates and quantitative easing changed the composition of bank deposits, attracting more interest-rate-sensitive customers. As monetary policy normalised, banks with greater exposure to these earlier policies experienced increased deposit sensitivity and higher costs of retaining funding.
Worth reading because: This adds a useful dimension to bank equity and credit research. Deposit stability is not necessarily a permanent franchise characteristic. Selectors should understand how financial-sector managers assess funding quality, deposit behaviour and the possibility that historical profitability reflects monetary conditions unlikely to persist.
BlackRock Investment Institute — Global Weekly Commentary
9 November 2026 · Cross-asset market strategy
What changed: BlackRock's latest commentary reviews market performance against a backdrop of substantial dispersion across asset classes, including emerging-market equities, credit, government bonds and commodities. Its accompanying analysis provides a timely perspective on how changing macroeconomic conditions and structural investment themes are influencing relative returns.
Worth reading because: This provides a useful prompt for multi-asset manager reviews. Selectors should distinguish between returns generated by deliberate allocation decisions and those arising from broad market exposures. It is also worth examining whether managers' diversification assumptions remain credible when the underlying economic drivers of different assets overlap.
J.P. Morgan Asset Management — The Weekly Brief: Small-Cap Valuations
9 November 2026 · Equity strategy and market context
What changed: J.P. Morgan highlights that small-cap equity indices in the US and Europe trade below their long-term median valuations, with much of their historical valuation premium over large-cap stocks having disappeared. Small caps have nevertheless struggled in recent years because of higher leverage and greater interest-rate sensitivity. Their relative performance has improved modestly in 2026, particularly during recent technology-sector volatility.
Worth reading because: This provides a useful framework for assessing smaller-company managers. Attractive relative valuations do not automatically establish a compelling opportunity. Selectors should examine balance-sheet quality, refinancing exposure, earnings resilience and whether managers are identifying genuine mispricing rather than simply buying companies that appear inexpensive.
Infundly takeaway
A recurring theme in this week’s research is the difference between identifying an investment opportunity and being able to capture it in practice. The NBER work on portfolio efficiency illustrates how statistical models can identify opportunities that may look compelling theoretically but become less convincing once liquidity, transaction costs and investability are considered. J.P. Morgan’s assessment of smaller-company valuations makes a related point: apparently attractive prices need to be judged alongside balance-sheet strength, refinancing exposure and earnings resilience. For selectors, the important question is not simply whether an opportunity exists, but whether a manager has a credible and repeatable process for exploiting it without relying on assumptions that are difficult to reproduce in real portfolios.
The second theme concerns the durability of assumptions underpinning investment decisions. Research into bank deposits demonstrates how earlier monetary conditions can influence financial institutions long after policy changes, while the study of retiree portfolios highlights how portfolio outcomes can also be shaped by the decisions and preferences of those responsible for allocating capital. BlackRock’s cross-asset analysis provides a broader market context for these questions. Together, the research reinforces the value of examining how managers understand the sources of return and risk, how that understanding translates into portfolio decisions and, importantly, what evidence would cause them to reconsider their approach.
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