Investing Research Articles

Quantitative investing involves disciplined rule-based approaches to help investors structure optimal portfolios that balance return and risk. How has such investing evolved? In their June 2018 paper entitled “The Current State of Quantitative Equity Investing”, Ying Becker and Marc Reinganum summarize key developments in the history of quantitative equity investing. Based on the body of research, they conclude… Keep Reading

Is there a best way for investors to measure firm profitability for global stock selection? In their August 2018 paper entitled “Constructing a Powerful Profitability Factor: International Evidence”, Matthias Hanauer and Daniel Huber investigate which measure of firm profitability best predicts associated stock returns. They consider six measures: return on equity; gross profitability; operating profitability calculated in… Keep Reading

Do firms with predictable sales seasonality continually “surprise” investors with good high season (bad low season) sales and thereby have predictable stock return patterns? In their May 2018 paper entitled “When Low Beats High: Riding the Sales Seasonality Premium”, Gustavo Grullon, Yamil Kaba and Alexander Nuñez investigate firm sales seasonality as a stock return predictor. Specifically, for each… Keep Reading

Do alternative beta (factor-weighted) stock indexes present an exploitable advantage over traditional market capitalization weighting? In their February 2016 paper entitled “Alternative Beta Strategies”, Frank Benham, Roberto Obregon, Edmund Walsh and Timur Yontar analyze performance and practicality aspects of alternative beta stock indexes that target high value, high momentum, low volatility and high quality/profitability premiums. They also model multi-beta portfolios to assess the net benefits… Keep Reading

Do the behaviors of the most widely accepted stock market factors (size, book-to-market or value, and momentum) vary with the economic trend? In the June 2014 version of their paper entitled “Macroeconomic Determinants of Cyclical Variations in Value, Size and Momentum premium in the UK”, Golam Sarwar, Cesario Mateus and Natasa Todorovic examine differences in the sensitivities of UK equity market size,… Keep Reading

Can investors exploit monthly persistence in the value premium for U.S. stocks? In his February 2014 paper entitled “Exploiting Factor Autocorrelation to Improve Risk Adjusted Returns”, Kevin Oversby investigates whether investors can exploit the fact that the Fama-French model high-minus-low (HML) value factor exhibits positive monthly autocorrelation (persistence). The HML factor derives from the difference in performance between portfolios of… Keep Reading

Can equity funds exploit widely accepted stock return anomalies? In their July 2013 paper entitled “Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?”, Eduard Van Gelderen and Joop Huij investigate whether mutual funds that materially adopt investment strategies based on published asset pricing anomalies consistently outperform the… Keep Reading

Do returns for country stock markets vary systematically with the return volatilities of those markets? In their December 2012 paper entitled “Are Investors Compensated for Bearing Market Volatility in a Country?”, Samuel Liang and John Wei investigate the relationships between monthly returns and both total and idiosyncratic volatilities for country stock markets. They measure total… Keep Reading

Have researchers unfairly treated actively managed mutual funds by using non-investable benchmarks? In their February 2012 paper entitled “Another Look at the Performance of Actively Managed Equity Mutual Funds”, David Blitz and Joop Huij evaluate the performance of actively managed equity mutual funds against a set of passively managed market, small capitalization, growth and value index funds… Keep Reading

Are some stocks more sensitive to commodity prices than others? If so, is the variation exploitable? In their February 2011 paper entitled “The Stock Market Price of Commodity Risk”, Martijn Boons, Frans de Roon and Marta Szymanowska investigate the cross-sectional variation in stock returns associated with commodity price changes by calculating betas for individual stocks… Keep Reading