July 30, 2014 - Big Ideas
Is there some tractable investment performance metric that corrects weaknesses commonly encountered in financial markets research? In the July 2014 version of their paper entitled “The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality”, David Bailey and Marcos Lopez de Prado introduce the Deflated Sharpe Ratio (DSR) as a tool for evaluating investment… Keep Reading
September 3, 2015 - Momentum Investing, Volatility Effects
What indicator works best to mitigate stock momentum strategy crashes? In his March 2015 paper entitled “Momentum Crash Management”, Mahdi Heidari compares performances of seven indicators for avoiding conventional stock momentum strategy crashes: (1) prior-month market return; (2) change in prior-month market return: (3) market volatility (standard deviation of 52 weekly returns); (4) dispersion (variance) of daily returns… Keep Reading
November 18, 2015 - Momentum Investing
Does “meaningful” short-term stock return momentum predict exploitable short-term price trends? In their October 2015 paper entitled “News Momentum”, Hao Jiang, Sophia Li and Hao Wang combine time-stamped firm news with high-frequency (15-minute) stock returns to identify stocks exhibiting news-driven momentum. Their news feed is the stream of unique items (no repeated stories) delivered in near real time by RavenPack. News-driven momentum derives from high-frequency returns… Keep Reading
December 29, 2015 - Commodity Futures
What kinds of commodity futures portfolio allocation strategies work? In her December 2015 paper entitled “Long-Short Commodity Investing: A Review of the Literature”, Joelle Miffre summarizes recent academic studies that analyze the performance of long-short commodity futures strategies. She focuses on strategies exploiting roll yields, inventory levels, hedging pressure or momentum. She also surveys alternative… Keep Reading
October 25, 2016 - Animal Spirits, Equity Premium
Are stocks with high prices or low prices inherently better deals? In their October 2016 paper entitled “Nominal Stock Price Investing”, Ulrich Hammerich, Christian Fieberg and Thorsten Poddig examine the relationship between stock price and future stock performance in the German equity market. Specifically, they each month sort stocks by price and measure the difference in average… Keep Reading
January 10, 2018 - Volatility Effects
Do strategies that seek to exploit return volatility persistence by adjusting stock market exposure inversely with recent market volatility relative to some target (including exposures greater than 100%) produce obvious benefits for investors? In their November 2017 paper entitled “Tail Risk Mitigation with Managed Volatility Strategies”, Anna Dreyer and Stefan Hubrich examine usefulness of managing volatility in this… Keep Reading
April 3, 2019 - Equity Premium, Investing Expertise
Have long-short alternative beta (style premium) strategies worked well in practice? In their February 2019 paper entitled “A Decade of Alternative Beta”, Antti Suhonen and Matthias Lennkh use actual performance data to assess alternative beta strategies across asset classes from the end of 2007 through the end of 2017, including quantification of fees and potential… Keep Reading
June 18, 2019 - Currency Trading, Size Effect
Are Initial Coin Offerings (ICO), also called token sales or token offerings, typically good investments? ICOs are smart contracts on a blockchain (usually Ethereum) that enable firms to raise money directly from investors. The median time for listing a successful ICO on a token exchange is 42 days. In the May 2019 revision of his… Keep Reading
August 27, 2019 - Animal Spirits, Fundamental Valuation
How does the market react when firms announce adoption of blockchain technology? In the May 2019 draft of their paper entitled “Bitcoin Speculation or Value Creation? Corporate Blockchain Investments and Stock Market Reactions”, Don Autore, Nicholas Clarke and Danling Jiang study stock price reactions to initial public announcements of investments in blockchain technology by listed… Keep Reading
February 7, 2020 - Miscellaneous
Below is a weekly summary of our research findings for 2/3/20 through 2/7/20. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.