Different strategic allocation strategies employ different ways of: (1) estimating future values of key asset variables (return, volatility, correlation); and, (2) combining these variables to set future allocations. Each strategy thus produces a distinct return...
Can investors rely on the power of commodity futures to diversify equities, or have growth in industrial hedging and general financialization of commodities permanently changed correlations? In the November 2011 version of their paper entitled...
How does the effectiveness of safe havens vary over time? In the February 2012 draft of their paper entitled “Safe Haven Assets and Investor Behaviour under Uncertainty”, Dirk Baur and Thomas McDermott examine the roles of gold...
How fast must traders move to operate efficiently in the high-frequency arena? In their February 2012 paper entitled “High-Frequency Technical Trading: The Importance of Speed”, Martin Scholtus and Dick van Dijk investigate execution speed sensitivity of technical...
Do market capitalization (size) and book-to-market ratio systematically affect intermediate-term momentum and long-term reversal for individual stocks? In their February 2012 paper entitled “Momentum and Reversal: Does What Goes Up Always Come Down?”, Jennifer Conrad and...
Dollar cost averaging (DCA) is a very simple and intuitive way to buy more (less) of an asset when its price is low (high), thereby achieving some cost efficiency. Is there a simple and reliable...
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week? In their February 2012 paper entitled “Day of the Week Effect on the VIX: A Parsimonious Representation”, Maria Gonzalez-Perez and David...
...evidence suggests that investors may be able to gain an edge from the power of changes in implied volatilities to predict returns for individual stocks, and the power of stock returns to predict future changes...
Generally, when stocks go up (down), iPath S&P 500 VIX Short Term Futures (VXX) goes down (up). A reader asked what happens after stocks and VXX move in the same direction. Is this unusual behavior a useful...
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...
Do widely acknowledged U.S. equity market anomalies exist in other stock markets? If so, why? In his November 2011 paper entitled “Equity Anomalies Around the World”, Steve Fan investigates whether a number of equity market...
How can an investor decide whether a new strategy or new asset class (more generally, a stream of returns), is better than those currently in a portfolio? In their February 2012 paper entitled “The Sharpe...
Some experts use the mean-variance analysis of Modern Portfolio Theory (MPT), which penalizes large upside volatility, to measure portfolio efficiency. Others use Second-order Stochastic Dominance (SSD) analysis, purer mathematically than MPT but open to unrealistic investor behavior. Is...
How overconfident are individual investors, and how does overconfidence affect their investing practices? In his November 2011 paper entitled “Financial Overconfidence Over Time | Foresight, Hindsight, and Insight of Investors”, Christoph Merkle examines relationships between the...
Are option traders market leaders, such that information gleaned from options trading anticipates equity returns? In the December 2011 draft of their paper entitled “Exploiting Option Information in the Equity Market”, Guido Baltussen, Bart Van der...
What is the best way to include the least developed (frontier) stock markets for portfolio diversification? In his December 2011 paper entitled “Frontier Markets: Punching Below their Weight? A Risk Parity Perspective on Asset Allocation”, Jorge...
It is arguable that many stock momentum strategy tests derive more from logical/programming simplicity than common portfolio management practices. Does momentum work for portfolios of U.S. stocks when melded with the latter? In the January 2012 update...
How do pension funds, arguably representative of sophisticated and conservative investors, use real estate as an alternative investment? In their January 2012 paper entitled “Value Added From Money Managers in Private Markets? An Examination of...
Can investors usefully predict the short-term direction of the stock market by contrasting the outlooks implied by out-of-the-money (OTM) and at-the-money (ATM) market index options. In the October 2011 update of their paper entitled “Implied...
Does the effectiveness of simple moving average (SMA) crossing signals vary with stock volatility? In the August 2011 update of their paper entitled “A New Anomaly: The Cross-Sectional Profitability of Technical Analysis”, Yufeng Han, Ke...
Do aggregate corporate earnings predict bond market returns? In his January 2012 paper entitled “Aggregate Earnings and Corporate Bond Markets”, Xanthi Gkougkousi investigates the relationship between aggregate earnings and corporate bond market returns. Using quarterly aggregate...
Do companies reliably repurchase their stocks at bargain prices, thus providing signals for investors to tag along? In the January 2012 update of their paper entitled “Do Firms Buy Their Stock at Bargain Prices? Evidence...
Does seasonal fear of stock market weakness or demand for jewelry drive gold prices? In his January 2012 paper entitled “The Seasonality of Gold – Jewelery Demand and Investor Behavior”, Dirk Baur examines calendar month...
As suggested by readers, we evaluate here Douglas Kass’ outlooks for the U.S. stock market since mid-2006 as extracted from his Seabreeze Partners blog. Douglas Kass is founder and President of Seabreeze Partners Management, Inc., which “specializes...
Is the value premium seasonal? In their 2012 paper entitled “Is the Value Effect Seasonal? Evidence from Global Equity Markets”, Praveen Kumar Das and Uma Rao investigate the intersection of the January effect and the value...