Stock Picking in a “Fruit Fly Lab”
...knowledgeable humans applying sophisticated programming techniques may be able to beat the market.
Investing Research Articles
3841 Research Articles
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A Short-term VIX Trading Strategy That Works?
...VIX signals are useful for short-term switching between small-capitalization and large-capitalization stock indexes, especially when VIX is historically high.
Another Test of Hedge Fund Returns
...even though they outperform in aggregate, less than half of equity hedge funds outperform broad stock market indexes.
Worldwide Equity Returns in the 21st Century
...the author forecasts annual worldwide equity returns in the high single digits over the coming decade.
Testing the Indicators of Barchart.com
...Barchart.com generally leans a little the wrong way with respect to near term aggregate stock market action. This tendency is probably too weak to be tradable. Its indicators appear to overweight (underweight) the trend-following (reversal)...
Indicators of Persistent Fund Manager Outperformance
...persistent outperformance in investing depends on the hard work of developing and applying valuable private information, not on reacting to what everyone else knows.
Hedge Fund Industry: Declining Performance and Increasing Risk?
...hedge fund industry net risk-adjusted returns are unremarkable and declining. The flow of new money to hedge funds may pressure hedge fund managers to take greater risks.
Classic Research: Separating Cash Flow and Discount Rate Contributions to Stock Returns
...separating stock returns into those driven by changes in cash flow and those driven by changes in the discount rate helps explain the size effect and the value premium.
Global Diversification: By Country or Industry?
...global integration is rapidly shifting the balance of diversification power from countries to industries (for investors who adhere to modern portfolio theory).
Earnings, Inflation and Stock Returns
...neither change in aggregate earnings nor the inflation rate alone is a good concurrent indicator for the overall stock market returns on a quarterly basis. However, because earnings growth and inflation are interrelated, they may...
The Odds of Winning as an Active Trader
...this evidence suggests that the average day trader breaks even and that the most active traders may be the most successful.
Diversification for “Peak” Performance
...diversification produces "peak" performance by collapsing the probability of performance around the mean. With it, you will seldom fly high, or crash and burn.
Training for the Investor/Trader Hurdles
Investors and traders face three hurdles on the track to success...
Why Highly Volatile Stocks Tend to Underperform
...the idiosyncratic volatility premium is closely related to the value premium, with low volatility and high value stocks tending to outperform. Insensitivity to discount rate (inflation, interest rates) shocks is the common underlying factor.
Capturing the Value Premium by Avoiding Institutional Ownership
...capturing the value premium means focusing on stocks with the lowest institutional ownership.
Market-Leading Industries
...some industries (such as financial and retail positively, and petroleum and metals negatively) lead the overall stock market. However, the indications are not economically significant for traders.
Do What the Company Does?
...firms sell (buy back) company financial assets when their stocks are overvalued (undervalued), and analysts misinterpret or underreact to these actions. Investors should focus on the actions of corporate executives and not the forecasts of...
Combining Momentum and Value for Industry Rotation
...investors can enhance returns by combining value and momentum styles, leaning toward momentum when the yield curve is normal and value when the yield curve is inverted.
Scared by Randomness?
...investors/traders who check investment performance frequently should make mental adjustments for pain-avoidance bias.
Focus on Return on Investment, Not P/E
...investors should focus on return on investment as the driver of investment returns and earnings yield as the indicator of how large the returns should be.
Measuring Company Management Sentiment
...investors/traders generally underreact to the sentiment expressed by executives in company annual reports.
Jack Schannep on Market Timing and Current Market Conditions
Our Guru Grades section ranks a group of 29 stock market experts according to our assessments of the accuracy of their stock market forecasts. Since Jack Schannep has been in the upper tier of the...
Global Pricing of Large-capitalization Stocks?
...investors in large capitalization stocks are likely accepting a worldwide equity premium. Local (and identifiable) pockets of reward-for-risk involve small capitalization stocks.
VIX as an Indicator for Different Kinds of Portfolios
...both the long-term and short-term behaviors of the VIX appear to have some value as an indicator of future stock returns, especially for high-beta stocks.
Predicting Stock Returns Not with Volatility, But Volatilities
...when experts cite overall stock market volatility as an indicator of future market behavior, they are only half right, which is about the same as wrong.