Does playing trends both ways via periodic rebalancing (betting on reversion) and momentum (betting on continuation) reliably produce attractive outcomes? In the August 2014 version of their paper entitled “Rebalancing Risk”, Nick Granger, Doug Greenig, Campbell...
Should investors seeking leveraged positions in gold prefer futures or leveraged exchanged-traded funds (ETF)? In their August 2014 paper entitled “Price Dynamics of Gold Futures and Gold Leveraged ETFs”, Tim Leung and Brian Ward compare the...
Is a position in gold consistently effective in protecting a portfolio of conventional assets? In the August 2014 preliminary version of their paper entitled “Does Gold Glitter in the Long-Run? Gold as a Hedge and...
Does the stock momentum anomaly interact with the quarterly financial cycle? In his August 2014 paper entitled “Seasonal Patterns in Momentum and Reversal in the U.S. Stock Market: The Consequences of Tax-Loss Sales and Window Dressing”, David...
Is the capitalization-weighted market portfolio a lame benchmark? In his August 2014 paper entitled “It’s Easy to Beat the Market”, Moshe Levy tests the perception that it is hard to beat a capitalization-weighted portfolio and therefore that an index...
What is the best estimate of the Equity Risk Premium (ERP), the return in excess of the risk-free rate required as compensation for the risk of holding equity? In his August 2014 paper entitled “A...
Do financial markets adapt to widespread use of an indicator, such as Bollinger Bands, thereby extinguishing its informativeness? In the August 2014 version of their paper entitled “Popularity versus Profitability: Evidence from Bollinger Bands”, Jiali Fang, Ben Jacobsen and Yafeng...
How much performance improvement comes from rebalancing a stocks-bonds portfolio, and what specific rebalancing approach works best? In their August 2014 paper entitled “Testing Rebalancing Strategies for Stock-Bond Portfolios Across Different Asset Allocations”, Hubert Dichtl,...
Does focus on nearest-expiration contracts in commodity futures momentum strategies leave money on the table? In their May 2014 paper entitled “Exploiting Commodity Momentum Along the Futures Curves”, Wilma De Groot, Dennis Karstanje and Weili Zhou...
Should investors view financial experts as individuals who, through years of study and experience, overcome behavioral biases and reliably add value to investment decisions? In his May 2014 essay entitled “Are You Trying Too Hard?”, Wesley Gray summarizes research that...
Behavioral finance encompasses research on how investors fall short of a rational ideal in decision-making, and how markets are thereby somewhat inefficient. In his August 2014 paper entitled “Behavioral Finance”, David Hirshleifer examines sources of investor biases and provides an...
Can individual investors reliably extract excess returns from long-only stock momentum? In their April 2014 paper entitled “Profitable Momentum Trading Strategies for Individual Investors”, Bryan Foltice and Thomas Langer examine whether a long-only stock momentum portfolio holding the top one...
As a follow-up to “Mutual Fund Hot Hand Performance Robustness Test”, a subscriber suggested testing a portfolio that each year holds the top two Fidelity diversified equity funds plus the top two Vanguard diversified equity...
How should investors assess systematic trading programs? In his August 2014 paper entitled “Evaluation of Systematic Trading Programs”, Mikhail Munenzon offers a non-technical overview of issues involved in evaluating systematic trading programs. He defines such programs as automated processes that generate signals,...
Which firm accounting measures best predict future stock returns? In the August 2014 version of their paper entitled “Are Cash Flows Better Stock Return Predictors than Profits?”, Stephen Foerster, John Tsagarelis and Grant Wang investigate...
In his August 2014 paper entitled “Bitcoin Myths and Facts”, Campbell Harvey examines eight claims about bitcoin. One of these claims is that bitcoin is currently too volatile to serve as a store of value....
Is the U.S. stock market in a Federal Reserve-driven bubble that is about to burst? In his August 2014 paper entitled “Fed by the Fed: A New Bubble Grows on Wall St.”, Oliver Dettmann examines how shifts away from quantitative easing by central banks, and the...
What is the best way to harvest asset mispricings derived from aggregate overreaction/underreaction by naive investors? In his July 2014 presentation package entitled “Betting On ‘Dumb Volatility’ with ‘Smart Beta'”, Claude Erb examines strategies for exploiting the “dumb volatility” arguably...
What is the best way to capture the slowly realized and variable value premium? In his August 2014 paper entitled “Value Investing: Smart Beta vs. Style Indices”, Jason Hsu compares exploitation of the value premium by...
How can researchers account for the snooping bias derived from testing of multiple strategy alternatives on the same set of data? In the July 2014 version of their paper entitled “Evaluating Trading Strategies”, Campbell Harvey and Yan...
How should investors use Morningstar mutual fund ratings/grades to select mutual funds? In his July 2014 paper entitled “Morningstar Mutual Fund Measures and Selection Model”, John Haslem surveys the five kinds of Morningstar mutual fund ratings and...
In response to “Optimal Monthly Cycle for Simple Asset Class ETF Momentum Strategy?”, a subscriber asked about the optimal monthly cycle for “Simple Sector ETF Momentum Strategy”, which each month allocates all funds to the...
Are widely used volatility-adjusted investment performance metrics, such as Sharpe ratio, robust to different measurement intervals? In the July 2014 version of their paper entitled “The Divergence of High- and Low-Frequency Estimation: Implications for Performance...
Has the growing role of financial investors in commodities markets (financialization) weakened performance of widely used momentum and term structure investing strategies? In his July 2014 paper entitled “Strategies Based on Momentum and Term Structure in Financialized Commodity...
What is the state of cyclically adjusted price-earnings ratios (CAPE, P/E10 or Shiller PE), stock index level divided by average real earnings over the past ten years, across country equity markets worldwide? In their July 2014 paper entitled “CAPE...