Investing Research Articles

…the extraordinary performance claimed by IntelligentValue for the Retracement-Value portfolio is likely due to a combination of early good luck and a favorable assumption about trade prices. Investors/traders considering such active trading services should carefully evaluate their trading costs/frictions.

…changing public beliefs in how the economy works (and thereby valuation models) substantially affect long-term interest rates and asset prices. Current beliefs, focused on nominal rather than real interest rates, foster irrational overpricing of assets.

…traders employing frequent trading strategies such as that offered by VRTrader.com must achieve low trading friction and be prepared for frequent losses and high return volatility among individual trades. Specifically for VRTrader.com, they may also want to ignore short trade recommendations.

…past performance is significantly indicative of future performance among bond mutual funds.

…presumably sophisticated hedge fund investors as a group chase past returns and fail to time their investments successfully.

…the apparent outperformance of the The Trend Trade Letter may disappear after correcting for trading frictions, market conditions and data errors.

…U.S. finance professors on average, as of the end of 2007, expect stocks to offer a 5% annual (geometric) risk premium over the next 30 years, a little below their expectation in 2001.

…hedge funds in aggregate exploit a few of the “famous” anomalies, but they apparently have other methods of generating abnormal returns.

…some anomalies are stronger and more consistent than others. Momentum appears to be the strongest and most consistent.

…investors may be able to generate substantial abnormal returns by combining the effects of earnings and accruals surprises, qualified by overall firm operating performance.