(Not) Paying for Performance
July 10, 2008 - Mutual/Hedge Funds
…mutual fund investors can enhance odds of beating passive benchmarks by focusing on funds with expense ratios that are among the lowest within category.
July 10, 2008 - Mutual/Hedge Funds
…mutual fund investors can enhance odds of beating passive benchmarks by focusing on funds with expense ratios that are among the lowest within category.
July 7, 2008 - Big Ideas, Equity Options
…pricing of out-of-the-money put options for the S&P 500 index indicates that investors expect 50% stock market crashes every 50 years.
July 2, 2008 - Animal Spirits
…observations have implications for investing and trading from the perspectives of avoiding irrationality as individuals and exploiting the systematic irrationalities of others.
July 1, 2008 - Sentiment Indicators
…low (high) investor sentiment is especially indicative of future outperformance (underperformance) by the most speculative stocks.
June 27, 2008 - Momentum Investing
…after accounting for trading frictions, medium-term long-short industry momentum strategies implemented via sector/industry ETFs do not offer abnormal returns.
June 26, 2008 - Fundamental Valuation
…evidence from a small sample does not support a belief that ValueEngine’s market overview statistics meaningfully predict near-term behavior of the broad stock market.
June 24, 2008 - Fundamental Valuation, Sentiment Indicators
…the media employs mostly sentimental shortcuts in assessing company performance, and the sentiments expressed are much more reflective of past trends than future performance.
June 20, 2008 - Commodity Futures
…the reactions of aggregated commodity futures prices to surprises in macroeconomic indicators (up and down with inflation and real activity) are most reliable during recessions.
June 19, 2008 - Technical Trading
…trading fees, trader capital constraints and inclusion of open positions may substantially reduce or eliminate “Short Term Stock Selector” profitability as summarized by the offeror.
June 17, 2008 - Individual Investing, Investing Expertise
How do the typical portfolio and performance of self-directed investors differ from those of investors who employ financial advisors? Do financial advisors systematically add value by providing information to, and tempering the irrationalities of, individual investors? In his March 2008 paper entitled “The Influence of Financial Advice on Individual Investor Portfolio Performance”, Marc Kramer compares… Keep Reading