Investing Research Articles

Do simple factor models help explain future return variations across different cryptocurrencies, as they do for stocks? In their April 2019 paper entitled “Common Risk Factors in Cryptocurrency”, Yukun Liu, Aleh Tsyvinski and Xi Wu examine performances of cryptocurrency (coin) counterparts for 25 price-related and market-related stock market factors, broadly categorized as size, momentum, volume… Keep Reading

What steps should investors consider to mitigate impact of inevitable large U.S. stock market corrections? In their May 2019 paper entitled “The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?”, Campbell Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor and Otto Van Hemert compare performances of an array of… Keep Reading

Below is a weekly summary of our research findings for 6/17/19 through 6/21/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Are Initial Coin Offerings (ICO), also called token sales or token offerings, typically good investments? ICOs are smart contracts on a blockchain (usually Ethereum) that enable firms to raise money directly from investors. The median time for listing a successful ICO on a token exchange is 42 days. In the May 2019 revision of his… Keep Reading

Below is a weekly summary of our research findings for 6/10/19 through 6/14/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Is there a straightforward way to model the returns on U.S. Corporate bond indexes? In his April 2019 paper entitled “Give Credit Where Credit is Due: What Explains Corporate Bond Returns?”, Roni Israelov models returns on these indexes based on four intuitive factors: Positive exposure to government bond yields, quantified via duration-matched government bonds. Negative… Keep Reading

Considering taxes, in what order should U.S. retirees consume different sources of retirement savings/income? In their August 2018 paper entitled “Constructing Tax Efficient Withdrawal Strategies for Retirees with Traditional 401(k)/IRAs, Roth 401(k)/IRAs, and Taxable Accounts”, James DiLellio and Daniel Ostrov describe and illustrate an algorithm that computes individualized tax-efficient consumption for U.S. retirees of: Tax-deferred… Keep Reading

Below is a weekly summary of our research findings for 6/3/19 through 6/7/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Do all kinds of assets and long-short equity factor premiums exhibit exploitable time series (intrinsic or absolute momentum)? In their September 2018 paper entitled “Trends Everywhere”, Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Pedersen and Erik Stamelos test intrinsic momentum on 58 traditional (studied in prior research) assets, 82 alternative (futures, forwards, and swaps… Keep Reading

Are mean-variance (MV) strategies preferable for allocations to asset classes and equal-weight (EW) preferable for allocations to much noisier individual assets? In their May 2019 paper entitled “Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection”, Emmanouil Platanakis, Charles Sutcliffe and Xiaoxia Ye address this question. They focus on the Bayes-Stein shrinkage… Keep Reading