Investing Research Articles

How should investors think about alternative asset allocation strategies for risk management? In his May 2013 paper entitled “Advances in Portfolio Risk Control. Risk! Parity?”, Winfried Hallerbach offers a practitioner’s review of new and revived portfolio allocation strategies, including: Equal Weight, Maximum Diversification, Minimum Variance; Equal Risk Contribution (Risk Parity); Inverse Volatility; Maximum Sharpe Ratio;… Keep Reading

Are returns on real estate usefully predictable? In the June 2012 version of their book chapter entitled “Forecasting Real Estate Prices”, Eric Ghysels, Alberto Plazzi, Walter Torous and Rossen Valkanov examine the evidence of predictability in U.S. residential and commercial real estate markets. They review methodologies used in constructing widely used real estate price indexes…. Keep Reading

Does Google search activity anticipate stock market action? In their paper entitled “Quantifying Trading Behavior in Financial Markets Using Google Trends”, Tobias Preis, Helen Susannah Moat and Eugene Stanley analyze the power of changes in Google search intensity (term search volume relative to total Google search volume) for 98 terms to predict the behavior of… Keep Reading

Kathleen Peddicord, publisher of the Live and Invest Overseas group, opens her 2013 book, How to Buy Real Estate Overseas, by stating: “The idea of diversifying your investments, your assets, your life and your future overseas can seem frightening, intimidating, even paralyzing. Could you really do it? Yes, you could. I say that based on 30 years… Keep Reading

Can investors use aggregate pairwise return correlations across asset classes to identify and exploit financial market regimes? In the April 2013 draft of their paper entitled “Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks”, Jochen Papenbrock and Peter Schwendner describe an approach for discovering market regimes based on pairwise correlations across 25… Keep Reading

A subscriber inquired about the TransDow trading strategy, which seeks to exploit a relationship between the Dow Jones Transportation Average (DJTA) and the Dow Jones Industrial Average (DJIA). Specifically, this strategy: Computes the 10-week simple moving average (SMA) of the ratio of the weekly closes of DJTA to DJIA. Enters (exits) a long position in… Keep Reading

Are high-grade diamonds competitive with conventional asset classes as investments? In his April 2013 paper entitled “The Returns on Investment Grade Diamonds”, Luc Renneboog examines secondary market returns and risks of investment grade gems (white diamonds, colored diamonds and other gems such as sapphires, rubies, and emeralds). He compares their investment performance metrics to those… Keep Reading

Should traders discard boring, rather than exciting (outlier), data? In his February 2013 paper entitled “Filtered Market Statistics and Technical Trading Rules” (the National Association of Active Investment Managers’ 2013 Wagner Award third place winner), George Yang proposes to filter out as noise the cluster of daily stock market returns near zero for technical analysis purposes. Specifically, he suggests… Keep Reading

How can investors use exchange-traded products to exploit equity market volatility? In the April 2013 version of his paper entitled “Easy Volatility Investing” (the National Association of Active Investment Managers’ 2013 Wagner Award runner-up), Tony Cooper explores the rewards and risks of five volatility trading strategies including simple buy-and-hold, price momentum, futures roll yield capture, volatility risk premium capture and dynamic… Keep Reading

Do equity sectors have exploitably measurable relative value? In his February 2013 paper entitled “Equity Sector Rotation via Credit Relative Value” (the National Association of Active Investment Managers’ 2013 Wagner Award winner), Dave Klein outlines a long-only strategy that ranks Standard & Poor’s Select Sector SPDR exchange-traded fund (ETF) based on relative value. The strategy seeks to exploit a belief that… Keep Reading