Investing Research Articles

Do hedge fund investors actually receive the returns reported for hedge funds, or does the timing of investments in these funds substantially affect experienced returns? In the March 2009 version of their paper entitled “Higher Risk, Lower Returns: What Hedge Fund Investors Really Earn”, Ilia Dichev and Gwen Yu measure actual hedge fund investor returns… Keep Reading

…traders may be able to exploit information on hedger and speculator net positions in the Commitment of Traders report to time positions in associated commodity futures.

…investors may be able to boost net returns by timing investments according to an index of leading economic indicators. However, success may depend critically on continually adapting the index to current economic conditions.

…investors should generally focus on the earnings estimates rather than the stock recommendations of equity analysts around the globe. Stock recommendations may offer incremental value (only) in countries with weak legal systems.

Capitalization-weighted stock indexes arguably incorporate a performance drag by overweighting overvalued stocks and underweighting undervalued stocks. In their February 2009 paper entitled “Fundamental Indexing: An Analysis of the Returns, Risks and Costs of Applying the Strategy”, Roel Houwer and Auke Plantinga examine the raw and risk-adjusted returns of hypothetical indexes of European stocks weighted by… Keep Reading

…German investor sentiment correctly anticipates equity market moves over the next few months to some degree. U.S. investor sentiment used to to be a contrarian indicator for equity market moves over coming months, but its predictive power has disappeared.

Who wins and who loses among equity investors, and why? In the December 2008 version of their paper entitled “Who Win and Who Lose Among Individual Investors?”, Kingsley Fong, David Gallagher and Adrian Lee compare the trading performances of three investor groups, those trading through: (1) institutional brokers; (2) discount retail brokers; and, (3) non-discount… Keep Reading

…investors may be able to exploit a stock price effect by focusing on the associated abnormally positive return during the first calendar quarter.

…adjusting asset class allocations according to key economic indicators may help investors manage risk and/or boost long-term returns.

…even though S&P 500 index timing rules based on fundamental indicators and investor sentiment indicators might significantly beat a buy-and-hold benchmark when evaluated in isolation, this outperformance generally evaporates after correcting for data snooping bias. In other words, luck is the dominant differentiator of rule performance.