Investing Research Articles

…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.

…the UBS/Gallup Investor Optimism Index is modestly reactive to recent stock market behavior, but it has no predictive power for stock returns (even before its release to the public).

…value and momentum investing may work across a broad range of asset classes, and the two effects are independent enough that combining them may yield incremental outperformance.