Investing Research Articles

…there is probably a substantial headwind for those speculating on stock pops by buying near-expiration, out-of-the-money call options. Selling such options may be reliably profitable.

…investors may be able to exploit a two-year reversion effect signaled by past returns of the broad value-weighted U.S. stock market.

…hedge fund investors are probably better off with maverick funds, perhaps new ones every couple of years, than with those cut from the herd.

…this simple sector ETF pair trading strategy offers modest average abnormal returns, but only infrequent trading opportunities. A standalone pairs trading strategy of any kind probably requires a large inventory of potential pairs.

Just what does it mean to be a quant? In his December 2002 article entitled “The Boy’s Guide to Pricing & Hedging “, Emanuel Derman offers an “abbreviated poor man’s guide” to quantitative finance. He observes that:

…hedge portfolios of matched pairs of stocks has offered persistently solid risk-adjusted returns, but diminishing raw returns, over the past 40 years.

…evidence indicates that the Australian stock market offers a strong value premium and a weak size effect.

…over the long term, systematic use of stop losses in trading individual stocks does not enhance the level of returns, but certain trailing stop losses reduce trading risk (standard deviation of returns).

…commodity futures trading strategies that combine momentum and roll return may offer strong performance largely uncorrelated with those of stocks and bonds.

…the ability of commonly used indicators to predict near-term (one-month) stock market returns appears during economic recessions (periods of high return volatility) but vanishes during economic expansions.