Investing Research Articles

Do commodity futures exhibit short-term momentum and long-term reversion, as do stocks? In the August 2006 version of their paper entitled “Momentum Strategies in Commodity Futures Markets”, Joelle Miffre and Georgios Rallis examine the profitability of 32 momentum (short-term continuation) and 24 contrarian (long-term reversal) strategies in commodity futures markets. The momentum strategies buy (sell)… Keep Reading

We occasionally select for retrospective review an all-time “best selling” research paper from the past few years from the General Financial Markets category of the Social Science Research Network (SSRN). Here we summarize the January 2006 paper entitled “The Tactical and Strategic Value of Commodity Futures” (download count over 2,400) by Claude Erb and Campbell… Keep Reading

…evidence from this UK study supports a belief that a portfolio of stocks with high dividend yields outperforms the broad market most of the time.

…hedge funds that are truly new offer investors notable average outperformance for the first couple of years. However, funds that back fill prior performance data when they first start reporting appear to have already “used up” their startup alpha.

…evidence suggests that stocks with low institutional trading activity (distinct from institutional ownership) tend to be overpriced, with amplified return anomalies.

We evaluate here the market commentary of Richard Rhodes, previously available via Zacks.com over the period March 2004 through October 2005. Richard Rhodes, editor of “The Rhodes Report” newsletter, is one of Zacks’ “pros.” His “proprietary models…provide specific trading recommendations not found at any other shop on or off of Wall Street.” The table below… Keep Reading

…evidence supports beliefs that informed traders distort the relationship between the prices for put and call options on individual stocks and that others may be able to exploit these distortions. Relatively expensive calls (puts) predict stock outperformance (underperformance).

…traders may be able to shave a few basis points off trading costs by timing buys (sells) based on a tendency for exact daily recurrence of recent intraday lows (highs).

…evidence does not support a belief that investors can generate excess returns using an industry allocation strategy based on U.S. presidential politics. Equity return anomalies based on party holding the presidency and presidential term year are marketwide phenomena.

…expert futures traders exhibit some market timing ability, and those who employ trading systems out-time those who do not. Market timing is more important to futures traders than securities selection.