How can investors confidently assess risk of strategy crashes (tail events) when there are so few crashes even in long samples? In their March 2019 paper entitled “Time-Series Momentum: A Monte-Carlo Approach”, Clemens Struck and...
Do exposures to long-short factor (alternative risk) premiums (ARP) protect portfolios from stock and bond market crashes? In their February 2019 paper entitled “A Framework for Risk Premia Investing: Anywhere to Hide?”, Kari Vatanen and...
Below is a weekly summary of our research findings for 4/8/19 through 4/12/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
What are common cautions regarding exploitation of academic and practitioner papers on financial markets? To investigate, we collect, collate and summarize our cautions on findings from papers reviewed over the past year. These papers are...
Should investors trust academic equity factor research? In their February 2019 paper entitled “A Census of the Factor Zoo”, Campbell Harvey and Yan Liu announce a comprehensive database of hundreds of equity factors from top...
Below is a weekly summary of our research findings for 4/1/19 through 4/5/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do assets other than individual stocks exhibit a short-term (1-month) reversal effect? In their February 2019 paper entitled “Short-Term Momentum (Almost) Everywhere”, Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long investigate short-term return predictability within long...
Do retail investors rationally account for risks as modeled in academic research when choosing actively managed equity mutual funds? In their March 2019 paper entitled “What Do Mutual Fund Investors Really Care About?”, Itzhak Ben-David,...
Have long-short alternative beta (style premium) strategies worked well in practice? In their February 2019 paper entitled “A Decade of Alternative Beta”, Antti Suhonen and Matthias Lennkh use actual performance data to assess alternative beta...
Does widespread investor acceptance of the capital asset pricing model (CAPM) of stock returns drive undervaluation of stocks with low past alphas? In his February 2019 paper entitled “The Unintended Impact of Academic Research on Asset...
A subscriber asked about an annually rebalanced portfolio of 50% stocks and 50% trend following managed futures as recommended in a 2014 Greyserman and Kaminski book [Trend Following with Managed Futures: The Search for Crisis...
Below is a weekly summary of our research findings for 3/25/19 through 3/29/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked about applying the “Simple Asset Class ETF Momentum Strategy” to the funds available to U.S. federal government employees via the Thrift Savings Plan (TSP). To investigate, we test the strategy on the following five funds:...
Do momentum (nearest contract 12-month excess return), value (spot price change from one year ago to five years ago) and basis (12-month average ratio of nearest to next-nearest contract prices) commodity futures premiums hold up...
What are potential monthly returns and alphas from applying machine learning to pick stocks? In their February 2019 paper entitled “Machine Learning for Stock Selection”, Keywan Rasekhschaffe and Robert Jones summarize basic concepts of machine...
What kinds of fundamental and technical indicators play well together? In their August 2018 paper entitled “When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis”, Zhaobo Zhu and Licheng Sun test performance...
Below is a weekly summary of our research findings for 3/18/19 through 3/22/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
A subscriber asked about the validity of the assertion in “The Daily Shot” of February 26, 2019 (The Wall Street Journal) that “recent weakness in the ISM [Institute for Supply Management] Manufacturing PMI [Purchasing Managers’...
Below is a weekly summary of our research findings for 3/11/19 through 3/15/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How does investor competitiveness (a goal of relative rather than absolute wealth) affect optimal allocations? In their February 2019 paper entitled “The Growth of Relative Wealth and the Kelly Criterion”, Andrew Lo, Allen Orr and Ruixun Zhang compare...
Subscribers asked whether the monthly winner (Top 1) of the Simple Asset Class ETF Momentum Strategy (SACEMS) is more prone to mean reversion than momentum, thereby justifying its exclusion from or lower weight within SACEMS...
How should investors feel about factor/multi-factor investing? In their February 2019 paper entitled “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing”, Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa explore three critical failures of U.S. equity...
Below is a weekly summary of our research findings for 3/4/19 through 3/8/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
“Optimal Monthly Cycle for SACEMS?” investigates whether using a monthly cycle other than end-of-month (EOM) to pick winning assets improves performance of the Simple Asset Class ETF Momentum Strategy (SACEMS). This strategy each month picks winners from the...
Do country stock market anomalies have trends? In his March 2018 paper entitled “The Momentum Effect in Country-Level Stock Market Anomalies”, Adam Zaremba investigates whether country-level stock market return anomalies exhibit trends (momentum) based on their past...