Should investors consider Bitcoin as a safe haven from turbulent financial markets? In their June 2018 paper entitled “Bitcoin as a Safe Haven: Is It Even Worth Considering?”, Lee Smales and Dirk Baur assess the potential for...
Is there an exploitable way to predict when short-term stock market return will be negative? In his June 2018 paper entitled “Predictable Downturns”, Carter Davis tests a random forest regression-based forecasting model to predict next-day U.S....
Each week the media report U.S. initial and continued unemployment claims (seasonally adjusted) as a potential indicator of future U.S. stock market returns. Do these indicators move the market? To investigate, we focus on weekly...
Are there any gold trading strategies that reliably beat buy-and-hold? In their April 2018 paper entitled “Investing in the Gold Market: Market Timing or Buy-and-Hold?”, Viktoria-Sophie Bartsch, Dirk Baur, Hubert Dichtl and Wolfgang Drobetz test 4,095 seasonal, 18 technical,...
Is it suboptimal to employ the same asset class proxy universe both to exploit momentum and to avoid crashes? In their July 2018 paper entitled “Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)”, Wouter...
Brian Portnoy introduces his 2018 book, The Geometry of Wealth: How To Shape A Life Of Money And Meaning, by stating that the book is: “…a story told in three parts,…from purpose to priorities to tactics. Each...
The many factor-based indexes and exchange-traded funds (ETFs) that track them now available enable investors to construct multi-factor portfolios piecemeal. Is such piecemeal construction suboptimal? In their July 2018 paper entitled “The Characteristics of Factor Investing”, David Blitz...
Does sentiment on StockTwits and Twitter social media platforms usefully predict returns for individual stocks? In their June 2018 paper entitled “Momentum, Mean-Reversion and Social Media: Evidence from StockTwits and Twitter”, Shreyash Argarwal, Pablo Azar, Andrew Lo and Taranjit Singh...
Is Warren Buffett’s track record explicable and replicable? In the June 2018 update of their paper entitled “Buffett’s Alpha”, Andrea Frazzini, David Kabiller and Lasse Pedersen model Warren Buffett’s exceptional investing performance based on replicating exposures...
A betting against beta (BAB) portfolio is long low-beta assets and short high-beta assets, with each side leveraged to a beta of one. Do strong past stock market returns (when investors tend to overweight high-beta stocks) predict an increase in...
How do so many active managers who underperform passive investment alternatives continue to attract and retain investors? In their June 2018 paper entitled “How Active Management Survives”, J.B. Heaton and Ginger Pennington test the hypothesis that investors...
In what areas does machine learning have advantages over conventional financial/investment analysis? In his June 2018 presentation entitled “Nine Financial Applications of Machine Learning”, Marcos Lopez de Prado summarizes investing-related areas in which well-supervised machine...
Does conventional reward-for-risk wisdom about the long-run performance of the U.S. stock market translate to the typical stock? In the May 2018 update of his paper entitled “Do Stocks Outperform Treasury Bills?”, Hendrik Bessembinder compares...
A subscriber asked whether some different momentum metric might improve performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS), which each month reforms a portfolio of winners from the following universe based on total return...
Should investors pursue initial coin offerings (ICO), special-purpose crypto-tokens? In their May 2018 paper entitled “Digital Tulips? Returns to Investors in Initial Coin Offerings”, Hugo Benedetti and Leonard Kostovetsky study the market for crypto-tokens, focusing on: initial...
Which factor models of stock returns are currently best? In their June 2018 paper entitled “q5“, Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang, introduce the q5 model of stock returns, which adds a fifth factor (expected...
Do currency exchange factor strategies usefully diversify a set of conventional asset classes? In their May 2018 paper entitled “Currency Management with Style”, Harald Lohre and Martin Kolrep investigate the systematic harvesting of currency exchange carry, value...
“Is There Really an Size Effect?” summarizes research challenging the materiality of the equity size effect. Is there a counter? In their June 2018 paper entitled “It Has Been Very Easy to Beat the S&P500...
Does separating the active (alpha) and passive (market exposure, or beta) components of an overall equity investment strategy, thereby isolating turnover, reduce overall tax burden? In their May 2018 paper entitled “The Tax Benefits of...
Do changes in firm financial reporting practices signal bad news to come? In the February 2018 update of their paper entitled “Lazy Prices”, Lauren Cohen, Christopher Malloy and Quoc Nguyen investigate relationships between changes in firm financial reporting...
Do small market capitalization stocks really outperform big ones, as strongly implied by the prominence of the size effect in published research and factor models? In their May 2018 paper entitled “Fact, Fiction, and the...
How well do different measures of stock quality perform as portfolio screens? In the May 2018 update of paper entitled “Does Earnings Growth Drive the Quality Premium?”, Georgi Kyosev, Matthias Hanauer, Joop Huij and Simon Lansdorp...
Do firms with predictable sales seasonality continually “surprise” investors with good high season (bad low season) sales and thereby have predictable stock return patterns? In their May 2018 paper entitled “When Low Beats High: Riding...
Does volatility targeting improve Sharpe ratios and provide crash protection across asset classes? In their May 2018 paper entitled “Working Your Tail Off: The Impact of Volatility Targeting”, Campbell Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, and Otto...
Does retail investor preference for stocks with skewed return distributions explain stock return anomalies? In their April 2018 paper entitled “Skewness Preference and Market Anomalies”, Alok Kumar, Mehrshad Motahari and Richard Taffler investigate whether investor preference for...