What is the best way to implement futures momentum and manage its risk? In their November 2017 paper entitled “Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches”, Minyou Fan, Youwei Li and Jiadong...
Are there rational ways to decide whether cryptocurrencies such as Bitcoin are in bubbles? In their December 2017 paper entitled “Datestamping the Bitcoin and Ethereum Bubbles”, Shaen Corbet, Brian Lucey and Larisa Yarovaya test for bubbles in Bitcoin...
How efficiently can a sophisticated fund manager implement long-only stock momentum portfolios? In their December 2017 paper entitled “Implementing Momentum: What Have We Learned?”, Adrienne Ross, Tobias Moskowitz, Ronen Israel and Laura Serban use seven years of live data for...
Is optimal stock anomaly exploitation long-only or long-short? If not long-short, does shorting the market rather than individual stocks work as well as shorting individual stocks? In his November 2017 paper entitled “How Do Short...
What is the smartest way (having the lowest prediction errors) to estimate market beta across stocks for the purpose of portfolio construction? In their November 2017 paper entitled “How to Estimate Beta?”, Fabian Hollstein, Marcel Prokopczuk and Chardin...
Are cryptocurrencies potentially useful portfolio diversifiers? In their November 2017 paper entitled “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets”, Shaen Corbet, Andrew Meegan, Charles Larkin, Brian Lucey and Larisa Yarovaya apply a battery of tests to analyze...
In reaction to “Combine Market Trend and Economic Trend Signals?”, a subscriber suggested adding an interest rate trend signal to those for the U.S. stock market and U.S. unemployment rate for the purpose of timing...
Is value investing particularly profitable when the price spread between cheap and expensive assets (the value spread) is extremely large (deep value)? In their November 2017 paper entitled “Deep Value”, Clifford Asness, John Liew, Lasse Pedersen and Ashwin Thapar...
Do investors underestimate the adverse import of large left tails for future stock returns? In their November 2017 paper entitled “Left-Tail Momentum: Limited Attention of Individual Investors and Expected Equity Returns”, Yigit Atilgan, Turan Bali, Ozgur Demirtas and Doruk...
As described in “Quantifying Snooping Bias in Published Anomalies”, anomalies published in leading journals offer substantial opportunities for exploitation on a gross basis. What profits are left after accounting for portfolio maintenance costs? In their...
Is data snooping bias a material issue for cross-sectional stock return anomalies published in leading journals? In the September 2017 update of their paper entitled “Publication Bias and the Cross-Section of Stock Returns”, Andrew Chen and Tom Zimmermann:...
Is volatility dangerously oversold? In their November 2017 paper entitled “Everybody’s Doing it: Short Volatility Strategies and Shadow Financial Insurers”, Vineer Bhansali and Lawrence Harris survey strategies that directly or indirectly short volatility, including: Relevant strategies (selling...
Can investors refine portfolio rebalancing while capturing a volatility risk premium (VRP) by systematically shorting options matched to target allocations of the underlying asset? In their October 2017 paper entitled “An Alternative Option to Portfolio...
What firm/asset/market conditions signal mispricing? In the November 2017 version of their paper entitled “Bonds, Stocks, and Sources of Mispricing”, Doron Avramov, Tarun Chordia, Gergana Jostova and Alexander Philipov investigate drivers of U.S. corporate stock and bond mispricing based...
Do firms that acquire patents in similar technologies persistently perform similarly? In the October 2017 draft of their paper entitled “Technology and Return Predictability”, Jiaping Qiu, Jin Wang and Yi Zhou examine monthly performance persistence of stocks grouped...
Do strongly accelerating firm earnings identify future outperforming stocks? In the October 2017 revision of their paper entitled “Earnings Acceleration and Stock Returns”, Shuoyuan He and Ganapathi Narayanamoorthy investigate the power of earnings acceleration (quarter-over-quarter change in earnings...
Do value strategy returns vary exploitably over time and across asset classes? In their October 2017 paper entitled “Value Timing: Risk and Return Across Asset Classes”, Fahiz Baba Yara, Martijn Boons and Andrea Tamoni examine the power of...
Should investors view stock returns around recurring firm events in aggregate as an exploitable anomaly? In their October 2017 paper entitled “Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series”, Samuel Hartzmark and David Solomon review the body...
Is there an effective Betting Against Alpha (BAA) strategy analogous to the widely used Betting Against Beta (BAB) strategy? In his October 2017 paper entitled “Betting Against Alpha”, Alex Horenstein investigates relationships between stock 1-factor (market),...
Do widely used charts of equity and bond market performance inculcate harmfully false beliefs among investors? In his September 2017 paper entitled “Stock Market Charts You Never Saw”, Edward McQuarrie dissects some of these charts and outlines...
How effective is investor sentiment in predicting stock market returns? In his October 2017 paper entitled “Measuring Investor Sentiment”, Guofu Zhou reviews various measures of equity-oriented investor sentiment based on U.S. market, survey and media data. He...
Are there stock return forecasts good enough to make mean-variance optimization work as a stock portfolio allocation strategy? In their October 2017 paper entitled “Mean-Variance Optimization Using Forward-Looking Return Estimates”, Patrick Bielstein and Matthias Hanauer test...
What is the best way to tackle multi-class, multi-factor investing? In their August 2017 paper entitled “Investing in a Multi-Asset Multi-Factor World”, Alexandar Cherkezov, Harald Lohre, Sergey Protchenko and Jay Raol investigate the use of factor investing across multiple...
What makes momentum investing tick? In their September 2017 paper entitled “Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies”, Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao present a theoretical analysis of the...
Should retirement portfolios include an allocation to managed futures? In his October 2017 paper entitled “Using Trend-Following Managed Futures to Increase Expected Withdrawal Rates”, Andrew Miller compares seven 30-year retirement scenarios via backtests and modified backtests. Specifically,...