Where is the price of gold headed? In their August 2015 paper entitled “The Golden Constant”, Claude Erb and Campbell Harvey apply a “golden constant” hypothesis (inflation is the principal driver of the price of gold) to project the...
Is there an easy way to avoid unfavorable positions within a currency carry trade strategy (long currencies with high interest rates and short those with low)? In their July 2015 paper entitled “Conditioning Carry Trades: Less Risk,...
What does a large online repository of research on financial markets say about community interactions? In the August 2015 version of his article entitled “Recent Trends in Empirical Finance”, Marcos Lopez de Prado measures trends in level...
What is the state of the hedge fund industry? In the July 2015 draft of their paper entitled “Hedge Funds: A Dynamic Industry In Transition”, Mila Getmansky, Peter Lee and Andrew Lo review recent academic research on hedge...
Does firm news reliably interact with stock return anomalies? In their July 2015 paper entitled “Anomalies and News”, Joseph Engelberg, David McLean and Jeffrey Pontiff compare anomaly returns on days with and without firm-specific news releases. They consider 97...
Are currency carry and momentum strategies complementary? If so, why? In their July 2015 paper entitled “Carry and Trend Following Returns in the Foreign Exchange Market”, Andrew Clare, James Seaton, Peter Smith and Steve Thomas examine how market liquidity affects returns...
Can investors refine and exploit the upward bias of overnight stock returns? In the July 2015 version of her paper entitled “Night Trading: Lower Risk but Higher Returns?”, Marie-Eve Lachance presents a way of sorting stocks by...
Should investors adopt a mutual fund for the long term, or should they occasionally switch to funds with fresh ideas and energy? In the July 2015 draft of their paper entitled “Milk or Wine: Mutual...
Does the ratio of aggregate U.S. stock market valuation (MV) to U.S. Gross National Product (GNP) or Gross Domestic Product (GDP), the approximate value of goods and services produced by U.S. companies, reliably indicate stock market...
Do dual-sorts of country stock market predictive factors add value to single-sorts? In the July 2015 version of his paper entitled “Combining Equity Country Selection Strategies” Adam Zaremba first re-examines earnings-price ratio (E/P), momentum (return from 12 months...
“Measuring the Level and Persistence of Active Fund Management” (pro) and “Fund Activeness Predicts Performance?” (con) summarize debate on the ability of Active Share, how much portfolio holdings differ from a benchmark index, to predict mutual fund performance....
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week, around turn-of-the-month (TOTM) or around options expiration (OE)? If so, are the behaviors exploitable? Using daily closing levels of VIX...
What is the scope of research on gold as an investment? In their July 2015 paper entitled “The Financial Economics of Gold – A Survey”, Fergal O’Connor, Brian Lucey, Jonathan Batten and Dirk Baur review the body of formal research on...
What are current implications of cyclically adjusted price-earnings ratios (CAPE, P/E10 or Shiller PE), stock index level divided by average real earnings over the past ten years, across country equity markets worldwide? In his July 2015 paper entitled “CAPE around the...
Has (hypothetical) equity factor investing worked as well in recent years as indicated in past studies? In his July 2015 paper entitled “Factor Investing Revisited”, David Blitz updates his prior study quantifying the performance of allocations...
Can traders use S&P 500 Implied Volatility Index (VIX) options to exploit predictability in behaviors of underlying VIX futures. In his June 2015 paper entitled “Trading the VIX Futures Roll and Volatility Premiums with VIX...
Do any mutual funds reliably generate significant alpha and, if so, do fund investors receive this alpha? In their June 2015 paper entitled “Active Managers Are Skilled”, Jonathan Berk and Jules Van Binsbergen examine interactions among equity mutual...
What volatility weighting scheme best exploits equity return volatility persistence based on net outcome? In the June 2015 version of his paper entitled “Dynamic Volatility Weighting in the Presence of Transaction Costs”, Valeriy Zakamulin examines a volatility weighting strategy with...
Is time series (intrinsic or absolute) momentum evident in international stock indexes and commodity indexes? In the June 2015 version of their paper entitled “The Trend is Your Friend: Time-Series Momentum Strategies Across Equity and...
Stock return anomaly studies based on firm accounting variables generally employ annually reformed portfolios that are long (short) the tenth of stocks expected to perform well (poorly). Does adding monthly portfolio updates based on technical...
We have made three changes to the “Simple Asset Class ETF Value Strategy” (SACEVS) based on results of robustness tests and subscriber comments: To employ fresher data, we decrease the SACEVS S&P 500 Index level and bond/bill...
Which is better, sector-based or factor-based stock investing? In their June 2015 paper entitled “Factor-Based v. Industry-Based Asset Allocation: The Contest”, Marie Briere and Ariane Szafarz compare the attractiveness of sector-based and factor-based U.S. stock allocations. From Kenneth French’s data library, they...
Do equity style mutual funds look more attractive when benchmarked to matched style stock indexes than to more theoretical factor models of stock returns? In their April 2015 paper entitled “On Luck versus Skill When Performance Benchmarks...
“Simple Asset Class ETF Value Strategy” (SACEVS) tests a simple relative value strategy that each quarter allocates funds to one or more of the following three asset class exchange-traded funds (ETF), plus cash, based on degree of undervaluation...
How does growth in capitalization-weighted equity index investing affect the stock market? In the December 2014 update of their paper entitled “Indexing and Stock Price Efficiency”, Nan Qin and Vijay Singal examine the relationship between...