Do smart beta exchange-traded funds (ETF), which systematically tilt holdings to capture one or more factor premiums (such as size, value, momentum, quality, beta and volatility), offer net value to investors? In the April 2015...
How sensitive is the performance of the “Simple Asset Class ETF Momentum Strategy” to selecting ranks other than winners and to choosing a momentum ranking interval other than five months? This strategy each month ranks the following eight asset...
The order of the first and second place winners is now reversed from that shown at the close yesterday because of a price change on Yahoo!Finance after 4:00PM.
Do simple stock market valuation ratios work for tactical allocation? In his April 2015 paper entitled “Multiples, Forecasting, and Asset Allocation”, Javier Estrada investigates whether investors can outperform a 60-40 stocks-bonds benchmark portfolio via tactical strategies based on...
Do low-volatility strategies work for all stocks? In their April 2015 paper entitled “Low Risk Anomalies?”, Paul Schneider, Christian Wagner and Josef Zechner examine relationships between low-beta/low-volatility stock anomalies and implied stock return skewness. They compute ex-ante...
What makes investors happy with investment returns? In the April 2015 version of their paper entitled “All’s Well That Ends Well? On the Importance of How Returns Are Achieved”, Daniel Grosshans and Stefan Zeisberger employ a series of...
We’ve updated “What Works Best?” to incorporate some recent research summaries and adjust interpretation of the body of research.
Do multi-class mutual funds exhibit good asset class allocation timing? In their April 2015 paper entitled “Multi-Asset Class Mutual Funds: Can They Time the Market? Evidence from the US, UK and Canada”, Andrew Clare, Niall O’Sullivan, Meadhbh Sherman...
Is the part of profitability based on cash flow more informative than the part based on accruals? In their March 2015 paper entitled “Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns”, Ray...
When and why do investors make changes in asset class allocations? In the March 2015 version of their paper entitled “Global Asset Allocation Shifts”, Tim Kroencke, Maik Schmeling and Andreas Schrimpf examine the asset reallocation decisions of U.S....
Which moving average rules and measurement (lookback) intervals work best? In the March 2015 version of his paper entitled “Market Timing with Moving Averages: Anatomy and Performance of Trading Rules” Valeriy Zakamulin compares market timing rules based...
In the preface to the 2015 Third Edition of Irrational Exuberance, author Robert Shiller states: “…evidence of bubbles has accelerated since the [2007-2009 world financial] crisis. Valuations in the stock and bond markets have reached high levels in the...
Do equity option traders really bear the relatively large quoted bid-ask spreads as trading frictions? In their March 2015 paper entitled “Option Trading Costs Are Lower Than You Think”, Dmitriy Muravyev and Neil Pearson examine whether the...
Which stock momentum return predictor works best? In his March 2015 paper entitled “Momentum Crash Management”, Mahdi Heidari compares the crash protection effectiveness of seven stock momentum return predictors, categorized into two groups: Overall stock market statistics:...
Are positive carry and positive trend conditions consistently favorable across asset classes? In their March 2015 paper entitled “Carry and Trend in Lots of Places”, Vineer Bhansali, Josh Davis, Matt Dorsten and Graham Rennison employ futures prices to investigate whether the...
Do variable retirement spending strategies offer greater utility than fixed-amount or fixed-percentage strategies? In his March 2015 paper entitled “Making Sense Out of Variable Spending Strategies for Retirees”, Wade Pfau compares via simulation ten retirement spending strategies...
Does a factor (style) premium model identify exploitable abnormal corporate bond returns? In their March 2015 paper entitled “Investing with Style in Corporate Bonds”, Ronen Israel, Johnny Kang and Scott Richardson investigate the usefulness of four bond return factors:...
In the introduction to his 2015 book entitled The 3% Signal: The Investing Technique that Will Change Your Life, author Jason Kelly states: “Ideas count for nothing; opinions are distractions. The only thing that matters is the price of...
Why and how should investors pursue investment premiums associated with factors that explain performance differences among related assets (like common stocks)? In the January 2015 version of his paper entitled “Better Investing Through Factors, Regimes and Sensitivity Analysis”, Cristian Homescu...
Is there an exploitable interaction between a stock’s market capitalization and its price? In their February 2015 paper entitled “Nominal Prices Matter”, Vijay Singal and Jitendra Tayal examine the relationship between stock prices and returns after: (1) controlling...
Does fourth quarter global economic data set the stage for asset class returns the next year? In their February 2015 paper entitled “The End-of-the-year Effect: Global Economic Growth and Expected Returns Around the World”, Stig Møller and...
How should financial education incorporate the experience of the 2007-2009 financial crisis? In their May 2014 publication entitled Investment Management: A Science to Teach or an Art fo Learn?, Frank Fabozzi, Sergio Focardi and Caroline Jonas summarize the current approach to teaching finance...
Can investors exploit the combination of unusual changes in hedge fund long positions and unusual changes in short interest for individual stocks? In the February 2015 version of their paper entitled “Arbitrage Trading: The Long...
Does accounting for the difficulty of covering short positions enhance the power of short interest to predict stock returns? In the February 2015 draft of their paper entitled “Days to Cover and Stock Returns”, Harrison Hong, Weikai...
A subscriber hypothesized that combining short-term reversal with intermediate-term momentum would enhance momentum strategy performance. To investigate, we test a modification of the “Simple Asset Class ETF Momentum Strategy”, which each month allocates all funds at the...